I find that the following paper provides a good summary of many of the basic facts discussed so far: url Another subject that could be discussed in this thread is the market microstructure. In preperation of my thesis, I read quite a bit on this ...

Market facts

I also discovered his track record the other day, very impressive. Just inspected it in more detail, and noticed that the lot sizes tend to vary strongly over time. There might be a rationale for this, but we can't deny he was betting his account ...

Do you guys find that forex trading sucks?

I agree with the people that state that compounding doesn't work to infinity, but I also feel that the argument is sometimes being used to defend the people stating that they can make 20% monthly. The element that limits compounding is liquidity. ...

Do you guys find that forex trading sucks?

Many people who state that static systems cannot adjust to changing circumstances fail to understand that a static system CAN take into account dynamic market circumstances. Maybe I define static differently than the community, but for me, a static ...

How long should you test a strategy?

Another interesting topic is that there seems to be a relationship between volatility and correlations. In asset markets, correlations seem to rise with volatility (e.g. when the market crashes, all stocks crash together). There might be various ...

Market facts

As Mikkom noted, volatility follows volatility. I already mentioned that a primary driver of the kurtosis we just observed is time-varying volatility. This could lead us to hypothesize that the variance of 5 minute volatility is higher than the ...

Market facts

I just did some quick tests. Monthly returns go back to 1990; 5 minute returns go back to Jan 2011. Of course, one could object to that, though I believe the results hold in general. Considering the log returns in more detail: 5 minute: 11471 obs; ...

Market facts

Maybe you're right - there's little room for opinion, so lets examine the facts. I'll look it up on scholar.google.com, and if I can't find a source I'll analyze the data myself. I encourage you to do the same By the way, Mikkom, great idea ...

Market facts

Time-varying volatility explains a significant part of the excess kurtosis of price distributions. Inversely, when accounting for conditional volatility as opposed to unconditional volatility, the returns distribution becomes more "normal". Also, as ...

Market facts

It's really hard to quantify a trader's edge. In general, a trader's negative expectancy originates from trading costs and bad money management. Ignoring the money management part, a trader's negative expectancy is rather small, given that these ...

Break-even phase before becoming profitable?

The most highly correlated cross-pairs are the ones that have a direct peg to either one of the currencies. For example, EURUSD and DKKUSD have a correlation of ~1. EURUSD and CHFUSD are generally the most highly correlated major currencies. ...

Which pair has the highest correlation with the EURUSD

1) Long OTM calls, short ITM puts. The higher the estimated probability of intervention in the near future, the shorter the maturity. 2) Scale down. Build up positions in the period before the predicted event; if the market moves in the opposite ...

How to make money with the intervention of the BOJ?

Buy when RSI goes above 75 on the the tick chart.

High Frequency Trading

I'm not sure, but what about infrastructure expenses? Yes, trading forex in the retail market is relatively cheap, but infrastructure expenses may be significantly higher for other markets. There may be economies of scale, and if so, sharing such ...

Advantages of "prop" desks?

Concerning this table, I'd like to point out that these are quarterly figures, and given the small spread these days, random luck can account for the relatively large amount of winners. If we were provided the same data but on larger times scales, ...

Which is True about forex traders?

And I suggest you forget about the "professional" label. There's winning traders and losing traders. Winning traders either have an edge or have experienced good luck. Losing traders either don't have an edge, or have experienced bad luck.

Which is True about forex traders?

The main reason why retail traders make money is because they pay the spread. Though the following statement isn't based on any empirical data, you could expect that 95% of all market takers lose money, whereas 95% of all market makers make money.

Which is True about forex traders?