February 2011 performance review for Danica-9am algorithm

During February 2011, the second month of the second year of live performance, the system continued on auto-pilot without parameter changes. This document consists of a summary section reporting the figures of merit for the forecasting quality, followed by 14 subsections, dedicated to the individual exchange rates tracked by the system. Those contain our usual green-yellow-blue-red color-coded charts of the performance (2 for the two hypothetic strategy triggers for each currency pair, 28 in total) and details pertinent to the specific currency pairs. Looking at the most important figure of merit, namely the correlation coefficient between predicted and actual returns for close, the forecasting system eked out a marginally positive result this month. The main contributors to the positive performance were USD/JPY where the system was able to quickly readjust to the yen rally in the second half of the month, and AUD/JPY. For comparison with the previous month, you may want to take a look at the January 2011 performance review.

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