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Trading Order Out of Chaos
by Corvin Codirla Leave a Comment
An upcoming recession in the US is on everybody’s mind (at least that’s what Google Trends shows): And with that bad news for the rest of us. To put that chart into context the last official recession according to the NBER was between December 2007 and June 2009. And the average duration between recessions since World War II has been five years, with the longest period being 10 years: between 1991 and 2001. So is it going to happen soon? Proba… Read more
EURUSD tick data for the period 21st February 2016 to 26th February 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.
Following on in the series of Market Dynamics the NFPs presented a great opportunity to take a closer look at what happens during important news events. I’ve learned my lesson by now: don’t trade during news events. And this is especially true of stop orders in these situations. Price will just hop straight through. When it does the fill is awful, and the worst part, as happened on Friday: it reverts very quickly hitting any protective stops. The outcome? You book losses which could… Read more
At last! We’ve made it to the mean-reverting part of the series, starting with our focus on equities and their mean-reversion habits. So, here’s the deal. We’re going to keep it simple, just like in the previous three posts, and start from the ground up. Over the following series we’ll culminate in a simple, straightforward (and well known) system that still works. In detail for this article:
- What do we mean by mean-reversion and how can we measure it?
- What are some natural meth… Read more
EURUSD tick data for the period 10th January 2016 to 15th January 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.
EURUSD tick data for the period 17th January 2016 to 22th January 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.
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
Of all things on this planet?! Aren’t they boring? Not explosive enough? Isn’t this stuff what old people invest in? Also, aren’t they supposed to start to sell-off? And how do you get your hands on these over the counter instruments. In the first article of this series on Creating Profitable Trading Strategies we started with the premise that you need to look at assets and their underlying biases. We covered equities. They’re exciting. Buffett makes 19.1% a year on them. An… Read more
EURUSD tick data for the period 3rd April 2016 to 8th 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.
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