It's quite impressive but not the same as the chart I posted because it has some correlation checks (so it doesn't use all strategies) so my drawdowns have been bigger. I have only been trading the full set for about 3 months (subset for 6 months), ...

Systematic trading

That's what I have been thinking to do as well, I have written a couple of news aggregators in the past so this is nothing new to me.. Reuters is probably too expensive to use for testing. It's usually a bad sign that a company doesn't publish the ...

Systematic trading

Does anyone have a good method for calculating past "congestion zones"? I'm thinking about checking momentum for certain periods and calculating deviation or high/low of period, any comments? I would like to test a few methods that I have tested ...

Systematic trading

Interesting stuff, I have to read this when I have time. Now as we have a few methods, all we need is a big database of economic data and news to be able to test them - if anyone knows any good sources in machine readable format please put a link ...

Systematic trading

Well that depends on your account size of course. "Using too high leverage kills you" is definitely not a myth.

"Never turn a winner into a looser" - Myth or Reality?

.. That wasn't meant as a critique, just a note for people who look at charts with nice lines without understanding what they see. Thanks for indicators!

Optimized Trend Trading

It should be noted (as was with CB's implementation too) that both of the indicators repaints the past.

Optimized Trend Trading

This is not exactly about correlations but here is something One of the thoughts I have had for a long time is to use bayesian filtering to predict movements based on past textual and economic number data. The real problem with this is that I want ...

Systematic trading

calculating coefficiencies [and other "correlations"] and trading based on them.. something I have been pondering to do for a long time. Not just pairs/equities/futures correlations but interest rates, unemployment numbers (and some more advanced ...

Systematic trading

I really would like to have some discussion on this thread too and not just me talking about the framework - I admit - I may have gone too deep into my framework and genetic programming stuff.. This thread was not meant to be a journal (or JUST a ...

Systematic trading

Also, good article here url

Systematic trading

yay for simulations — I finally managed to transfer my strategies to my framework and run a simulation for almost all (about 5 are missing) strategies I trade live. The framework decided to use only a part of 20 strategies - it always tries to ...

Systematic trading

The real question is why they didn't just open the api for a decent language but again coded their own piece of crap (nicely put) - mt4 is just horrible and I just don't think they can do it a lot better. There are lots of good open source scripting ...

MetaTrader 5!! - Download Link

I have tested this quite a much in the past, conclusion: There is no point in using any kind of sl to breakeven or similar - just stick to your exit rules and it doesn't matter if trade is temporarily in the red - all that means is the end result ...

"Never turn a winner into a looser" - Myth or Reality?

This is very relevant to this thread url

D1 and M5, which is noiser?

Here are few others if anyone is interested url url url

Open Source Forex Platform - OFxP

Last 12/24 months have been very different than last 10 years before it. I wouldn't trust long term results based on results from last 2 years. There is 1 min data (at least there was) for about 10 years at alpari so you might want to try find it so ...

New systems and historical volatility

I have been very busy rewriting some logic (I combined a lots of code) so I have been doing a lot of rewriting and testing to make sure the execution framework works the same way as testing framework. Also I'm not sure what I can say without going ...

Systematic trading

I like profit factor too but it has the same problems as you listed with percentages, if you deposit/widthraw money it weights the periods of curve differently (unless you normalize it what I do). Also with pf you are missing one important piece of ...

Myth Busters the Forex Edition

Pips don't tell you anything if you don't know all the trade sizes. dollars/euros don't tell anything if you don't know the account size. That's why percentages are the best - they tell you everything you need to know (edit: except risk) without ...

Myth Busters the Forex Edition