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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 […]

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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
I understand how tedious it can be to have to manually write all the trades out. And MT4 is the worst at making your trade history accessible. This script will produce a csv file of your entire account history. It will enable you to ask some pertinent questions and work out relevant stats. You’ll find details on calculating the right trade-stats in the blog posts on this site. The output is stored in the C:\Users\XXX\AppData\Roaming\MetaQuotes\Terminal\<Funny Hex Number>\MQL4\Files dire…
MT4 TradeLog Extractor
Backtesting and Over-Leverage are the bane of any systematic trader. A shout out to Peter who raised both these points on the previous article in the series: Trading Numbers So, what are the two issues we’ll address in this week’s article:
  • Look ahead bias, and is it really that bad?
  • Kelly is always touted as optimal. Is it really that optimal?
And to all those who don’t like spoilers: (2) will be covered in more detail later in this article series, so close your eyes; but foll…
Dangers of Backtesting, Over-Leverage and the Need for a Protective Stop
This indicator will average the bid / ask spread over the last N ticks. The purpose is to be able to monitor the behavior of the currency pair during fast markets, such as occur before and during news announcements. It’s useful for indicating times of increased danger, and can be used as a possible flag to square positions. The parameters are:
  • MA: the number of ticks to average the bid/ask spread over.  The default is set to 30 ticks
  • showTickCount: a boolean flag, which when set t…
Average Bid/Ask MT4 Indicator
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
Taking control of your trading numbers is very important.  Here is an example of how straight forward it can be to run backtests in Excel. If you want to follow along in the article series, follow the link: Taking Control of Your Trading Numbers
SPY 12 Month Momentum Filtered Backtest in Excel
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
A favorite investment technique that has been publicized widely is trend-following.  Everybody has heard of the Turtle Traders, a group of novices trained by Richard Dennis in the art of channel-breakouts, a system developed decades earlier by Richard Donchian. In this article we will look at the current performance of trend-following in the Western futures markets, and see if we can’t find better performance in other markets.  As previous mentor of mine always said: it’s not so much ab…
Fishing for Opportunity in New Markets: Chinese Futures Markets and Emerging Market FX