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- Arbitrage between Forex brokers
I was recently told a story of a trader with access to the interbank FX market (not retail) who ...
- First Attempt
I have programming experience with other platforms but this is my first attempt at metatrader and a ...
- knocks420 replied Mar 15, 2009
The financial toolbox includes Johansen Procedure for co-integration I believe. It has been awhile since I actually ran the script so I could be mistaken.
- knocks420 replied Mar 13, 2009
sign of intelligence on this forum??? lol, jk
- knocks420 replied Mar 13, 2009
I looked at this code and this is merely measuring the spread, it is not a test of co-integration. Granted if a particular spread results in a profitable pair then it is likely co-integrated.
- knocks420 replied Mar 13, 2009
Very interesting. I currently use a toolbox in MatLab to perform cointegration analysis. I am not as familiar with coding in MT4; if you have time could you possibly code a script to perform a simple pair trade with various securities and time ...
- knocks420 replied Mar 2, 2009
Hmm, v76 also won't let me cycle through periodicity in different charts. I can't keep restarting metatrader every time. Is there a refresh method or is this how the indicator is designed?
- knocks420 replied Mar 2, 2009
Ok, the indicator will display ONCE but if you attempt to change the periodicity it will not work. This is with version v81 which as far as I can tell only plots some generalized information BUT it does plot the PRZ which would be interesting to ...
- knocks420 replied Mar 2, 2009
My bad. I changed the filenames of the indicators so had to manually update the code. In any event it worked once and now has stopped. I had a previous version running on a few charts. I've deleted this indicator, restarted, etc. Very strange...
- knocks420 replied Mar 2, 2009
It's very odd. I updated the code per your post and restarted MetaTrader. The first new chart I opened it seemed to work. I closed that chart and tried to apply to another new chart but now I get nothing. Have restarted MT and nothing. Does that ...
- knocks420 replied Mar 2, 2009
I am having a similar issue with Zup v81. The indicator is available in my custom indicators folder in navigator but does not seem to actually 'do' anything. I have successfully compiled this as well. In a related note, has anyone ported this ...
- knocks420 replied Jan 5, 2009
lodol, Yes, if I have understood you correctly,I think the 'grail' is to be able to identify trending/reverting regimes before they happen and trade accordingly. The trick is how do you forecast this without giving up too much profit. Quantitatively ...
- knocks420 replied Jan 5, 2009
I write vaguely to allow you to think more about your problem. You've answered most of your own questions by yourself, including how to manage a basket, aka PORTFOLIO more efficiently and with less risk (HINT: CORRELATION). If you want me to spoon ...
- knocks420 replied Jan 5, 2009
Well I don't want to comment specifically on your strategy in that I don't totally understand what your doing but I will say that your recent performance, while commendable, is relatively meaningless. A basic Neural Net works by fitting a curve to ...
- knocks420 replied Jan 5, 2009
Ah, you are utilizing the pairs as inputs into your Neural Network. If using an NN I would highly recommend that you walk-forward your strategy especially on out-of-sample data as most NN's are notorious curve fitters. Now I am at a lost of how or ...
- knocks420 replied Jan 5, 2009
I think you are misunderstanding correlation and serial correlation (trends), one describes a single time series whereas the other describes co-movement. Let me ask you a question and perhaps you can come to your own conclusion; why are you ...
- knocks420 replied Jan 5, 2009
Cherry-picked good day: image Cherry-picked bad day: image As you can see this is why I am interested in a trend-following strats.
- knocks420 replied Jan 5, 2009
Apologies, I should have clarified that you want UNcorrelated securities (i.e. correlation ~ 0 ) rather then 1 or -1. The idea is to create a combination with weighted volatility that is lower then a single security alone. You are actually already ...
- knocks420 replied Jan 3, 2009
In regards to baskets, especially with trend-following strategies, correlation can be used to reduce overall volatility. Baskets should be constructed utilizing the most non-correlated securities available. This is why MPT stresses allocation ...
- knocks420 replied Jan 2, 2009
I found an FX trend-following program that advertises 11.9% annual return, 6.2% vol, 1.92 Sharpe. It states it utilizes Multiple Moving Averages on 8 pairs. Any insight on multiple MA's on a portfolio level??