Here is my version of the same data but going to 4th sigma (red). Solid lines are reality and dotted lines assume a normal distribution. I think fat tail is clearly visible ;-) Also visible is the covid-19 effect on the negative 4th sigma image ...

A Simple Mean Reversion Strategy

Hi, I made a bit of stats on A/U H1. Nothing very surprising. - The max gap is approx. 1200 pips (8 oct 2008). - Theta is correlated to the spread. This makes sense because of the lag of a moving average (distance to the MA is the trend times the ...

A Simple Mean Reversion Strategy

I see your graph as a noisy image in parameter space. Running a low pass filter (blur) on it was my first idea. I took your data and applied a 5x5 uniform kernel on it (a 2D SMA). You can see that the lucky peak gets averaged out. Then I spotted (in ...

Finding The Most Robust Parameters Using Optimization

Checking the source and reproducing the expirement is a very good attitude but the article was written by a forum member like you and me not the broker. The article never says that the synthetic data was generated from a uniform distribution. It ...

Deep learning prediction with DeepMind's Wavenet architecture

Perhaps you should start now, in parallel. I can see some reasons for this. The first one is to avoid taking the problem by the wrong end. I mean you will end up with a NN which will provide some prediction. In the end of the day, that's just an ...

Deep learning prediction with DeepMind's Wavenet architecture

This is not a trend. It is a fluke. A trend exists when there is a tendency (hence the name) to "push" the walk in a preferred direction. Nothing forces the roulette to choose red. => A long series of red at a roulette table is a spurious trend ...

Probabilities in a Random Walk (Question about one CP's post)

What follows any point on a random walk is just a random path which may equally be up or down. Spurious trend is to trend what fool's gold is to precious metals.

Probabilities in a Random Walk (Question about one CP's post)

The post quoted by Craig is indeed wrong. A process can be non-random (=deterministic) and predictable: The position of a train running constant speed on the rail road. A process can be deterministic and unpredictable: The Lorenz system of equation ...

Probabilities in a Random Walk (Question about one CP's post)

If you draw samples from a normal distribution, that never changes over time, how many samples do you think you would need to estimate within ±1% error margin the mean of this distribution?

Curve fitting vs optimization

Ok you throw it away but after? You will search for another and another and yet another until you find one that works on both periods. Build 10000 of totally random systems. Discard all those that don't perform well over 2000-2014. How many of the ...

Curve fitting vs optimization

There is confusion with many terms like random = unpredictible or predictive = acurate. An example: EUR/USD will close the week between 1.0000 and 1.3000. This is a prediction and I'm extremely confident it is correct => my model is actually ...

Curve fitting vs optimization

I'm not sure that the volatilities are very different. I think the larger fan out is an effect of scaling the chart vertically. What I see is that E/U and G/A charts are looking alike. When you long one you short the other?

Simple Mean Reversion

Don't worry AO I perfectly understood where you were getting at ;-) When I realized the length of this coastline path was so long compared to the bird flight straight line I said to myself: "Oh F*** I want to be a market maker". But your question ...

Simple Mean Reversion

I was puzzled by the question so I took my ticks database for EUR/USD. I measured the path length (sum of absolute tick returns) over all periods of 24 hours starting at every hour. It isn't really a range vs trend classification but the bigger the ...

Simple Mean Reversion

Since all of your "e-learning courses" are $199.99 / $10 each may you please post your scam in the commercial section? (Seriously 10 bucks to show how to implement a simple K-mean with R!!) Either you share OR you sell! image

Learn Computer and Data Science with Algorithmic Trading

Hi Jason, Can you explain why/how the open and close orders have much more positive than negative slippage? I would expect the slippage for at-market orders to be evenly distributed.

Trading Myths and Some Forex Math

I looked at the code of the strategies. They are all built on the exact same skeleton. One entry trick. On exit trick. One position at a time. Same lot size. Fixed trailing stop. There is no way the generating process comes up with a solution that ...

Systematic Portfolio Diversification - Data Mining Concept

When an animal is too colorful is it often poisonous. When the package is too colorful is it often marketing :-) Would you really eat those pastel colored spaghetti? Can I really trust this Monte Carlo thingy? Let's have some fun. Here is a bunch or ...

Systematic Portfolio Diversification - Data Mining Concept

Better with a picture? image

Pairs correlation and Money Management

I once tried to set a screw with my hammer. I failed. Hammers don't work. A friend of mine told me to use a screwdriver instead. Man, you can't even put a simple nail with that! Screwdrivers are even worse crap. And please don't tell me about this ...

Systematic Portfolio Diversification - Data Mining Concept