All members of the Coaching Call Series log in here:
Trading Order Out of Chaos
All members of the Coaching Call Series log in here:
Backtesting and Over-Leverage are the bane of any systematic trader. A shout out to Peter who raised both these points on the previous article in the series: Trading Numbers So, what are the two issues we’ll address in this week’s article:And to all those who don’t like spoilers: (2) will be covered in more detail later in this article series, so close your eyes; but foll… Read more
- Look ahead bias, and is it really that bad?
- Kelly is always touted as optimal. Is it really that optimal?
EURUSD tick data for the period 28th February 2016 to 4th March 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.
This indicator will average the bid / ask spread over the last N ticks. The purpose is to be able to monitor the behavior of the currency pair during fast markets, such as occur before and during news announcements. It’s useful for indicating times of increased danger, and can be used as a possible flag to square positions. The parameters are:
- MA: the number of ticks to average the bid/ask spread over. The default is set to 30 ticks
- showTickCount: a boolean flag, which when set t… Read more
EURUSD tick data for the period 20th March 2016 to 25th March 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.
The London Breakout Strategy falls under the category of Open Range Breakout as developed by Toby Crabel. In this article we’ll look at some results with regards to this strategy, as well different ways of trading it. Let’s start out with the notion of Open Range Breakout. The key concept behind this strategy is that the range set at the start of the day sets a neutral zone for the rest of the day. If price moves either side of this range it is a strong indication that price will wa… Read more
I’ve written several articles on what happens during news announcements, and associated quick trading strategies. But from a regular trader’s perspective, surely there must be another way to approach these things. In this article I’ll given an overview as to how to trade these news announcements in a slightly more leisurely way, and see if there is anything to be had out of trading against market hysteria. The instrument of choice will be the EURUSD, though you can pick any other inst… Read more
This is the second article in the series of trading the Bullish and Bearish Engulfing candle stick patterns. Following on from Part I, we will actually perform some backtests using the results we found in Part I. In Part I, we split up the analysis for long and short trades separately. Here we will keep to this approach. The justification is that there need be no symmetry between the long & short approach. This is especially true for equity systems, where bear markets have distinct dynamics f… 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.