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The Financial Hacker

  • #1
  • First Post: Sep 9, 2015 6:11am Sep 9, 2015 6:11am
I've started a blog about new experiments with algorithmic trading:

http://www.financial-hacker.com

I'm attempting scientific sound approaches to trade algorithms, from large scale trend detection experiments up to machine learning algorithms. I'll regularly post my results and experiences on the blog. The code and scripts will be published there as well, so anyone can reproduce the results and use them for their own trading.
  • #2
  • Sep 15, 2015 2:34am Sep 15, 2015 2:34am
New article on the Financial Hacker: White's Reality Check.

This standard test of statistical significance was applied to 900 simple trend trading strategies for determining once and for all if a simple way of trend trading really works. You can find the result on the blog. All source code is included for download, so anyone can reproduce that interesting experiment, or test his own strategies with White's Reality Check.

Thank you for visiting my blog!
The Financial Hacker
  • #3
  • Sep 21, 2015 4:02am Sep 21, 2015 4:02am
I've posted a new article on the blog about the Market Meanness Index.

This is an algorithm that can improve in some cases even double the profit expectancy of trend following systems. The Market Meanness Index tells whether the market is currently moving in or out of a trending mode. It can this way prevent losses by false signals of trend indicators. It is a purely statistical algorithm and not based on any trends or cycles of the price curve. I've posted the code for Zorro, but a MT4 version is also available for download.

Thanks for visiting!
  • #4
  • Sep 30, 2015 4:41am Sep 30, 2015 4:41am
The Market Meanness Index was now tested with 900 trend trading strategies. It improved most of them and increased the profit factor of the best from about 2.5 to 3.5.

The article and all source code for building trend following systems with the MMI can be found on the Financial Hacker blog.
  • #5
  • Oct 10, 2015 4:07am Oct 10, 2015 4:07am
Is scalping complete nonsense? Or can it really work under some circumstances?

I've tested quantitatively the pros and cons of trading on very short time frames, and got a surprising result. It's posted on my blog:

http://www.financial-hacker.com/is-scalping-irrational/

Enjoy!
jcl
  • #6
  • Oct 27, 2015 11:50am Oct 27, 2015 11:50am
You’ve developed a new trading system. All tests produced impressive results. So you started it live. And are down by $2000 after 2 months. What now? Carry on in cold blood, or pull the brakes in panic?

There are several reasons that can cause a strategy to lose money right from the start. In this new blog article I propose an algorithm for deciding very early whether live system drawdown is normal or you better abandon the system:

http://www.financial-hacker.com/the-cold-blood-index/
  • #7
  • Dec 3, 2015 4:41am Dec 3, 2015 4:41am
Quoting jcl365
The Market Meanness Index was now tested with 900 trend trading strategies. It improved most of them and increased the profit factor of the best from about 2.5 to 3.5. The article and all source code for building trend following systems with the MMI can be found on the Financial Hacker blog.
reading a bit..

can you post mq4 code of MMI pls to check this out, im not reg at the other forum

thanks!
  • #8
  • Dec 3, 2015 4:48am Dec 3, 2015 4:48am
Here's the MMI code by Renexxx:

Inserted Code
//+------------------------------------------------------------------+
//|                                                         iMMI.mq4 |
//|                                                         renexxxx |
//|                                http://www.stevehopwoodforex.com/ |
//+------------------------------------------------------------------+
#property copyright "renexxxx"
#property link      "http://www.stevehopwoodforex.com/"
#property version   "1.00"
#property strict
//+------------------------------------------------------------------+
//| Script program start function                                    |
//+------------------------------------------------------------------+
void OnStart() {
   for (int iShift=10; iShift >= 0; iShift--) {
      PrintFormat("iMMI(EURUSD)[%d] = %5.5f", iShift, iMMI( "EURUSD", PERIOD_M15, 10, PRICE_CLOSE, iShift ) );
   }
}
//+------------------------------------------------------------------+
 
//+------------------------------------------------------------------+
//| iMedian: return the median of a set of price values              |
//+------------------------------------------------------------------+
double iMedian( string symbol, int timeFrame, int period, int applied_price, int shift ) {
   double array[];
   ArrayResize(array, period);
  
   for (int iShift=period-1; iShift >= 0; iShift--) {
      array[iShift] = iMA( symbol, timeFrame, 1, 0, MODE_SMA, applied_price, iShift+shift );
   }
   ArraySort(array, WHOLE_ARRAY, 0, MODE_ASCEND);
  
   if ( (int)MathMod(period,2.0) == 1 ) {
      return( array[(period-1)/2] );
   }
   else {
      return( ( array[(period/2)] + array[(period/2)-1] )/2.0 );
   }
}
//+------------------------------------------------------------------+
//| iMMI: return the 'mean-ness' of a set of price values            |
//+------------------------------------------------------------------+
double iMMI( string symbol, int timeFrame, int period, int applied_price, int shift ) {
   // Can not handle a period of less than or equal to 1. Return something silly.
   if ( period <= 1 ) return( DBL_MIN );
  
   double prevPrice, currPrice;
   double median = iMedian( symbol, timeFrame, period, applied_price, shift );
  
   int nh=0, nl=0;
   for(int iShift=period-1; iShift >= 1; iShift--) {
      
      prevPrice = iMA( symbol, timeFrame, 1, 0, MODE_SMA, applied_price, iShift+shift );
      currPrice = iMA( symbol, timeFrame, 1, 0, MODE_SMA, applied_price, iShift+shift-1 );
      if ( (currPrice > median) && (currPrice > prevPrice) ) nl++;
      else if ( (currPrice < median) && (currPrice < prevPrice) ) nh++;
   }
   return( 100.0*(nl+nh)/(period-1) );
}
  • #9
  • Dec 3, 2015 6:36am Dec 3, 2015 6:36am
Quoting jcl365
Here's the MMI code by Renexxx: //+------------------------------------------------------------------+ //| iMMI.mq4 | //| renexxxx | //| http://www.stevehopwoodforex.com/ | //+------------------------------------------------------------------+ #property copyright "renexxxx" #property link "http://www.stevehopwoodforex.com/" #property version "1.00" #property strict //+------------------------------------------------------------------+ //| Script program start function | //+------------------------------------------------------------------+ void...
thanks for prompt reply!
thank you for the code.

cant really make it work? but ill try more, perhaps some coder is chancing some help and add mq4
  • #10
  • Feb 24, 2016 3:01am Feb 24, 2016 3:01am
A short series on the blog, about systematically developing trading systems:

Build Better Strategies - Part 1

Build Better Strategies - Part 2: Model-Based Systems

Build Better Strategies - Part 3: The Development Process

Enjoy!
  • #11
  • Last Post: May 17, 2017 1:38pm May 17, 2017 1:38pm
Here is a mt4 indicator that draws that MMI value in an external window. (It is using renexxx implementation)
Cheers.

-edit-
there is another implementation here, not sure if it is doing the same thing
http://fxcodebase.com/code/viewtopic.php?f=38&t=64338
Attached File(s)
File Type: mq4 MMI.mq4   5 KB | 479 downloads
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