January performance review for Danica-9am algorithmic system

For the first time I am able to discuss performance of a ForexAutomaton system without the "benefit of hindsight" caveat: the results for January have been obtained in real time, hence no hindsight. Executive summary In the absense of a capital allocation and trade-idea disrimination system, the main figure of merit is the Pearson correlation coefficient between real and forecast logarithmic returns in day high, low and close. In January, these figures of merit appear to remain in line with longer range historical performance. A type of a trade strategy specifically designed to take advantage of the superior forecasting quality for daily high and low, while minimizing exposure to the forecast for close, is discussed, with an attempt to evaluate performance using the recorded output of the system in January.

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