I use R also ... there are so many packages to use which people have written, its fast, free, and you are able to code in almost anything you can imagine to test. The downside is its a steep learning curve, but once you are up to speed on it, its ...

Automatic Trading System Creation

Email sent

100% Win Math Grid Ea

Specifically what issues? If you post EA source here I will fix and repost for testing. EZ

100% Win Math Grid Ea

No ... residuals is observed value - predicted value. This is calculating the 'spread' between the two currency pairs. An example is shown here (attached). Horizontal black line is the mean, green and red are +/- 1 and 2 stdev. Regards, EZ

Mathematical Relationship between Forex pairs

Mathematician, Have you ever looked at co-integrated pairs and triplets? I did some work on it a while back, and will revisit after my current projects are finished and trading. Basically I did this: 1) Download 1 year of hourly closing data on 25 ...

Mathematical Relationship between Forex pairs

I looked at this a while back, and created a balanced basket between multiple pairs ... the result was it was exactly balanced (no net exposure) that equity never changed. It cost the spread for each pair to get into the basket. Using Oanda, you can ...

Mathematical Relationship between Forex pairs

Are you familiar with R? It can probably do all of the testing (AR models included), at MUCH faster speeds than MT4. I use R to do analysis all of the time and test out some general ideas before I code my models into MT4. Regards, EZ

Trade based on Autoregressive Model

Mathtrader, Since the EURUSD pair is made up of two currencies, why don't you create an EUR index and a USD index (or use one from a broker such as LiteForex), then run your AR model on both these indicies. If EUR model indicates next day up and USD ...

Trade based on Autoregressive Model

LOL ... I wish!

EURUSD

Yep, that's called negative sentiment. Time to short. EZ

EURUSD

I love R! Its my favorite letter of the alphabet! ;-) Also awesome for number crunching and trading simulation ... EZ

What's a good volatility contraction indicator?

Simpleguy, Good idea ... I'll look at trend, and also currency strength for the pair (AUD strength and USD strength for AUDUSD for example). Later I'll post updated stats. I am proficient in R and Excel ... if you have any ideas to test out to ...

Quant basket trader? I need your help!

Well, I tested the probabilities for this since I was curious. I dowloaded daily AUDUSD data (2071 days - over 8 yrs) and tested the above. Here are the probabilities: If Daily close is higher than previous 2 days highs, probability that next day up ...

Quant basket trader? I need your help!

PipMeUp, I'll give it a shot. In post 52, you said "So the question is: "What is the optimal objective criteria to decide what position should have been taken at a given point of a chart?" In the picture below should I have been long or short or ...

Quant basket trader? I need your help!

Oh ... forgot to mention in my directional grid test ... some human intervention I do. For ex: after looking at weekly trends, I look if (1) major news is coming out the next day (ex: NFP on F, so I shut down grids on Th), or (2) near major S/R for ...

Quant basket trader? I need your help!

PipMeUp, I've tried various mean reverting strategies. First (1) individual pairs, and (2) cointegrated baskets (a) 2 pairs and (b) 3 pairs. Both strategies on multiple TF's (1 hr to WK). IMO after countless hrs of research and trading (live / ...

Quant basket trader? I need your help!

Hi IBO, Would you mind posting the name of the book? I may be interested in giving it a read. By the way, long GBPCHF also! ;-) EZ

Multi-Lot Multi-Timeframe Position trading

Try Amazon Web Services (AWS). Free for 1 yr if you use lowest tier VPS. Regards, EZ

Trapping System: Grid

Sure, when you use the BB's on the indicator (1 or 4 hr chart), buy the basket at -2 stdev, exit at 1 or 2 stdev. Eventually I will write an EA to do all of this, once I have more time. I also need to download new 1 hr data to calculate the ...

Trend basket by linear regression of uncorrelated pairs

Finally getting around to posting the above. Attached are some of the coefficients for a rolling regression. This basically shows how much the coefficients change. Some are quite dramatic going from + to -. I think if data is downloaded each week ...

Trend basket by linear regression of uncorrelated pairs