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Central Banks & Big Players

I'm late coming to this thread - following link from other thread. Just to clarify the math, the typical regression equation should read: G/U = alpha + E/U * beta + epsilon where alpha is the intercept / trend, beta is the slope / size to trade per ...

Pairs correlation and Money Management

The author apparently used a simulation rather than a closed form solution. Start reading at the highlighted sections for a review of the methodology used to create the tables. As to your question, I think it depends heavily on the makeup of the two ...

Expectancy Management

Very nice post Ulrich! This confirms a few things that I believe with the introduction of the additional topic of risk of ruin: 1) Always do your own original research rather than rely upon the work/words of others. 2) Higher win rate systems tend ...

Expectancy Management

PipMeUp, you are right to object to having a very good thread hijacked. However as a point of clarification, there is a bit more to the Kelly criterion than just money management (I hope you will permit a small digression). I also hate to feed the ...

Expectancy Management

It is worth adding that the above calculations of the Kelly criterion and Kelly expected growth rate are really only appropriate for trading strategies that use no exit other than a fixed stop loss and profit target.

Expectancy Management

So then some will be questioning, what is a real edge? The only real edge available to retail traders is to buy when price is going up and to sell as price is going down. For professionals, the added edge of diversification is available and these ...

The Trader Behind the Trade™

This is partly in response to mmaker and partly in response to khanderoo. The view that the market changes and that edges disappear as a result is common here on FF. I also used to think that markets would change and that a real advantage would ...

The Trader Behind the Trade™

timeframes are as follows: M1 M5 M15 M30 H1 H4 D1 To change the chart to EURUSD 5 minute: EURUSD,M5 To change the chart to GBPJPY 4 hour chart: GBPJPY,H4

Easy way to toggle between different pairs?

There is a not very well documented feature that by pressing enter on a MT4 chart, you get a text symbol name and timeframe in the lower left corner of said chart. You can change symbol name/timeframe simply by using the keyboard. Make sure to use ...

Easy way to toggle between different pairs?

Note that the first line in the start() function has a condition using the thistime variable that exits (return) if Time[0] == thistime. The initialization init() has as its purpose initializing the thistime variable to some value other than Time[0] ...

MQL4 -> R-Project - Interface Library

croupier, See the attached file. I simplified it a bit - using the easy(ier) interface rather than the original interface. I try to stay away from RExecuteAsync because you can't guarantee that MT4 will execute as you think it should. As a result I ...

MQL4 -> R-Project - Interface Library

Try an ECN, such as Interactive Brokers, or the futures book via the CME. But good luck getting full or non-overlapping coverage. If you're really determined, try EBS and Reuters.

Need Market Depth level 2 data

PK, you might try asking your question regarding using an alternative OS with the TWS on the TWSAPI list. I've seen some posts from some who seem to be doing this.

OANDA Discussion

Perhaps range bar charts are artificial, but if so then which charts are natural, exactly?

Trading with altered price chart: P&F, Range Bar, Renko, Kagi, etc.

PipMeUp, that's a very interesting chart! It clearly has the appearance of being Bimodal and as such there may be a small insight that can be gained from studying the properties of similar distributions. The M shape appears to show two mirror image ...

Trading with altered price chart: P&F, Range Bar, Renko, Kagi, etc.

Hey Ultimate, I came to similar conclusions a while back but also feel (as you appear to) that further investigation of the concept could yield something worthwhile. If you or any other experienced developers with R experience want to form a work ...

Synthetic hedges, cointegration, mean reversion and similar stuff

A good reference is Steve Nison's Beyond Candlesticks. Chapter 7 spends about 15 pages describing the mechanics of building a Renko chart. Also Renko Charts might give you some ideas for a possible implementation if you can read MQL4 code.

Building Renko Charts in Excel

Does your backtesting include out of sample testing? It seems to me if you know enough to run a backtest on your cointegration model, then you already have an explicit strategy. It looks like your spread line is plotted in green. You know what you ...

Trading the cointegration

I don't see the advantage. Sure, they can post mispriced quotes, but if the dealer is a cheater, then what is stopping it from cheating on the fills or worse on withdrawal? No, I think the answer to a cheating dealer was correctly deduced by the ...

Three Pairs Hedging