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You are here: Home / Archives for USDCAD

March 1, 2016 by Corvin Codirla 1 Comment

Bullish & Bearish Engulfing Bars (Part III)

This is the third article in the series on trading the Bullish and Bearish Engulfing candle stick patterns. Following on from Part I and Part II, we will look at trading the short signals for AUDUSD, EURUSD, GBPUSD, USDJPY, and USDCAD. Let’s recap the results for the long side: We used hourly rolling bars to […]

Filed Under: Forex Trading Strategies Tagged With: AUDUSD, Backtest, Engulfing Candles, EURUSD, GBPUSD, Range Expansion, USDCAD, USDJPY

February 23, 2016 by Corvin Codirla Leave a Comment

Bullish & Bearish Engulfing Bars (Part II)

This is the second article in the series of trading the Bullish and Bearish Engulfing candle stick patterns. Following on from Part I, we will actually perform some backtests using the results we found in Part I. In Part I, we split up the analysis for long and short trades separately. Here we will keep […]

Filed Under: Forex Trading Strategies Tagged With: AUDUSD, Backtest, Engulfing Candles, EURUSD, GBPUSD, USDCAD, USDJPY

January 19, 2016 by Corvin Codirla 2 Comments

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 […]

Filed Under: Forex Trading Strategies Tagged With: AUDUSD, EURGBP, EURJPY, EURUSD, GBPUSD, Gold, NZDUSD, ORB, Seasonality, USDCAD, USDCHF, USDJPY

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This XLS accompanies the article on Effects of Lunar Phases and Solar Eclipses on Currency Markets. It includes the relevant astronomical data as well as the currency data and the backtest so that you can experiment with the data yourself.
Solar Eclipse Strategy Backtest
Market timing refers to the fact that by judiciously choosing entry and exit methods in a given market you can out-perform buy-and-hold. The first question of course is why you should buy-and-hold in the first place. The idea stems from the equity markets.  Historically they have risen.  The famous chart of course is the S&P 500 over the last 65 years:
S&P 500 since 1965
S&P 500 since 1965
So why should this happen? Economic reasoning is behind this argument.  Long term macro and micro economic gro… Read more
Market Timing
This is the second article in the series of trading the Bullish and Bearish Engulfing candle stick patterns. Following on from Part I, we will actually perform some backtests using the results we found in Part I. In Part I, we split up the analysis for long and short trades separately. Here we will keep to this approach. The justification is that there need be no symmetry between the long & short approach. This is especially true for equity systems, where bear markets have distinct dynamics f… Read more
Bullish & Bearish Engulfing Bars (Part II)
This spreadsheet goes in tandem with the article on Trading Like a Hedge Fund Manager.  The charts are replicated in here, as well as the calculations, so you can follow along. The data is taken from finance.yahoo.com for the ETF products SPY, AGG, and GSG. Kelly betting is applied to maximize the returns.
Trading Like a Hedge Fund Manager Spreadsheet
Following from the previous article HFT from Your Livin Room I’m going to show you what the EURUSD price data from the 21st January, 2016, looked like post the ECB interest rate announcement and press conference. The focus will be in particular on the consistency of the price streaming of a retail broker, and how that led to the profits in the previous article. More importantly how you can follow along at the next news bonanza, the FOMC. As always the ECB circus comes in two acts. First … Read more
ECB Market Dynamics on 21st January, 2016
An upcoming recession in the US is on everybody’s mind (at least that’s what Google Trends shows):
Trend of "US Recession" Search on Google
Trend of “US Recession” Search on Google
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
A US Recession or Not - Outlook and Friday's NFPs
It’s only been the fourth trading day of 2016, but there is no shortage of surprises, volatility, and all round mayhem. Today the AUDUSD had two announcements which can be considered relevant. The first was at 00:30GMT, the Building Approvals number, and shortly after 01:15GMT the PBOC rate fixing for the CNY. The first announcement was followed by a slow 10 pip grind to the downside, followed by a retracement to 0.7084. The PBOC announcement was issued at 01:16GMT, on the back of which … Read more
More on Market Dynamics: AUDUSD and the PBOC
Python Backtesting

In Part 1 we used simple Python to Improve our Backtesting times.  Starting out with DataFrames we took a simple RSI strategy over a period of 7000 days and reduced from 7.3 seconds (which is a complete joke; sorry Pandas!) down to 0.003 seconds by converting everything to lists. But if you recall the comparison table at the end of Part 1

ImplementationTime for RSI2 Backtests
Python – Lists0.003s
Java0.00005s
C0.…
Improving your Python Backtesting – From DataFrames to Cython [Part 2]
Following on from the previous post on ADP and slippage I’m writing up this brief note to share the pain, and hopefully get the point across: leave the News Alone Please. One of my systems that trades the EURUSD currency pairs actively, operates using stop-orders to enter the market and associated protective stops to limit the losses.  You might have guessed it’s a momentum based strategy.  The issue here is that when the market gaps, or is too thin, the orders won’t get executed.  And this … Read more
Why Slippage Is Important -- Unemployment Impact on My Sanity

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