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You are here: Home / Archives for Slippage

January 12, 2016 by Corvin Codirla 2 Comments

Why Slippage Is Important — Unemployment Impact on My Sanity

Following on from the previous post on ADP and slippage I’m writing up this brief note to share the pain, and hopefully get the point across: leave the News Alone Please. One of my systems that trades the EURUSD currency pairs actively, operates using stop-orders to enter the market and associated protective stops to limit […]

Filed Under: Market Dynamics Tagged With: ADP, EURUSD, Slippage, Trading Systems

January 11, 2016 by Corvin Codirla Leave a Comment

Market Reaction to NFPs on 8th January 2016

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 […]

Filed Under: Market Dynamics Tagged With: AUDUSD, Bid Ask, EURUSD, GBPUSD, NFP, Slippage, SP500, USDCHF, USDJPY

January 10, 2016 by Corvin Codirla Leave a Comment

Getting obsessed with news events: the AUDUSD and USDJPY during the 8th Jan PBOC fixing

PBOC fixings have become a fixture (at least for the last couple of days). With the big sell-off in the CSI China is trying to inject liquidity into the market and doing so in different ways. For the FX market it’s been a weakening of the reference rate. Here are the rates over the last […]

Filed Under: Market Dynamics Tagged With: AUDUSD, Bid Ask, PBOC, Slippage, USDJPY

January 7, 2016 by Corvin Codirla Leave a Comment

More on Market Dynamics: AUDUSD and the PBOC

It’s only been the fourth trading day of 2016, but there is no shortage of surprises, volatility, and all round mayhem. Today the AUDUSD had two announcements which can be considered relevant. The first was at 00:30GMT, the Building Approvals number, and shortly after 01:15GMT the PBOC rate fixing for the CNY. The first announcement […]

Filed Under: Market Dynamics Tagged With: AUDUSD, Bid Ask, News Events, Slippage

January 6, 2016 by Corvin Codirla Leave a Comment

A Painful Way of Learning NOT to Trade the News: a Lesson for Day Traders: ADP Slippage and the EURUSD

Wouldn’t it be great to forecast what the outcome economic news-releases would be?  News trading is a favourite for many traders, professionals and novice alike. For the long-term trader who holds positions over several days or weeks it might lead to clues as to the next big trend. For intra-day traders it can be a […]

Filed Under: Market Dynamics Tagged With: ADP, Bid Ask, EURUSD, News Events, Slippage

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An upcoming recession in the US is on everybody’s mind (at least that’s what Google Trends shows):
Trend of "US Recession" Search on Google
Trend of “US Recession” Search on Google
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…
A US Recession or Not - Outlook and Friday's NFPs
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
EURUSD tick data for the period 6th March 2016 to 11th 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, 20160306 - 20160311, Broker 1
Equity Mean Reversion
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…
Equities and Their Mean Reversion Habits
Members
Mean Reversion Currency Trading
Mean Reversion trading works for equities; and currencies. We saw in the last article how combining two simple ideas for equities produced a stable system over the last 30 years. Can we repeat a similar analysis for currencies? Yes!  However, be warned.  Currency trading is a different magnitude of difficulty to equity trading.   Currency traders have had a real tough time since 2008 (take a look at the BTOP Barclay Hedge Currency Trader Index). As always it depends which pond yo…
Trading Mean Reversion in Currencies
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
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…
Bullish & Bearish Engulfing Bars (Part II)

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