There is a simple way to test if your conclusion is valid. Divide the day up into different starting times (such as each hour). Use a full 24 hour period from your new stating point or open - for instance you start midnight to midnight, 1:00 AM to ...

Systematic trading

The Dow just took out its 2010 low from 6/7 in a 900 pt freefall from 6/21 to present. S&P 500 made 2010 lows at noon yesterday. Last time the E/U led the U.S. stocks to new lows, now it's the other way around or so it seems. Edit: and scalper's ...

EURUSD

FYI scalp sentiment: 71% booolish

EURUSD

As I mentioned in my prior response to you in this thread (it may have gotten lost a ton of pages back) the CoT report is a very valuable report, but due to the timing of the report, we are only just now getting the info on actual L/S interest ...

EURUSD

Tonight's session will tell the tale likely of volatility expansion, or whether the move runs out of steam in the next couple of sessions - the former seems far more likely though both outcomes are possible. If it is volatility expansion to the ...

EURUSD

I wrote #257129: url I want to make a couple of points regarding the CoT report because it's been mentioned a few times and lots of people check the markets by this measure. As an intro, we know it comes out on Friday at 3:30 PM Eastern time and ...

EURUSD

Ok man, enough small talk, let's get with the business! The two most important recent news events for the E/U came not long ago. They fit together in the form of conflict -> resolution and marked the inflection point on 6/8 and coincided with the ...

EURUSD

You've mixed up Eurodollar (an interest rate product) with Euro FX (the currency).

EURUSD

By the definition given in the link, the Expectancy Score = Expectancy x Opportunity, and Opportunity = Non Scratch Trades x 365/(calendar days of history being tested). So from my reading it appears to take the # of trades into account, presumably ...

Systematic trading

What do you guys think of this discussion regarding: Expectancy Score vs Sharpe Ratio for strategy optimization / selection? url

Systematic trading

Wow thanks for the great thought provoking posts and links guys. I found this conclusion regarding the danger of mixing two positive expectancy systems when Parrondo's Paradox applies which looks interesting from the abstract. url

Systematic trading

Appreciate the post. This is actually what I was attempting to get at - I admit I'm a bit of a johnny come lately to this thread and can understand the desire for secrecy - I tend to also be private on the boards regarding things that have taken me ...

Systematic trading

I recall studying modern portfolio theory in college and to be blunt, I wasn't terribly impressed. I tend to dive into the deep end on this stuff, so maybe I asked the wrong initial question. Have you got any interesting scholarly papers on the ...

Systematic trading

By Huang's definition, the individual waves are not trends but IMFs - please see this (very good) paper that explores the concept of trend in depth and how it is decomposed with EMD: url

Systematic trading

I spent quite a bit of time researching the HH transform and EMD. There is code out there on the net for EMD mostly for matlab. There are three main drawbacks that I noted. First, to make it workable as a trading function an online version would ...

Systematic trading

I'm quite intrigued by the concept of a combination algo, but admit that I have little to no experience or frame of reference. Are there some basic pointers, principles or a general philosophy to designing a successful algo or does it come down to ...

Systematic trading

Order Types — I've been thinking quite a bit about different order types lately. Rather than post these in a new thread, I thought I'd add to the really good commentary in this thread. I think most traders are aware of the basic order types, ...

Gaining an edge from your exit

I calculate max closed trade drawdown, max open trade drawdown, and max total drawdown which is a combination of closed trade drawdown and open trade drawdown. I came to the conclusion a while back that one number wasn't going to accurately reflect ...

Systematic trading

Is there a compelling reason why these currencies should bounce back other than that you have observed that they have done this in the past? If there is no compelling reason, then the relationship is temporally limited. As stated in my previous ...

Return Differential Arbitrage

Possible volatility on E/U comes in above 1.3410. Also below 1.3375. News will tell!

Domino's Price and order flow trading