Background
Kristian Siggaard-Jensen grew up in Copenhagen Denmark, and attended Old Dominion University in Norfolk, Virginia, graduating with a BA in Economics. Kristian went on to work as an analyst for Meridian Asset Management (a subsidiary of Wachovia bank) in the US, before returning to Denmark to begin his graduate degree in Economics at University of Copenhagen.
Kristian left the graduate program to work for Saxo Bank, where he has devoted much of his time over the past two years to working on various technical trading models that support our short to medium term views in various currency crosses.
Trading Style
Kristian's thought process is trying to create a model-based approach to the FX markets, which is based on his core belief that the market moves in shorter term cycles, and that the success or failure of a given trading system depends largely on trend and volatility. So in order to increase the hit ratio, he has created three models, which concentrate on specific areas of the market trend (or lack thereof). The use of an automated quantitative and technical approach helps him to make sound trading decisions and leaves out the psychological aspect of trading, which he believes to be the key driver of losses in short-term FX trading.
Frequency
Kristian typically receives anywhere from 1-5 signals per day, depending on seasonality and volatility. Clients should expect approximately 2-3 trades a day. He typically trades intra-day to overnight, the maximum time frame generally 2-3 days and typically uses 1-2 daily average true ranges as targets for each specific cross.
Products
Kristian's most heavily traded crosses are EURUSD, USDJPY, EURJPY, USDCHF, GBPUSD, USDCAD, AUDUSD, CHFJPY and AUDJPY. Secondarily, he also trades EURCHF, EURGBP, GBPCHF, GBPCAD, EURAUD, EURCAD, NZDJPY and the Scandinavian crosses.
Leverage
Kristian typically does not use leverage unless he is looking for a key breakout level where he can use a stop of 25 pips or less. In that situation he may use double leverage, but limiting all his losses to a maximum of 0.5% of his total equity.
General note: while the strategies employed are rigorously defined, all decisions on whether to trade the signals and when to get out of the trade are discretionary, based on market conditions and/or event risks. As a background note, an overlay of perceived market conditions based on further indicators and outright discretion is critical in determining whether to employ each system in any given case. Having said that, the systems themselves often help to describe the general system environment.
Benchmark
Kristian's performance benchmark is the Barclays FX CTA Trader Index. On average, this index has returned 4.8% per year since 2000.
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