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Equities Mean Reversion and Market Regimes

Equities Mean Reversion and Market Regimes

In this second part of the Mean-Reversion in Equities series we’ll cover the reasons behind why mean reversion works in various market regimes. In the previous article we combined the idea of looking at two consecutive down-days combined with buying the S&P 500 while it was below its five day moving average. A question that […]

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EURUSD tick data for the period 13th March 2016 to 18th 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.
Tick Data EURUSD, 20160313 - 20160318, Broker 1
EURUSD tick data for the period 24th January 2016 to 29th 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 , 20160124 – 20160129, Broker1
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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)
EURUSD tick data for the period 7th February 2016 to 12th 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.
Tick Data EURUSD , 20160207 – 20160212, Broker1
In this week’s article I cover the right approach to benchmarking your performance using the standard risk measures out there.  In particular we’ll start out by outlining how the Sharpe Ratio relates to the usual performance measures such as Win/Loss ration or Return/Maximum Draw-Down ratios.  This will allow you to see if you are on track or not, and adjust your trading accordingly. The purpose is to put risk measurement into context and relate your trading statistics to optimal wealth accum…
Risk, Return, and Kill Ratios
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…
MT4 Trailing Stop Expert Advisor
Bond Math
In the previous article we set out to cover a new asset class: Bond investments.  We saw how by including bonds together with stocks we could improve on our portfolio performance.  Is this mixture still good given that we are now shifting in the interest rate cycle to a Bond Bear Market?  In this article we go about calculating the Bond Index going back 120 years to answer this question. Here is a chart since 1960 of US 1 and 10 year rates:
Current Interest Rate Cycle and Rising Rates
Current Interest Rate Cycle and Rising Rates
W…
Calculating Bond Index Prices: Analyzing the Bond Bear Market