You are using Windows. The best random generator in this case is this: url It's suitable even for cryptographic purposes. @markmm: CryptGenRandom uses all kinds of inputs to it's mixing pool, including hardware events (keyboard presses, hardware ...

Systematic trading

I think it would be better to run these tests with real tick data. The tick data from here ( url ) has for example 30K ticks in a EUR/USD 4 hour period (depends of time of day). That sounds to me like a too little sample. What if those 4 hours were ...

Tick Statistics

Works for me. Right click and and Save As. It's called "THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT FOREIGN EXCHANGE MARKET"

Triangular Arbitrage and carry trade

Mathematically speaking, if the series of flip coins is truly random, after the 1000 same side flips, you could have a billion more on the same side. You can't make any prediction at all based on passed events if the series is random and each flip ...

Tick Statistics

Random number sequences are by definition not predictable. I've seen studies which show a powerful negative first-lag autocorrelation of ticks (after an up tick a down tick is more likely), but I didn't see any stats on tick distributions in a ...

Tick Statistics

I was going to post about UBS FX research which I use, but looking at your posts you already know about them. Also from Oanda you can get 4cast research: url They write a lot, I didn't investigate how good they are yet. Saxo Bank's research was ...

Macro fundamentals

Interesting article this morning related to what I said about HFT detecting model underperformance early. url

Systematic trading

FXEZ, in your example I would pick number 3, because it has the most trades. This is the HFT philosophy. Maximum number of trades with minimum profit each. This also allows you to easily see when it's starting to underperform, before you lose a lot ...

Systematic trading

The pictures are from a paper describing these methods. My pictures are not that nice, and charts based on these time-frames look very similar to normal charts (but they are more "predictable"). Look around and you'll find it. The funny thing is ...

Time frame charts are for the 95% losers?

Some examples of volatility profiles (EUR/USD here): image By market component (Tokyo, London, New York): image You can use these profiles to build custom time-frames which are better than the standard ones: image

Time frame charts are for the 95% losers?

Dukascopy and TrueFX offer free milisecond level ticks. The TrueFX data has some missing days, and a few days with bad ticks (see pictures). They are not good enough for HFT. For that you would need something like HotspotFX market data, and ...

Need True Forex Tick data

Trying to win at this competition is like trying to win at the lottery. If you can devise a strategy to be lucky, then you can apply it to PowerBall

Systematic trading

BSM is fundamentally flawed. Otherwise why do traders correct for the volatility smile? It should come out naturally from the equations. About risk management: url

Derivatives Documentary

You missed a lot of news lately. Swiss ain't what used to be anymore... url Except from wikipedia: UBS was caught red-handed by the United States government offering tax evasion strategies, sending undercover bankers with encrypted computers to ...

US citizens won't be able to have forex accounts overseas

Triangular arbitrage is for HFT only. url

Triangular Arbitrage and carry trade

Why don't you try the system in reverse?

5m 200 EMA / PP backtesting results

Just one question for all the "hedgers". Why do institutional trading platforms, the ones where people trade by the million, don't support hedging? Why are all of them FIFO? I guess that institutional traders, the ones being paid juicy salaries to ...

What's the point of hedging?

Any idea about when will the tick data be available?

FXCM/DailyFX Signals and Strategies

Very nice worded answer, while avoiding the real question. You state 4 requirements that a "true ECN - Marketplace" should fulfill, but nowhere do you state that Dukascopy fullfills them. It's ambiguous statements like these that make people wonder ...

Dukascopy