Don't even bother, it does not work. Distance to MA stays so low, no way to exploit it, unfortunately. One theory down the drain. Because the basket is very balanced. Sorry...

Hi Riskcuit, Long EURUSD Long GBPJPY Long AUDNZD Short AUDUSD Short EURJPY Short GBPNZD This combo is close to market neutral if we have correct weights. This is a basket index, 6 pairs in total. As you can realise all the currencies (not pairs) are ...

I checked it Yoriz. That seems to be using some kind of linear regression I think or optimized values for weights. I would rather have a robust method for weights which are based on current volatility, not optimization. Here is a rough idea: First ...

Thanks Yoriz, I will be checking that thread....

I totally agree Riskcuit. That should be the initial goal.

Riscuit, The method you recommend looks good except the averaging down part. Eventually averaging might get out of hand. I am thinking about combining pairs so that they hover around certain mean and have a natural tendency to revert to the mean. I ...

I haven't read the book unfortunately. But from so many articles I have read square root of time is an excellent predictor for volatility. For example to estimate weekly volatility from daily data, we would multiply the daily volatility by ...

Hi Yoriz, In your percentage distribution graph, I think SquareRoot Of Time works perfect for future boundaries estimation. I did a rough estimation from your graph. Here is how it goes: From 1 hour percentage figure, the 24 hour estimation would be ...

Hi Pip, incredible work as usual

Wow Yoriz, excellent work My hats off to you..... This looks to me like a Random Walk....Bravo... Incredible symmetry...

Hi Yoriz, This is a very nice work, congrats..... However personally I would never do calculations based on pips, only percentages. For example 50 pips on EURUSD when the rate is 1.5000 is totally different than when the rate is 1.0800... I often ...

This one is a good one to start with url I am not affiliated with them but I have used them. They are a real discount futures broker located in Chicago with all the regulations. There are so many others too. Just don't fall for the crook cfd ...

Those brokers are not futures brokers. They have cfd trading which means they can manipulate it just like the spot quotes. Here is the information for micro currency futures url I personally would not even touch spot fx trading. All forex brokers ...

Hi Lucky, Thank you for your kind words. Goof Luck...

What you mention is a binomial probability. So Standard Deviation of binomial probability is: StDev = Sqrt( P * Q * N) P = Probability of winning Q = Probability of losing (1-P) N = Number of Trials So for the coin toss example, number of tails (or ...

Very smart Mingary... The link you shared is excellent. I will copy paste some excerpts... I would recommend everyone to read these: "if asset prices in the short term show an identifiable pattern, speculators will find this pattern and exploit it, ...

It looks very good, but according to my analysis atr does not work with z scores. The better way to calculate volatility is by using Average(MathLog(MathAbs(close /close[1]))) Then use sqrt(time) to project the zscore boundaries.. This is very ...

Big money will never let little money to win, that is a fact. They need losers so they can make money. In markets ıf there are no losers, there are no winners. So they will make everything possible to make the markets as confusing as possible. They ...

Please try that with 10 or 50 pips. You will see that your sample will not repeat itself. Half a pip is just a noise, without ant statistical validity..