So this is the reason you want to apply your strategy to a series with a fixed mean. If the mean is not moving you can still compute your confidence interval in advance and effectively "know" ahead of time how far the series will extend before ...

Probability depending on distance

Yes you are right, the French version (even translated by Google) was clearer than the English description. Thanks for the tip. If you can create a stationary series with a fixed mean and variance then you effectively have a deterministic system, ...

Probability depending on distance

I reran the test on more data (about 4 months), this time splitting the data into two periods (before/after the red line). image As you can see the first period contains a more trendy period, with 52% of 10 pip moves up, while the period after the ...

Probability depending on distance

I did a little test on one month of data on EU in R. The data was fairly balanced up and down with mean reverting tendencies over the period. In total there were 522 10 pip moves with 260 up and 262 down, so close to 50/50 (49.8% up) image Based ...

Probability depending on distance

Sourced from a BIS report, article 1 year old: High Frequency Trading in the Foreign Exchange Markets Lots of things are changing quickly right now from a market structure standpoint, including the makeup of the liquidity providers, and new ...

Automatic trading

Just a minor clarification of the formula: The formula above should be for a 10 pip sl, 20 pip tp, probability that take profit of 20 is hit: 1-20/(10+20) = 33%, and for stop loss of 10 1-10/(10+20) = 67%. Not trying to bust chops, but just for ...

Probability depending on distance

Take a look at this thread. No guesswork, just an analysis of the different time frames as far as tradeability from a retail standpoint. Set yourself on solid ground by selecting a time frame that has the highest information content. Kudos to ...

Automatic trading

A few more quotes from the paper cited above: Doubling: Yes, exiting losing positions before the margin call is always preferable and less expensive.

Martingale... How to make it WORK for YOU!

Everyone who is trading a Martingale method of adding to losing positions should take a look at this case study that I just started reading: Doubling: Nick Leeson's Trading Strategy Here are a few choice excerpts to whet your appetite. In other ...

Martingale... How to make it WORK for YOU!

Not too far off, Hanover. This site says in 2009 the retail slice of the pie rose to 12%. While not huge (or miniscule) some papers make the point that this volume tends to be non-predictive, essentially random (Carol Osler). Osler's research ...

Is this the reason why you don't want to share your Holy Grail?

Where is the trading holy grail on Trading Search Engine? Apparently it was revealed on Forex Factory on December 19, 2009. All you had to do was search!

Is this the reason why you don't want to share your Holy Grail?

FTI, I'm curious why you haven't tried out Interactive Brokers? Is it not available in your area? They have a Hong Kong office. IB offers DMA for most world markets and a fair market for FX (multi-bank ECN with good spreads). It is used to handling ...

Technical Analysis Fallacy

How about this for a Quantitative approach to candlestick pattern recognition?

Looking at Exchange Rates in a Scientific way

I did some calculations and put them in an Excel sheet. I might be off in my calculations. Maybe it will give you some ideas? I think they calculate pnl by average position. image

How does IB TWS calculate P&L

The picture contains your live account number. May I suggest that you take down the picture or edit your account # out of the picture for your own security? I realize the security device might negate what I wrote somewhat but still. I think the P&L ...

How does IB TWS calculate P&L

Hey RedLion, I've been thinking about PPP and how it relates to actual exchange rates. I looked for material that talks about correlation between PPP and the exchange rates, and found one that basically said: The Purchasing Power Parity Debate Are ...

Looking at Exchange Rates in a Scientific way

You are right about fractional Kelly being more common in practice. Full Kelly is rarely used for another reason. If you over-estimate your expectancy and end up sizing positions too large based on Kelly, the downside is much greater than the ...

Twoblink's 2013 Journal

Colorful language as always: The long term optimal bet (position) sizing algorithm has already been created, and a proof has been conveniently made available. Kelly Criterion Kelly only has about 50 years on your efforts, but who's counting? Yes it ...

Twoblink's 2013 Journal

You can either go the pairs trading route, or the basket trading route. GL

Avoiding correlations

Interesting summary! I'll comment on each of the 3 points of your hypothesis. How then does one measure volatility? The literature generally uses standard deviation and volatility interchangeably. We have some other tools in the technical area that ...

Looking at Exchange Rates in a Scientific way