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Systematic trading

  • #1,021
  • Jul 24, 2010 2:47pm Jul 24, 2010 2:47pm
Here is another thing which caught my attention http://www.elitetrader.com/vb/showth...hreadid=202944. This guy has collected together a good set of threads which would be worth reading. In general, a good thread on ET is far better than what passes for 'information' in this place.
The breaking of a wave cannot explain the whole sea.
  • #1,022
  • Jul 24, 2010 6:05pm Jul 24, 2010 6:05pm
Maybe it is worth considering Dukascopy(I am not using them on the moment). I had a look at their jForex platform and is way better than IB. You can write strategies in JAVA and test them on tick data with a visual chart representation when orders were placed.

If you have decent volume or account size the rates are not too bad. They do round to 0.00005 which is a disadvantage. They do not have a minimum charge of $2.50 like IB!!!

It looks like they are a bank now.
  • #1,023
  • Jul 25, 2010 9:46am Jul 25, 2010 9:46am
Attached is ebook related to subject of this thread.
Attached File(s)
File Type: pdf Forex_Traders_Cheat_Sheet.pdf   321 KB | 931 downloads
  • #1,024
  • Jul 26, 2010 5:17am Jul 26, 2010 5:17am
Anyone using these:

http://www.forexcashback.info/

It claimes to be able refund 40% of dukas commisions.
  • #1,025
  • Jul 26, 2010 3:53pm Jul 26, 2010 3:53pm
Quoting spekkiefx
Anyone using these:

http://www.forexcashback.info/

It claimes to be able refund 40% of dukas commisions.
I'm not using dukascopy yet either. Their historical data is very good though and also free. I've downloaded it onto an external hard drive and converted it into CSV.

And would not use forexcashback for dukas personally because I know of better rebate offers.

What is the fee to use the IB FIX gateway? Do you still have to pay anything with your own option craig?
The greatest force on earth is compound interest.
  • #1,026
  • Jul 26, 2010 4:11pm Jul 26, 2010 4:11pm
Quoting sebastionay

And would not use forexcashback for dukas personally because I know of better rebate offers.
Could you please share this information?
  • #1,027
  • Jul 26, 2010 5:32pm Jul 26, 2010 5:32pm
Quoting spekkiefx
Could you please share this information?
This is considered the best Dukas IB: http://www.molecule6.com
  • #1,028
  • Jul 26, 2010 5:43pm Jul 26, 2010 5:43pm
Quoting sebastionay
Do you still have to pay anything with your own option craig?
No.
The breaking of a wave cannot explain the whole sea.
  • #1,029
  • Jul 27, 2010 1:04am Jul 27, 2010 1:04am
Quoting Adal
This is considered the best Dukas IB: http://www.molecule6.com
45% is the best I've seen.
The greatest force on earth is compound interest.
  • #1,030
  • Jul 27, 2010 8:10pm Jul 27, 2010 8:10pm
http://ecx.images-amazon.com/images/...SH20_OU02_.jpg

Anybody here ever read this book? ...and if so did you take away anything useful...?
"If The Fool persists in his Folly he will become wise." - William Blake
  • #1,031
  • Jul 27, 2010 8:21pm Jul 27, 2010 8:21pm
I have read it, there is nothing in there that you can't get on the internet. Basically the guy applies FIR filters and Fisher transforms to different indicators and throws in a few simple systems which probably worked awesome in 1990. Not a complete waste of time, but nothing earth shattering, what type of information are you hoping to research?
The breaking of a wave cannot explain the whole sea.
  • #1,032
  • Jul 27, 2010 8:34pm Jul 27, 2010 8:34pm
Quoting Craig
what type of information are you hoping to research?
Thanks, Craig. I am interested in the recurring waveform characteristics of price action and am curious as to what kinds of predictive tools may have been developed along those lines. I thought Ehlers might be pointing in that direction.....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #1,033
  • Jul 27, 2010 8:48pm Jul 27, 2010 8:48pm
Quoting The Fool
http://ecx.images-amazon.com/images/...SH20_OU02_.jpg

Anybody here ever read this book? ...and if so did you take away anything useful...?
I had high hopes for this one given its title and the promise of applying DSP to market data. I thought it would provide some good tools and methodology for doing that. Tools and methodology are provided but they don't quite fit the bill for cutting edge technology. Perhaps if you read the book with low expectations you will be wowed, but alas, I was not impressed, nor did I take away anything other than "know your data" as the author apparently didn't know his. I reviewed the book previously in this post:

http://www.forexfactory.com/showpost...5&postcount=28
  • #1,034
  • Jul 27, 2010 9:16pm Jul 27, 2010 9:16pm
Quoting The Fool
Thanks, Craig. I am interested in the recurring waveform characteristics of price action and am curious as to what kinds of predictive tools may have been developed along those lines. I thought Ehlers might be pointing in that direction.....
You mean like frequency analysis stuff? There is a bit of that in the book (basic Fourier analysis), depending on how mathematically literate you are this stuff is in most time series analysis text books.
You could try this blog post http://intelligenttradingtech.blogsp...1_archive.html.
Maybe a few terms you could drill into there.
The breaking of a wave cannot explain the whole sea.
  • #1,035
  • Aug 24, 2010 7:35pm Aug 24, 2010 7:35pm
Quoting Craig
Here is another thing which caught my attention http://www.elitetrader.com/vb/showth...hreadid=202944. This guy has collected together a good set of threads which would be worth reading. In general, a good thread on ET is far better than what passes for 'information' in this place.
at first glance i see the same information we see here. Suport and resistance, volume and price, visual pullback with the trend with feeling, etc.

many things there are about volume. For example ADX above 30 with divergence and Chaikin wich uses volume. Plus many things are applicable only to specific instruments. Here at least we have filter with things that doesn't use volume and are made for Forex.
  • #1,036
  • Aug 24, 2010 8:03pm Aug 24, 2010 8:03pm
Quoting giraia_br
at first glance i see the same information we see here. Suport and resistance, volume and price, visual pullback with the trend with feeling, etc.

many things there are about volume. For example ADX above 30 with divergence and Chaikin wich uses volume. Plus many things are applicable only to specific instruments. Here at least we have filter with things that doesn't use volume and are made for Forex.
You are right, there is a lot of the same old crap in there, but I think you're approaching it from the wrong angle. If you're expecting working systems, you're out of luck (for the most part), it's more the little nuggets that various people give away at certain points, and just like here people don't pick them up.
The breaking of a wave cannot explain the whole sea.
  • #1,037
  • Aug 24, 2010 8:05pm Aug 24, 2010 8:05pm
Hey Mikkom,
How is the GA trading going?
I'm still working on mine, and it still sucks
The breaking of a wave cannot explain the whole sea.
  • #1,038
  • Edited 3:18am Aug 25, 2010 2:58am | Edited 3:18am
Quoting Craig
Hey Mikkom,
How is the GA trading going?
I'm still working on mine, and it still sucks
It's working quite well, only problem is that with my current broker my minimum trade size is 0.1 and it's messing up my risk level (20 algos and not that big testing account).. I have been looking for a better broker but I'm very unsure where I can find a good broker who allows micro/nanolots and does not take other sides of the trades. I was thinking of dukas but it seems they too are taking opposite trades (!).

I have been thinking of posting some pics but I don't think anyone would believe my simulations, the curves are that good

Anyway, I'm just starting to move a fresh set of strategies to live trading so after that I'll know how well they actually perform.
  • #1,039
  • Aug 25, 2010 4:15am Aug 25, 2010 4:15am
Quoting mikkom
I was thinking of dukas but it seems they too are taking opposite trades (!).
Interesting - I was thinking about moving to dukas for the last few weeks. Did you hear it somewhere or...? (PM me, if possible - I donīt want to mess up this beautiful thread!)
Quoting mikkom
I have been thinking of posting some pics but I don't think anyone would believe my simulations, the curves are that good
I know of at least one person who would like to see those pics

Keep up the good work Mikkom!

Bluefish
  • #1,040
  • Aug 25, 2010 5:54am Aug 25, 2010 5:54am
Quoting bluefish
Interesting - I was thinking about moving to dukas for the last few weeks. Did you hear it somewhere or...? (PM me, if possible - I donīt want to mess up this beautiful thread!)
Read the Dukascopy thread where some people (including myself) tried to clarify what the following clause in their contract means:

"Dukascopy is counterparty of each trade and counter trade.In some circumstances,Dukascopy may not hedge entirely or may not hedge at all certain trades. In such cases, Dukascopy may have opposite positions towards Users."

This is the thread. Dukascopy didn't seem to be very interested in providing clear answers when I asked very clearly if they are a actual (not just contractual which is what brokers basically do) conterparty for trades or not. The clause above seems to imply that they are at least in some trades and that makes me a bit uncomfortable. (It's a good idea to post further discussion about this to the dukascopy thread linked above)
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