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How to Trade the Start of the Year: Guide to Stress-Free Positioning

Most people are familiar with the term ORB (open range breakout). It was popularized by Toby Crabel’s book “Day Trading with Short Term Price Patterns and Opening Range Breakout”, as well as the The Logical Trader: Applying a Method to the Madness (Wiley Trading) by Mark Fisher. ORB uses the price range set at the […]

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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 […]

Testimonials

For a lot of people day trading represents the attainment of their trading prowess.  However, you need markets to move to capture profit, especially if you have to cross the bid/ask spread.  It therefore makes sense to trade only during those times in which you have a range-expansion. The indicator Range.mq4 measures exactly that.  If you place it on a 1M (minutely) chart, and set its LookBack period to 15 (that is the last 15 minutes), the indicator will show you the height of the range of …
Expanding and Contracting Ranges
Investing in Bonds
Of all things on this planet?!  Aren’t they boring?  Not explosive enough?  Isn’t this stuff what old people invest in?  Also, aren’t they supposed to start to sell-off?  And how do you get your hands on these over the counter instruments. In the first article of this series on Creating Profitable Trading Strategies  we started with the premise that you need to look at assets and their underlying biases. We covered equities.  They’re exciting.  Buffett makes 19.1% a year on them.  An…
Why Would You Want to Invest in Bonds?
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
EURUSD tick data for the period 28th February 2016 to 4th 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 , 20160228 – 20160304, Broker1
This XLS accompanies my guest article on RectitudeMarket.com describing the performance of short option strategies on EURUSD. It includes the relevant formulas and data so that you can replicate the results or apply them to your own option strategies.
Short EURUSD Option Backtest Spreadsheet
Kelly applied to the SPY ETF
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.
Kelly Criteria Spreadsheet