Forex Systematic

objective

Run diversified systematic FX portfolios with robust factor attribution and risk controls.

workflow

1. define factor universe, currency basket, and rebalance cadence.
2. build and normalize carry, value, momentum, and macro features.
3. optimize portfolio weights with turnover and liquidity constraints.
4. stress factor exposures under policy shocks and risk-off regimes.
5. deploy only when factor diversification and cost-adjusted edge persist.

required diagnostics

• factor contribution stability across market regimes.
• currency-cluster concentration and correlation diagnostics.
• turnover cost drag versus gross alpha.
• drawdown and recovery profile by factor sleeve.
• signal decay and forecast calibration metrics.