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?

Yes, they are called "buy-side algorithms" or "execution algorithms". In general they are used by big players like pension funds or commercials. VWAP for example was the original execution "algorithm". Through these days you would have to be quite ...

Order Flow - Achieving the mindset

Average interbank trade size decreased, not increased. So I find it hard to believe that there is 20 mio per level when the market is fast. Because: The books are now run by HFT algos. They have orders on all the levels. When you hit the top of the ...

Order Flow - Achieving the mindset

Hmm, I don't buy it. 1 yard in a few seconds would move EUR/USD 200-300, pips, not 30-40.

Order Flow - Achieving the mindset

Let me tell you about a wonderful invention I just found out about. It's unbelievable: url What will they think of next?

A question about Bloomberg

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Where do we get Italian bond prices?

What happens if prices move in your favor 100% of time? S1 - 25% (100% / 4) S2 - 25% (100% / 4) S3 - 25% (100% / 4) S4 - 0% (0% / 2) S5 - 0% (0% / 2) S6 - 25% (100% / 4) expected value: 0.25 * 6 + 0.25 * 6 + 0.25 * 6 + 0 * (-5) + 0 * (-9) + 0.25 * 0 ...

Math Help: Probability

Those odds can't be computed with only the information listed here. At least by me, since I don't really understand what you mean. I mean, I do understand in principle, but you give too little information and the details matter. What would happen ...

Math Help: Probability

Expected Value (EV) for case 50/50: EV = 0.5 * 4 - 0.5 * 2 = 1 Expected Value (EV) for case 70/30: EV = 0.7 * 4 - 0.7 * 2 = 1.4 So, for each trade you'd win 1 unit for the 50/50 probability, but 1.4 units for the 70/30 probability. This assumes that ...

Math Help: Probability

The problem is ill specified. It's like asking this: "If I increase the area of a circle with 20%, how much will this other segment length which is now 66 cm increase?" Well, that question doesn't make sense, you can't answer that question without ...

Math Help: Probability

How about reading the facts instead of repeating hearsay. It was caused by a couple of badly programmed algos, not by a human trader confusing $M with $B. url url And a $200 mil order will move EUR/USD 50 pips. Source: Oanda and others.

How many lots makes a difference?

Guys, that article gets it all wrong. Read the real news instead: url It's about controlling the risk of HFT, not about forbidding it. The banks love HFT for the commissions they provide. And the banks who can't handle the heat don't enter into ...

Forex industry clamps down on high speed traders

You can "modulate" the two together, ie: if you are long EU and want to short it for a swing play, decrease your long position. And you weigh the orders by the confidence level of each trade. Of course, this will not require more margin only if the ...

Order Flow - Achieving the mindset

Yes, I can find the difference between random data and real market data. You can too using GARCH. Don't talk about what you don't understand. BTW, very funny seeing all the people against the ranking of posters based on their "performances". But ...

Let's rank members by their performance in FF's trade explorer!

I have friends who develop ultra-low latency HFT algos, the type of where it matters what kind of network card you have, since your strategy is to basically front-run the exchange order-flow. I don't have the resources to work on that level yet, I ...

Order Flow - Achieving the mindset

BTW, for those of you watching and trading the news, be aware that there's a new breed of HFT algos which play very aggressively in the seconds before a news release: url The basic idea is to move the market in the low-liquidity environment before ...

Order Flow - Achieving the mindset

Another reference that a 2 bln order moves the market hundreds of pips. Just like Oanda said (200 mln on EUR/USD -> 20 pips movement). Unlike what most forumers here believe - that you need countless billions to move it a few pips.

Order Flow - Achieving the mindset

Let me tell you a joke: Black-Scholes makes a lot of invalid assumptions: log-normal price distribution, no transaction costs, continuous prices, no liquidity gaps, ...

Securities prices follow a log-normal distribution - a winning system?

So, I've downloaded the whole Forex Factory forum in the last weeks. 282 thousand pages and 20 GB of HTML content. image image Time for a few simple analytics and then some clustering experiments.

Trading against thy fellow trader

You're right. But if you have a directional view you should just trade the spot. I can think of a few situations where using options for implementing a directional view would be better, but in general options are more expensive than the spot market ...

Order Flow - Achieving the mindset