People in this thread may be interested. I've been interested in forex systems for a while, and finally decided to have a go - using my knowledge of AI and operations research. I've just started, but I'm blogging about it over at FX.AI. David

Systematic trading

I suspect by storing the difference in points from the previous price?

Systematic trading

You could always go with the empirical option of doing a Monte Carlo simulation of various scenarios, using a kernel to sample from the (highly) non normal distribution...

Systematic trading

Overfitting — Be careful betting real money on this approach. It is based on an overfitted model; the linear relationship only holds for the period of time that the regression was trained on, and can be expected to behave differently in the ...

Synthetic hedges, cointegration, mean reversion and similar stuff

Good thread — This is the most interesting thread I've read yet on FF after a few months of browsing off and on. I have some thoughts on algorithmic discovery and selection that I have been mulling over for a while. Essentially my idea ...

Systematic trading