Neural network (NN) Research Portfolio for FX Spot Market

Last Update: Sunday, March 11, 2025

Results of the ongoing research on creation of the portfolio of the neural network (NN) models for systematic trading on FX Spot market are provided below. 

As of today, the portfolio contains 26 models representing both contrarian and momentum trading patterns. 

All models in the portfolio are intraday to avoid position rollover at 5pm NY time.

Market Data

In this research we use fifteen years of high quality historical FX market data. The data for the period from 2010 to 2017 is used for training & validating NN models and the data from 2018 to 2024 is used for out-of-sample run.

Out-of-Sample Run

Below we provide back-testing results of the portfolio run on the data between years 2020 and 2024. This data includes at least two high volatility market sub-periods in years 2020 and 2022.

Risk Limits

We back-test portfolio with the following risk limit: 

Max position gross limit(USD): 200M

One more important risk limit - Max Day Loss is switched off. 
Max day loss Limit(USD): switched off

Note: In production run Max Day Loss limit is important, for the portfolio with max gross exposure 200M USDthe reasonable max day loss limit could be set at the level 0.1% of max exposure, i.e 200K USD. Upon hitting the max day loss limit all open positions of the portfolio are liquidated and trading is suspended till end of the current trading session.

The impact of the Max Day Loss limit will be estimated later but preliminary we expect P&L drop by 5-10% once we enable this risk limit.

Execution Cost Parameters

Executions of the orders of size up to 1 million are done by best bid/offer prices. This likely does not deviate much from the reality.

For the orders of size larger than 1 million we use a simple linear model with zero extra cost paid for the orders of size 1 million and 0.25 bps paid for the orders of size 10 millions. So round-trip extra cost for execution of orders of the size 10M adds 0.5 bps to the best bid offer spread.

Portfolio Performance


Profit/Loss(USD): 16,672,130.82 

Max DD (USD): --220,813.95

Max DD Duration(Days): 42

Sharpe Ratio: 5.89

Avg Profit per Trade (bps): 0.79

 








 


 
 








 


 
 








 


 
 








 


 
 






 


 
 








 


 
 








 

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