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Trading Order Out of Chaos
by Corvin Codirla Leave a Comment
Kelly betting is an optimal approach to allocating capital to your system. In this article I want to show you how to apply this approach to your trading, and more importantly what kind of interesting questions you can answer using the ideas behind Kelly betting, in particular: “How long does it take to double my money?” First let’s start out with a simple example and progress to actual markets and trading systems. The example is as follows, and tends to be an interview question for a… Read more
EURUSD tick data for the period 27th March 2016 to 1st April 2016. Zip file contains CSV files for each day. The format of the CSV files are: Local Time, Server Time, Server Time Milliseconds, Bid, Ask. The time resolution is in seconds. This means that there can be multiple quotes per second.
PBOC fixings have become a fixture (at least for the last couple of days). With the big sell-off in the CSI China is trying to inject liquidity into the market and doing so in different ways. For the FX market it’s been a weakening of the reference rate. Here are the rates over the last couple of days (versus the USD): Of course the market cottoned on to the PBOC’s desperation, and the rout continued. The effect on the Asian time-zone currencies was worth noting. We already covere… Read more
A favorite investment technique that has been publicized widely is trend-following. Everybody has heard of the Turtle Traders, a group of novices trained by Richard Dennis in the art of channel-breakouts, a system developed decades earlier by Richard Donchian. In this article we will look at the current performance of trend-following in the Western futures markets, and see if we can’t find better performance in other markets. As previous mentor of mine always said: it’s not so much ab… Read more
“Greed is good”, but one shouldn’t always assume that the counterparty won’t notice. Last Wednesday, 27th January 2016, was FOMC day, news event day, and the markets went ape. Following on from the previous articles the idea was to continue to exploit the observed quote outages and extract value. Turns out that (presumably as expected), brokers aren’t that slow on their feet. I was moved from B-book status (i.e. rookie / loser status) to A-book status. Let’s just say that exces… Read more
This XLS accompanies the article on Effects of Lunar Phases and Solar Eclipses on Currency Markets. It includes the relevant astronomical data as well as the currency data and the backtest so that you can experiment with the data yourself.
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