Trading Order Out of Chaos
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.
It’s useful to be able to add a trailing stop to your trades. Given I never got my head around the MT4 functionality I wrote this small EA, which does the job. Place it on top of the currency chart and give in the number of pips by which it should trail your trades. You need to put it on currency charts for which you have trades. So if you have USDJPY trades put the EA on an USDJPY chart. This EA will not trail stops for trades that have a non-zero magic number. So if you have trad…
Market timing refers to the fact that by judiciously choosing entry and exit methods in a given market you can out-perform buy-and-hold. The first question of course is why you should buy-and-hold in the first place. The idea stems from the equity markets. Historically they have risen. The famous chart of course is the S&P 500 over the last 65 years:So why should this happen? Economic reasoning is behind this argument. Long term macro and micro economic gro… S&P 500 since 1965
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…
More Money Than God: Hedge Funds and the Making of the New Elite is simply WOW! All I can say is WOW! Mallaby apparently held in excess of 1000 interviews and was given access to emails by some of the main players in the history of hedge funds. If you have read the Market Wizards trilogy, then this book actually fleshes out some of these individuals and provides the historical setting. The book is made up of 14 Chapters, which track the history of hedge funds both chronologically and stylist…
