Trading Order Out of Chaos
In this section I will be including Excel spreadsheets, Python or R scripts, and Matlab scripts which are useful in illustrating certain market concepts or performing relevant calculations.
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: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… Read more
- Look ahead bias, and is it really that bad?
- Kelly is always touted as optimal. Is it really that optimal?
I’ve written several articles on what happens during news announcements, and associated quick trading strategies. But from a regular trader’s perspective, surely there must be another way to approach these things. In this article I’ll given an overview as to how to trade these news announcements in a slightly more leisurely way, and see if there is anything to be had out of trading against market hysteria. The instrument of choice will be the EURUSD, though you can pick any other inst… Read more
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… Read more
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!!