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The algorithm goes long or short in the underlying instrument depending on the outcome of an estimation procedure run on a daily basis after markets opening. It takes into account time series relating to 10 markets data (Dax, Nasdaq, Oil, Gold Bund, Tbond, €/$, SP,.....) The underlying asset to be forecasted and traded is the Italian index future, Ftsemib. The estimation is based on cointegration analysis among market data, the estimated equation is a vector autoregressive model. Forecast and trading is done on a daily basis, which means the the position is taken after Ftsemib opening (around 9.30 am) and is closed at Ftsemib closing (around 5.50pm). Market data are sourced by Bloomberg