I want to start a thread for those of us that have a dream of scalping a currency pair at a reasonably priced broker profitably in an automated program.
Is this a possible question or an impossible dream? I think it is possible. I am close to getting this up and running but I think that
I will need some folks that can bring accurate technical indicators to the table to help with medium term trends.
What do I mean by high frequency, trades happen every 3-5 minutes and profitability targets are in the 0.7-1.5 pip range with stop losses on each
trade around 2 pips. For this to work we need accuracy north of 70%. Long term I am still a few tenths of a pip off using all in broker commissions.
The types of things that you need to take into account are:
i) A relatively fast feed and co-location near the "brokers cage" (Meaning where they send there rates from - I have found a way to get this done for < $50 a month - which really is a miracle)
ii) An understanding of how the broker marks up their trades and what they are adding to the spread
iii) Coding done in an efficent manner using multi threading and a relatively efficient language (C++ or C##)
You can see where I am at the moment below. I am looking for any ideas that when combined with a High Frequency Algorithm, I gain the edge I need. Some of the algorthms that I have built are pairs (covariance models) between markets (futures vs spot), skew algos (evaluating the book and one sideness over time), dynamic models (a combo of several models list) and mean reversion/trending models)
My plan is to distribute this auto pilot program once it is thoroughly tested. A portion of the proceeds will be paid out to those whose models are used. Realtime tracking will provide the necessary incentives.
What I need now are some really smart people who have viable models and would be willing to help this project off the ground.
The incentives are as described above.
http://www.forexfactory.com/attachme...1&d=1353367085
Is this a possible question or an impossible dream? I think it is possible. I am close to getting this up and running but I think that
I will need some folks that can bring accurate technical indicators to the table to help with medium term trends.
What do I mean by high frequency, trades happen every 3-5 minutes and profitability targets are in the 0.7-1.5 pip range with stop losses on each
trade around 2 pips. For this to work we need accuracy north of 70%. Long term I am still a few tenths of a pip off using all in broker commissions.
The types of things that you need to take into account are:
i) A relatively fast feed and co-location near the "brokers cage" (Meaning where they send there rates from - I have found a way to get this done for < $50 a month - which really is a miracle)
ii) An understanding of how the broker marks up their trades and what they are adding to the spread
iii) Coding done in an efficent manner using multi threading and a relatively efficient language (C++ or C##)
You can see where I am at the moment below. I am looking for any ideas that when combined with a High Frequency Algorithm, I gain the edge I need. Some of the algorthms that I have built are pairs (covariance models) between markets (futures vs spot), skew algos (evaluating the book and one sideness over time), dynamic models (a combo of several models list) and mean reversion/trending models)
My plan is to distribute this auto pilot program once it is thoroughly tested. A portion of the proceeds will be paid out to those whose models are used. Realtime tracking will provide the necessary incentives.
What I need now are some really smart people who have viable models and would be willing to help this project off the ground.
The incentives are as described above.
http://www.forexfactory.com/attachme...1&d=1353367085
