Depends on the specification. In the graph shown above, the number of trades per year is approximately 244. Most of the time is spent in the idle state, as each trade takes only several minutes.... Not saying that this is the best way to trade ...

Nonparametric Association Measures in Systematic Trading

Dear Herbie88, I have read the threads you have linked. Frankly, I do not know why you have referred to them because they are quite "light" (read "stupid"). The only advice they give is "use Python". They do not characterize Machine Learning ...

Nonparametric Association Measures in Systematic Trading

Ok, great, but how did the strategy perform over the whole of [Jan 25 European session + Jan 25 US session], with EUR/USD going from 1.24 to 1.253 and back to 1.237. I would imagine the strategy to perform better in calmer waters.

Nonparametric Association Measures in Systematic Trading

Thanks!

Nonparametric Association Measures in Systematic Trading

Alphadude, I never tested / tried pairs trading involving AUD/NZD. Inefficiencies in AUD/NZD were identified using a different kind of screening. Having that said, it does not mean that some form of flexible cointegration is not possible... I ...

Nonparametric Association Measures in Systematic Trading

My analysis is based on 1-minute data taken from Dukascopy ( url ). I am not interested in higher frequencies because I do not want to trade purely algorithmically at this point. I have experimented with various specifications of the decision window ...

Nonparametric Association Measures in Systematic Trading

Alphadude, so are you short or long the EUR/USD? The US government shutdown may throw statistical relationships in the air for a while. My experience agrees with yours: stop losses do not quite work with FX pairs trading. However, I assume you are ...

Nonparametric Association Measures in Systematic Trading

Unfortunately, it is different from the world of Gain Capital or FXCM. There you cannot "change the spread". You enter 1.90 and nobody hits you. New market orders still hit the 2.00 level of some "liquidity provider"... My point was only this: you ...

Metaquotes Will No Longer Sell its MT4 Trading Platform

With Interactive Brokers, my sell limit order at 1.90 is not "0.9 far away until" it "will trigger". It may get triggered any time by an arriving market order. The 1.00 bid you see on the screen is just the most competitive limit order... The ...

Metaquotes Will No Longer Sell its MT4 Trading Platform

And that's what I'm talking about. If you see 1.00 - 2.00 on the IB screen and enter a limit sell for 1.90, the spread instantly adjusts to 1.00 - 1.90 and the next buy market order is applied against you. As I said, you can trade within the bid-ask ...

Metaquotes Will No Longer Sell its MT4 Trading Platform

Well, if we are talking about the same thing, being filled inside the bid-ask spread created by others is not possible with Gain Capital and FXCM. Even if your quotes are more competitive, any new market order will be applied against "liquidity ...

Metaquotes Will No Longer Sell its MT4 Trading Platform

Dukas_trader, you can do this with Interactive Brokers.

Metaquotes Will No Longer Sell its MT4 Trading Platform

Alphadude, I think there is potential in this direction. There are at least two ways of using stationary combinations of financial indicators: 1) The combination is tradable and corresponds to the price of some portfolio, perhaps with constantly ...

Nonparametric Association Measures in Systematic Trading

Alphadude, I believe trading the spread between A and B is a particular case of pairs trading (if I have understood you correctly). In greater generality, pairs trading allows one to choose optimal weights for A and B. I'm also not sure that A and B ...

Nonparametric Association Measures in Systematic Trading

Thank you, Alphadude.

Nonparametric Association Measures in Systematic Trading

Alphadude, If you are so easily scared by formulas, I told you to skip the mathematical parts and focus on the idea of the tests. You sound lazy enough not be willing to read rigorous text and just chat, chat, chat on this forum. Any method can be ...

Nonparametric Association Measures in Systematic Trading

Interestingly enough, here is an example of Spearman's rho in trend detection. The paper is somewhat technical. So a regular FF member may skip most mathematical parts to get an idea of the proposed methods. My opinion: the proposed tests may serve ...

Nonparametric Association Measures in Systematic Trading

PipMeUp, you are missing the point that this thread is not about well-documented asymmetry of returns (interplay between magnitude and direction) but about interesting prop ideas based on Spearman's rho, Kendall's tau and such. Sure, but there is a ...

Nonparametric Association Measures in Systematic Trading

Applications of nonparametric dependence measures in pair selection was just the first block of links that I posted. This is not the only area with potential (and not the most promising one). However, even here they may be connections with the macro ...

Nonparametric Association Measures in Systematic Trading

Thank you for this example, PipMeUp. Yes, such situations happen all the time (when one big player has to work a big notional, for example). However, seeing more down bars than up bars in your example is just a matter of setting the bar frequency. ...

Nonparametric Association Measures in Systematic Trading