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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 […]

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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 […]

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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 […]

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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 […]

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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 […]

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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
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 the losses.  You might have guessed it’s a momentum based strategy.  The issue here is that when the market gaps, or is too thin, the orders won’t get executed.  And this …
Why Slippage Is Important -- Unemployment Impact on My Sanity
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
This script will allow you to download into a csv file the relevant news events going back to 2007 from ForexFactor. This includes actuals, forecasts, and revisions, as well as time-stamps. It’s a great way to obtain free data that otherwise would cost you an arm and a leg! You might have to install some of the modules required, but this should be straightforward in most Python installs. Happy pattern hunting!!
ForexFactory Python Script
“Greed is good”, but one shouldn’t always assume that the counterparty won’t notice. Last Wednesday, 27th January 2016, was FOMC day, news event day, and the markets went ape. Following on from the previous articles the idea was to continue to exploit the observed quote outages and extract value. Turns out that (presumably as expected), brokers aren’t that slow on their feet. I was moved from B-book status (i.e. rookie / loser status) to A-book status. Let’s just say that exces…
FOMC Day: How the Golden Goose got cooked – Getting my A-book status
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
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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 treacherous path. Usually day traders end up losing money, usually because of massive slippage on their stop-orders followed by knock-outs on their protective stops because o…
A Painful Way of Learning NOT to Trade the News: a Lesson for Day Traders: ADP Slippage and the EURUSD
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