The future depends on what we do in the present.
- Joined Feb 2006 | Status: Blah blah blah | 1,410 Posts
The breaking of a wave cannot explain the whole sea.
Trade another day through Systematic Trading 203 replies
Nonparametric Association Measures in Systematic Trading 57 replies
Anyone use Systematic from Alpari? 1 reply
A Systematic Approach to Markets 68 replies
Systematic Trading vs. Discretionary Trading 14 replies
DislikedJust to clarify, the chart is saying that the daily high most often occurs at hour 0 (gmt + 1), so hour 23 gmt (11 o'clock in the evening London time). Isn't this about Asian session lunchtime?Ignored
DislikedHere is another interesting chart. This one is from "Bollinger on Bollinger Bands" (good book, worth buying if you don't have it). This is the reason why breakout methods work on market data but wouldn't work on randomly generated data
(This is stock market data - I assume forex data would be even more non normally distributed)Ignored
DislikedRun a google on The Normality Assumption and Fractal Nature of Asset Prices and you'll find (first link) some stuff that might interest you. All the data on this small project are from fx data.Ignored
DislikedHave to say results are disappointing and usually strategy might make profit on one currency and would loose on the other.Ignored
DislikedI think what you need now is an optimiser module. Something that will do automatically and much faster what you now do manually i.e. try many different combinations of strategy rules with different parameters, instead of you having to write the systems yourself individually. Since you've come so far as having the database/feeds module and simulation module in place, you shouldn't have a problem creating the optimiser, at least a simple one.Ignored
DislikedWhy should a strategy necessarily apply on all majors? Spreads, liquidity, volatility and so on differs a lot.Ignored
DislikedMy view is that there must be certain patterns that "people" are looking for. This is what TA/Gann/Pivot etc are all about. Basically patterns that will give you a statistical edge, I 'd expect them to be the same across the board as they are the result of "herd" behaviour of humans.Ignored
DislikedYes, but what if this edge can overcome market frictions in one market but not in another.Ignored
DislikedThere definitely are some [especially intraday] strategies that work differently on different currencies because liquidity is spread differently for yen pairs than chf for example - I don't trade intraday so that's not a concern for me.Ignored
DislikedI have included the ability of my program to span over multiple days. This has improved results. Had another go at building a system and managed to come up with a system that managed positive results for 7 out of 8 different currency pairs(never achieved that before). Only 3 weeks of data though so be interesting to see what happens.Ignored
DislikedI would say that the sample size that spekkie gave is so small that the results unfortunately tell nothing.
Thanks.Ignored