Price heteroskedasticity is not new, it was discovered in the 80s, if not even earlier. I think you've been reading the wrong studies. Instead of reading papers coming from the economists side, which assume EMH, rational investors and the like, try ...

How to properly use Technical Analysis

The market is not random, that's a proven fact. You can differentiate between a random walk chart and a real chart - the real one has heteroskedasticity. There's a famous experiment when somebody sent to a bunch of technical analysts a series of ...

How to properly use Technical Analysis

Wrong. The data is in EST, which does observe DST. You couldn't find any one-hour leap because they occur between Saturday and Sunday, when the market is closed They do have an API forum (you need to register): url As for shocks, that's not too ...

Good Historical (Tick) Data Source

FXCM, Oanda, MB Trading, Dukascopy, LMAX. Each one of them has a different API.

C# programmer new to forums

Hi Jason, I have a Live FXCM UK standard account. Can FXCM change my minimum trading size to 1000 from 10000 as it is now? I seem to remember that this was possible in the past.

FXCM Discussion

The standard way to solve this is to take the logarithm of the price. url

How to normalize Forex prices?

I touched this subject one year ago: url To quote from then: =============== I've also dropped candles in the custom back-tester that I'm writing. The reason for me was that not even one research paper written by a quant used candles. I was afraid ...

Illusion of Time(frames)

Open a chart of EUR/AUD. You will find that it shows when the correlation comes home versus when it doesn't

Correlation - please come home

Loading DLLs in DllMain is a very bad idea: http://msdn.microsoft.com/en-us/library/ms682583%28v=VS.85%29.aspx

BOOL Apientry DllMain

This is a standard double, not a MQL double. A double has a 53 bit mantissa, which means that it can represent exactly any integer which fits in 53 bits (15 decimal digits) So this will work for files smaller than around 8 PetaBytes , after which ...

MT4: WinApi GetFileSizeEx

There are many retail brokers for FX options. For example Saxo Bank. But you are right, the maths involved are way to complex for 99.9% of retail. Try explaining to one that a put option is not a bet that price is going to fall, but a bet on the ...

Strategies that don't predict future price

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Strategies that don't predict future price

This is very similar to my own research, inspired by some papers I've read: image Look at the first bunch, for moves of 0.2%. L is the "level" - how many 0.2% moves we had in the same direction. So L3 means a move of 0.6% from the last local ...

Where is the EDGE in trading? The most important thing in trading!

? Banks love volatility. It increases their trading profits. url

Order Flow - Achieving the mindset

You should really learn how to use Google. url url url url url Yes, they are the CDS rates.

Order Flow - Achieving the mindset

Have you tried GARCH? It's the standard go to volatility estimator. Much better than ATR. But it doesn't handle intra-day seasonalities well. So you either have to use deseasonalized data, or use a different volatility model which can handle this, ...

Volatility Adjusted Stops

I see. You're right, I missed your point, since I don't work with bars anymore, only with ticks. My charts don't change their "look" when I zoom in or out: image

Why exactly do EMA crossover systems not work?

Many of the current models work on ticks. So even if it was something slow changing like a "daily" moving average, it's actually recomputed each tick and also for each tick in the past. MetaTrader for example does recompute the moving average on ...

Why exactly do EMA crossover systems not work?

You just use it instead of a normal EMA. They measured the profitability of standard EMA versus iterated EMA in a series of simple trading systems, including a moving average crossover system. The iterated EMA was 4% more profitable then the ...

Why exactly do EMA crossover systems not work?

There are MAs and there are MAs. Here's a "quant EMA": image image image image image

Why exactly do EMA crossover systems not work?