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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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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
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Kelly betting is an optimal approach to allocating capital to your system. In this article I want to show you how to apply this approach to your trading, and more importantly what kind of interesting questions you can answer using the ideas behind Kelly betting, in particular: “How long does it take to double my money?” First let’s start out with a simple example and progress to actual markets and trading systems. The example is as follows, and tends to be an interview question for a…
Kelly - What Is It and How to Use It
BEOB_MT4
As discussed in the articles on Bullish and Bearish Engulfing Bars, this indicator highlights the bars, and allows you to implement those trading strategies. The only input is an offset as to where to put the arrows indicating the bars in pips. This is best placed on an hourly chart.  The indicator will loot at the previous 8 bars, and check to see if the first group of four hourly bars engulfs the previous four hourly bars.  This is then rolled over with every new hourly bar.
Bullish and Bearish Engulfing Bars
EURUSD tick data for the period 6th January 2016 to 8th 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. Local Time is GMT+0 Server Time is GMT+1  
Tick Data EURUSD , 20160106 - 20160108, Broker1
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
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…
Book Review: More Money Than God
Taking Control of Your Trading Numbers is Taking Control of Your Profits
Taking Control of Your Trading Numbers – that means actually being able to replicate the results that others produce.  It’s the only way to be sure that you know what’s going on. Well, many people got back after last week’s article asking about the details of the calculations as well as about some of the more technical jargon:
  • What do I mean by asset?
  • What’s an asset bias?
  • What does it mean to risk-adjust returns?
  • How can I go about calculating the charts in the article?
  • How …
Taking Control of Your Trading Numbers
This XLS accompanies the article on Effects of Lunar Phases and Solar Eclipses on Currency Markets. It includes the relevant astronomical data as well as the currency data and the backtest so that you can experiment with the data yourself.
Solar Eclipse Strategy Backtest