Can you elaborate on what you mean by O(anda) gossip either here or via PM (I tried to send you a message but PMs are not enabled).

MB Trading Futures - Introduction

I agree and feel that creating applications like tri arb strategies within the MT4 framework puts the developer at a serious disadvantage. In applications like this, the data is king. Metatrader's chart-centric data handling is not well suited for ...

Nerr Smart Trader - Triangular Arbitrage Trading System

I'm not sure that labeling the foundation upon which the entire modern retail foreign exchange market is built as an "exploit" is appropriate.

Nerr Smart Trader - Triangular Arbitrage Trading System

According to your stats that is 250 trades per year or just over 1 trade per day. I hope this wasn't modeled on 1 day bars or higher or the results would be highly suspect. I'd check and recheck data snooping. It is very easy to unintentionally look ...

is this curve fitting? check these results out...

% return = ending equity / starting equity - 1 if starting equity = 100, ending equity = 80, then % return = 80/100 - 1 = -20% If starting equity = 80, ending equity = 100, then % return = 100/80 - 1 = +25% if starting equity = 100, ending equity = ...

The Trader Behind the Trade™

You could certainly try it. Just keep in mind the caveat posted by saussiche that having a theme to the selection may make things more stable. Also, recall that the ADF or any other statistical test essentially just gives you confidence that the ...

System to hedge every major dollar pair for profit / low DD

See this post and please use the mt4R R Project thread for technical support. url

System to hedge every major dollar pair for profit / low DD

For you guys having difficulty with the first run of arbomat, the main difficulties installing come either from: Common Fixes Read the documentation within mt4R.mqh and follow the instructions. Read the documentation within arbomat.mq4 and follow ...

MQL4 -> R-Project - Interface Library

Hi Chuck, Jeuro is referring to the residual 14,853 GBP that is found in this line: So 14,853 / 100,000 = 0.14853 lots of GBPUSD. If you open up the same size at the same time on the ring previously specified, you effectively get GU long based on ...

Three Pairs Hedging

croupier, I'm amused that you are amused! Actually I consider myself to be an average individual as described. However, let me add right at the outset that I'm not trading based on cointegration. I studied the topic in depth but found that I was ...

System to hedge every major dollar pair for profit / low DD

I'm not sure what else there is to say. The premise was that larger drawdown systems don't blow up. I showed using the same example posted, that this is not the case. Going from 3 billion under management to less than 25 million sure sounds like a ...

The Trader Behind the Trade™

Perhaps this post requires an update with some additional factual information. Apparently they are not so different if the track record is updated to the present. No equity curve (smooth or rough) is immune from blowout. John W. Henry - An Autopsy ...

The Trader Behind the Trade™

When range bars are used you are correct that the time element is erased. But the x axis doesn't represent nothing, but rather 10 pip ranges for each bar, if that is the size of bar you choose. So to draw an analogy between weekly / daily S/R being ...

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

The thing about ADF tests or even the Johansen test is that they are statistical tests that are based on certain assumptions. My experience with financial data is that #1) it tends to break most/all the assumptions and #2) it is very easy to trick ...

System to hedge every major dollar pair for profit / low DD

More on sampling taken from Chapter 3 of The Scientist and Engineer's Guide to Digital Signal Processing By Steven W. Smith, Ph.D. page 5 from the downloadable PDF. By the way, market data may considered a continuous signal. The Sampling Theorem I ...

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

I think at some point many of us go through the learning process and start to question the basic beliefs that are passed around as truth. Such as, do historical prices really contain information that can look forward into the future? The type of ...

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

Expanding on what jeuro said with putting his words to a test - is the exposure really effectively long 0.7 lot GU or something else that will make money any day with no stop loss with sound sleeping due to the (mean reverting) imbalance between the ...

Three Pairs Hedging

I've read your post about 5 times and I'm still not sure if I understand what you mean correctly. But if you're looking to do a buy buy sell ring of GU EG EU then: A1 * B2 - C1 gives you the correct triangular relationship and the residual is ...

Three Pairs Hedging

It is possible to both under and over fit the data. If no optimization is performed then bias may be less, but variance of returns out of sample is still a major concern. If optimization is used on a small amount of data it is very easy to introduce ...

Systematic trading

I clearly wasn't being as precise as I should have been. Thanks for the clarification. Yes I noticed that too. For p and R where E is negative, typically you do get improvement. However, less of a losing system is still a losing system. But there is ...

Expectancy Management