1. 2010 1 28
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2. •
•
•
•
2

3. CONTENTS
1.
2.
3.
4. Dynamic ARMS
5.
3

4. 4

5.  1
2
 RSI MACD
2

5

6. 





6

7.  1
2





7

8. •
•
• ●●
• 20
•
•
EBT (Evidence-based Trading)
TM
8

9. 9

10. 10

11. •
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•
11

12. 12

13. 13

14. 14

15. 15

16. EXCEL
16

17. EXCEL
17

18. 18

19. 19

20. 93.6105791505791
0.22095741817381
93.641
90.001
3.55597311397643
12.6449447873233
-1.13028828500927
0.0790229964857671
14.583
86.383
100.966
24245.14
259
20

21. 2009 USDJPY
21

22. EXCEL
•
• C Y
• C=a+bY
• y=ax+b
•
22

23. EXCEL
R 0.977311184421718
R2 0.955137151195781
R2 0.95496258758176
0.75464931815529
259
F
1 3116.035388 3116.035388 5471.5706737 2.978E-175
257 146.3603675 0.569495593
258 3262.395755
t P- 95% 95% 95.0% 95.0%
2.3925448588935 1.234066182 1.938749229 0.0536266382 -0.0376245 4.822714186 -0.03762447 4.822714186
0.97466148800168 0.013176431 73.97006607 2.97783E-175 0.94871397 1.00060901 0.948713966 1.00060901
23

24. R
24

25. 25

26. 26

27. 27

28. 28

29. 29

30. ( )Universa Investments
• �
• http://www.universa.net/
• Universa Investments L.P. is an
investment management firm that
specializes in hedging tail risks for its
clients.
• Universa Investments L.P. is an
investment management firm that
specializes in protecting its clients' portfolios
against extreme risks – i.e. universal fat tail
risks or Black Swans
30

31. 31

32. 32

33. •
•
•
•
•
33

34. •
•
•
•
34

35. 35

36. •
•
•
•
•
36

37. 37

38. Dynamic ARMS
Dynamic
Auto Regressive Model
ARM
Statistical Edge
S
38

39. Dynamic ARMS FX
•
• 24 FX
•
•
•
• FX 24
•
39

40. Dynamic ARMS FX
• GBP/JPY
• EUR/JPY
• GBP/USD
40

41. 41

42. 


42

43. 

 6

43

44. 44

45. 45

46. 1.
2.
3.
4. Dynamic ARMS
46

47. Dynamic ARMS Web
•
• URL http://d-arms.com
47

48. •
• Dynamic ARMS
48

49. twitter
yoshiyuki_hongo
49

50. Dynamic ARMS FX
• GBP/JPY 102,900
• EUR/JPY 102,900
• GBP/USD 102,900
• 260,400
3 20
50

51. Dynamic ARMS FX
•
51

52.  Dynamic ARMS FX
4
1. FX
2. FX
3. FX
4. Dynamic ARMS FX HP
52

53. •
• Indepa
• Independent Person
•
•
• URL http://indepa.net
53

54. 54

55. FX
●
●
●
1 10
●
● 1 0.5
/ 1 100 1
10,000 5,000
1 20,000
1 10,000
●
●
8 18
0120-86-9686 E-mail sts@sec.himawari-group.co.jp
150
55

56. FX
● FX
● FX
●
●
●
●
● 10,000 10,000
10,000 20,000
●
●
8 18
0120-86-9686 E-mail sts@sec.himawari-group.co.jp
150
56