Then it is the close price because it is the most recent one! Did you read the papers I posted here? url They may make you change your mind about "tick is more acurate". The good news is that the filter proposed by Corsi is easy to implement.

Close Price VS Median Price (or other price types)

Best with respect to what? Mid-price will lead to a smoother result since it is already an average. But an additional averaging increases the lag a little bit. Low/High are not evenly spaced in time. Is this a problem for your application or not?

Close Price VS Median Price (or other price types)

To take the spread into account add the weights and multiply the result by the spread s. Add the result to B. B + (0.1 + -0.25)s = B - 0.15*s with s in the same unit as the price. If you have 2 pips of spread, s = 0.0002 and B - 0.15*0.0002 = ...

How to calculate average price for open orders

At 1.64422 your long is 13.5 pips in loss. -13.5*0.1 = -1.35 your short is 5.4 pips in profit. 5.4*0.25 = 1.35 The difference is certainly due to the spread

How to calculate average price for open orders

By volatility I indeed mean variance because I don't really care the units are homogeneous. But I get your point that the distance between the 2 MA is in the same unit as the price series and therefore the standard deviation should be used. You're ...

Quantitative and Algorithmic Trading

A one-dimensional Wiener process

Quantitative and Algorithmic Trading

Thanks Adal! I was about to do this after reading this thread. You saved 30 min of my day. For what I can contribute to this thread I agree that the difference between close and median price based MA is pretty small. I think therefore that if a ...

Close Price VS Median Price (or other price types)

These papers are about volatility estimation. They describe a phenomenon they call the incoherent price formation. I didn't know about this and perhaps others don't either. Hence I share. In a nutshell: the estimation of the volatility is strongly ...

Quantitative and Algorithmic Trading

The breakeven price B is given by the following formula where Pi is the entry price for the i-th position and Wi is the lot size of the i-th position. Wi is negative for short and positive for long. In the example: (-0.1 x 1.3500 + 0.25 x 1.3520) / ...

How to calculate average price for open orders

Hindsight Indicator is my prefered one too! It lags a little bit sure but it is always right and doesn't repaint. I use the standard settings.

the naked eye indicator

If the basket starts trending it shall be rebalanced. If despite the rebalancing it keeps trending, the root assumption "these instruments are cointegrated" doesn't hold any longer, temporarily or permanently. There is no reason for over-exposure ...

Let's build together a system which makes 1000%/month

The idea behing basket trading is to find cointegrated instruments in such a way that the basket never trends. The problem in FX is that the currencies are strongly correlated but not necessarily cointegrated.

Let's build together a system which makes 1000%/month

+1. Smells like a bear trap.

the naked eye indicator

There is a bug in this piece of code. If I get it ExtMapBuffer is the output. They immediately store the result after the 1st computation. An IIR needs some samples to stabilize. I discard the first period results before considering the filter ...

Let's build together a system which makes 1000%/month

No the highlighted line is correct. That's the way an online computation of a SMA is supposed to be done. They divide the sum by the period so there can't be any accumulation of rounding error. If I understand well yours is sub-optimal since you ...

Let's build together a system which makes 1000%/month

Open time is midnight UTC. Price is (bid+ask)/2 The chart was made from the data coming from FXCM.

Let's build together a system which makes 1000%/month

I used the dates on your chart: 12th of September 2004 to 15th of December 2005 image

Let's build together a system which makes 1000%/month

Just count the number of crossovers on your screenshot (=18) and on mine (=9). Your EMA pink line oscillates much more than the SMA. That's not possible because the EMA reject frequencies better than the SMA for a given lag.

Let's build together a system which makes 1000%/month

Sorry Prox' but the only thing I see obvious is that MT4 doesn't compute the moving averages correctly. image RED = SMA65 BLUE = EMA65

Let's build together a system which makes 1000%/month

From this text I understand that - You can't walk straight forward if you stare at your feet: the ticks are the hairs on the elephant. - The author can't count. If the market goes up 3% per month during 18 months then goes down 2% per month during ...

Let's build together a system which makes 1000%/month