Trading Order Out of Chaos
by Corvin Codirla Leave a Comment
In this second part of the Mean-Reversion in Equities series we’ll cover the reasons behind why mean reversion works in various market regimes. In the previous article we combined the idea of looking at two consecutive down-days combined with buying the S&P 500 while it was below its five day moving average. A question that stands out: why does it work so well? And, will it ever stop? The answer to this question lies at the heart of developing good trading strategies.What’s a … Read more
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
EURUSD tick data for the period 6th March 2016 to 11th 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.
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… 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.
In this week’s article I cover the right approach to benchmarking your performance using the standard risk measures out there. In particular we’ll start out by outlining how the Sharpe Ratio relates to the usual performance measures such as Win/Loss ration or Return/Maximum Draw-Down ratios. This will allow you to see if you are on track or not, and adjust your trading accordingly. The purpose is to put risk measurement into context and relate your trading statistics to optimal wealth accum… Read more
EURUSD tick data for the period 20th March 2016 to 25th 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.
EURUSD tick data for the period 7th February 2016 to 12th February 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.
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 … Read more
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