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Why Would You Want to Invest in Bonds?

Why Would You Want to Invest in Bonds?

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 […]

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Money Growth: Trade it Like a Hedge Fund

Money Growth: Trade it Like a Hedge Fund

In previous articles I’ve written about the idea of Kelly betting or using leverage to really boost the growth of your returns.  I’ve also shown how different fundamental components work together to create an FX Benchmark index. This article is slightly different.  I want to keep it KISS: “Keep It Simple Stupid.”  I will show […]

Testimonials

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…
London Breakout Strategy
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:
  • Look ahead bias, and is it really that bad?
  • Kelly is always touted as optimal. Is it really that optimal?
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…
Dangers of Backtesting, Over-Leverage and the Need for a Protective Stop
This spreadsheet goes in tandem with the article on Trading Like a Hedge Fund Manager.  The charts are replicated in here, as well as the calculations, so you can follow along. The data is taken from finance.yahoo.com for the ETF products SPY, AGG, and GSG. Kelly betting is applied to maximize the returns.
Trading Like a Hedge Fund Manager Spreadsheet
Following from the previous article HFT from Your Livin Room I’m going to show you what the EURUSD price data from the 21st January, 2016, looked like post the ECB interest rate announcement and press conference. The focus will be in particular on the consistency of the price streaming of a retail broker, and how that led to the profits in the previous article. More importantly how you can follow along at the next news bonanza, the FOMC. As always the ECB circus comes in two acts. First …
ECB Market Dynamics on 21st January, 2016
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.
Tick Data EURUSD , 20160117 – 20160122, Broker1
Kelly applied to the SPY ETF
This XLS shows the calculations which were performed in the Kelly Criteria article. The data included are the SPY ETF historical prices as well as the backtest results from the London Breakout Strategy applied to the EURUSD. Here you can see how to calculate the optimal leverage on your favourite asset class or your favourite trading strategy.  Please read the article to see what the caveats are and what riding out a full Kelly might possibly lead to.
Kelly Criteria Spreadsheet
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…
Market Reaction to NFPs on 8th January 2016
This is the third article in the series on trading the Bullish and Bearish Engulfing candle stick patterns. Following on from Part I and Part II, we will look at trading the short signals for AUDUSD, EURUSD, GBPUSD, USDJPY, and USDCAD. Let’s recap the results for the long side:
  • We used hourly rolling bars to identify the appropriate four-hourly patterns
  • Trading in the direction of the breakout was profitable
  • There was a sweet-spot for holding the trade for roughly 12 hours
  • After usi…
Bullish & Bearish Engulfing Bars (Part III)