Right here: (google the below and you'll find direct link to dukascopy pdf) 15. Conflicts of Interests The User understands that the business model of the SWFX Swiss Forex Marketplace consists in ensuring best execution for the transactions of the ...

Is MBT really an ECN ?

It would be a good idea to divide the timespace to 2 sections, first would be the in-sample period and second would be out-sample. All optimization would be done strictly on in-sample. That way could visually see how the curve would look in the ...

Synthetic hedges, cointegration, mean reversion and similar stuff

FX market is not centralized. Therefore no broker (ECN or not), for example MBT, can offer best prices as there might be some other venue - let's call it LAVA for example - where some other participant is providing liquidity that is not available at ...

Is MBT really an ECN ?

I use minute bars for testing so that open/low/high you see means 1 min bar OHL. The problem with 1 min intrabar jumps is that that is the lowest level of data I have. Maybe I should add some random points here and there or add some more spread to ...

Systematic trading

More pretty pics The stats are zero but the number of simulated trades is correct (500k+ trades for that curve) That is a combined curve of N systems (after only ~160 rounds of random systems/mutations/crossovers). pic2 after 1 mil+ trades. I ...

Systematic trading

Lots of them to be honest.. Fortunately there is Valgrind to save me.

Systematic trading

Pointers are strange. After a long period of java using them felt first like a mess. Now after a week or two I feel like I'm in home again (C was the first language I ever used).

Systematic trading

Why not do some googling yourself? It's not like icebergs, stop orders or block orders are some obscure secret concept. It's not a bad idea to trade some market where you can see level 2 (futures, stocks) and learn to see how market reacts to levels ...

There are no secret patterns and there will never be one

Yay — One of the first visualizations of curve on the new system I'm waiting for new computer right now - on my few years old laptop the current speed is about 0.1 seconds per result when the system has stabilized (ie. (including ...

Systematic trading

If you actually claim that this thread contains no information that can be used in trading you are totally clueless. I have no idea what you anticipated as you clearly did not get what you wanted from this thread but saying that this is untradeable ...

There are no secret patterns and there will never be one

I did the checks real time and incremenatally based on "fresh" results. I didn't keep any old results in cache with java version (it would not have been that helpful because I calculated combinations of 20-50 systems and I did this incrementally). ...

Systematic trading

[quote=bluefish;4152061]Mikkom!!! With my python Im NOT EVEN NEAR those times... simply amazing!!! Hard works pays off, right? /quote] Yes it does After few more long evenings and nights, this is what I'm getting from my laptop. I'm just picking ...

Systematic trading

So I have been busy programming my C framework, long nights eh Here are some initial results on speed with some random strategies (I only have few events and variations at the moment), this is based on something totally different than the java ...

Systematic trading

Uhm...... FED with their QE maybe?

EURUSD

Haven't posted here for a while but notice this funny movement? First the stops on the top at ~1.406 are taken out, then the price is driven lower to make a good buying point (because everyone knows the fomc will be VERY negative), then the buying ...

EURUSD

If you haven't tested your method with longer term data how can you know it works longer term? The key question then is, how long have you tested it live. It's easy to find methods that work with certain kind of market types but when regime changes, ...

Optimized Trend Trading

You got my interest, what kind of time periods have you tested your DSP method, I have personally found methods that work with some markets but usually not longer term. What I'm really interested in have you backtested (with good data) your system ...

Optimized Trend Trading

Honestly not really. There are some interesting articles here and there but the one that I linked was exceptionally good for that magazing. For me browsing on store is not an option because I don't know any stores that have trading magazines on ...

Systematic trading

He goes into much further details in the full article (the linked text only has about 1/4 of the article) describing their "alpha model" and discusses about alpha decay, how long edges persist, some actual models and how they use multiple models and ...

Systematic trading

This is fun.. Some numbers with actual ohlc data. This is fast Loaded GBPUSD ascii file (3286490 candles) in 18166ms Write (3286490 candles) elapsed: 126ms Read (3286490 candles) elapsed: 58ms

Systematic trading