Bond Index vs 10 Yr Rate, 1871 – 2018
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Trading Order Out of Chaos
In this article I’ll follow up from Part I, on using the UK Services PMI to trade the GBP. The questions we’ll answer are:Let’s cover the main themes that affect the Foreign Exchange Rate:
- What economic indicators for GBP are out there and which can we use?
- How do you set up a macro system?
- What does it mean to trade a basket of currencies against GBP, or is there a preferred pair to trade?
- Inflation: influences Central Bank behaviour, but also tells us about price increas… Read more
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… Read more
EURUSD tick data for the period 27th March 2016 to 1st April 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.
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… Read more
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
High Frequency trading has become both the poster-boy and the scapegoat over the last couple of years in trading circles. It’s been seen as a sure-fire way of making money, as well as a sneaky way the flash-boys tax all the other participants in the market. In this article I want to cover some of the basics of High-Frequency Trading, as well as how it applies to trading from your “Living Room.” An example of such trading from your own private realm is the following P&L chart showing profits i… Read more
An upcoming recession in the US is on everybody’s mind (at least that’s what Google Trends shows): 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… Read more
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.
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