So would you suggest I get more data (lets say 5 years), and maybe backtest on the first 3-4 years, and out of sample test on the last 1-2 years to see if it agrees with the backtest? If so, the next step would be live demo test for a while (to get ...

FXEZ's Quantitative Research In R

Optimization of trading parameters and backtesting R is great because of all of the packages available for it (many trading related packages), and its vectorized so its very fast. Below is an example of a simple trading system, but the code can be ...

FXEZ's Quantitative Research In R

Rocky, That's awesome that you do things like that! When I retire we may move down to Mexico (my wife is from Puerto Vallarta). She wanted to open an orphanage, but I told her I'm sure that there are always some around that can always use help. Out ...

Trading with range bars ichimoku cloud & awesome oscillator

Yep! A few bad trades don't mean a system is bad. Most beginner traders give up after a few bad trades and move on to the next system. They need to realize they need thousands of trades and the law of large numbers to take over ... then they will be ...

Hottest Holy Grill Low risk steady rewards

Seasonality and Pivot Point Probabilities The below code requires TeX to be installed, but produces great pdf's of your analysis. Refer to the attached pdf for this post. This code below analyzed several years of data to produce seasonality graphs. ...

FXEZ's Quantitative Research In R

R for Cointegrated baskets (Part 4) Referring to the last graph above of GBPJPY - 1.107*USDJPY: We have about 1000 hours of data to produce this graph. If price were to go to the -1 stdev, we can they buy 1 unit of GJ, and short 1.1 units of UJ, and ...

FXEZ's Quantitative Research In R

R for Cointegrated baskets (Part 3) Now that we have our spreadsheet with good candidates for trade entry, we need to visualize the spread along with its mean and +/- 1 and 2 stdev. I created a function to do this. Once the function is loaded, you ...

FXEZ's Quantitative Research In R

R code for Cointegrated baskets (part 2) Now that we have the data frame 'x' of all prices (data massaged and scaled as described above), we normally would do a linear regression of each pair on each other to calculated the coefficients and then ...

FXEZ's Quantitative Research In R

R code for Cointegrated baskets (Part 1) This post will be long (code-wise), so will be in parts. I was looking through my old R files, and found this which I was working on a year or so ago. The idea was to find co-integrated baskets of 2 pairs or ...

FXEZ's Quantitative Research In R

Here is my screenshot for the same for 50:50 chance (random walk) coin flip: image Code: sequenceOfCoinTosses <- sample(c(-1,1), 10000, replace = TRUE, prob=c(0.5,0.5)) plot(cumsum(sequenceOfCoinTosses), type = 'l', ylab="", main="Sum of 10000 ...

FXEZ's Quantitative Research In R

FXEZ, Subscribed! I also use R extensively for trading research and analysis. I will also post some of my results and source code here. I'm sure if enough folks contribute we can all learn from each other. Merry Christmas! EZcurrency

FXEZ's Quantitative Research In R

I have attached here the template, non lag dot, and also added ARJUN 10 EMA (upper right corner). That shows the trend on multiple TF's. I use it to look for a trend in the longer term (D/W, or 4H/D) direction to trade. For example, EURUSD was up on ...

Trading with range bars ichimoku cloud & awesome oscillator

London session: out GU for + 25 pips. Out EU for -3 and UJ for +3, but won't post those. Market wasn't moving much for those pairs. GU could fall more, but its nighty night time as I have to wake up early for some canoe PT! EZ

Trading with range bars ichimoku cloud & awesome oscillator

Nice long on UJ! I bet there are a ton of SL above 118.7, so that would be a good place to take profit if a SL run occurs. EZ

Hottest Holy Grill Low risk steady rewards

Asian session trades on some AUD strength: Also still short NZDUSD from 0.7101 (not shown), but holding for longer term move (already up 175 pips). My plan for this is a concept called 'anchor trading.' I'll watch NZDUSD using this system for a ...

Trading with range bars ichimoku cloud & awesome oscillator

What are those lines (blue and brown) on the chart? If I added this (for longs): PRICE >( MN1_prevHIGH && W1_prevHIGH && D1_prevHIGH...........+ all TF.........down to M1) It doesn't matter for the rest of the parts you wanted to add (mean, low, and ...

Multi-Lot Multi-Timeframe Position trading

I changed open to close in the logic, and also added a time entry option. Right now its set 00:00 to 23:59 (all day), but if you want to trade certain hours you can now set that. I was thinking of running on London open for all pairs for 5-6 hrs or ...

Multi-Lot Multi-Timeframe Position trading

OK. See attached. There are 4 entry options based upon trend alignments. There is currently no exit criteria, but that can be easy to add. I did put a trailing SL feature though, but set to 0 to deactivate. Also there is auto magic #, so you can ...

Multi-Lot Multi-Timeframe Position trading

I modified one of my EA's to do the above: A) TFMs : Market price > MN1_OPEN & W1_OPEN & D1_OPEN & H4_OPEN & H1_OPEN & M30_OPEN & M15_OPEN & M5_OPEN & M1_OPEN == BUY (( Do the same for SELL with opposite <. )) As far as running multiple pairs on 1 ...

Multi-Lot Multi-Timeframe Position trading

What is your grid spacing? Do you buystop on new highs, or buy limit on lows for your grid? What are the conditions to hedge when the trend turns? -- without this, all grids will fail eventually, but if you have a decent hedging mechanism to hedge ...

The Ultimate Solution - Martingale with Trend Following 2 in 1