There is one good possibility, just skip the trades with too high risk and delete all pending trades if your combined maximum exposure rises too high. Then you can add the trades back when your combined exposure has fallen to low enough level for ...

Systematic trading

I don't trade my profit curve if that's what you are asking It's basically just a natural result for percentage risk and low volatility (I almost always place my stops based on volatility). Flat periods on my curve are usually whipsaw periods ...

Systematic trading

Here is last picture as an example, this is risk split to 1/3. Note how the profit factor grows but final balance goes down. This is exactly the same algo with lower risk. What I'm trying to say is that PF is not as important as how much DD you are ...

Systematic trading

That's why it's a good idea to find multiple longer term systems and then run them all simultaneously as a one big system - yu will get many entries per day but still have a decent profit factor. My point was just that trade frequency is almost if ...

Systematic trading

Profit factor is just one of the parameters, other which I consider to be more important is how frequently the system trades. If I would have a system that trades 50 times a day with a low but reasonable profit factor, I would take it rather than a ...

Systematic trading

Sortino (sharpe modification) is also a good way to calculate your risk adjusted profits url And to something totally different - I wouldn't have thought how much some extra trade management rules will affect your trading. I trade multiple (about ...

Systematic trading

Some more stuff about high frequency url

Systematic trading

Yup, it's where I found it [the link to image that is]. - Didn't read the comments though - thanks for noting that, there is some very good discussion there (usually reddit discussion about anything related to trading is quite bad quality) ps- I'm a ...

Systematic trading

And here is chart from 2009 data - it's intresting to note that the middle peak is at the same minute (32) so the data is probably about the same but there seems to be something different in esignal data.

strange behaviour on minutes

My 1 min data is from forexite (it's bid data Jan 2001 - 01 Jun 2009), below are statistics from 2001 to today from EURUSD grouped by year. Odd column tells if the minute was odd or even +------+------+---------------+ | year | odd | avg(high-low) | ...

strange behaviour on minutes

Bernanke in panic mode over Fed audit bill url

The video store

thanks ak, I'll take a look at that.

Systematic trading

There has been a lot of talk about "high frequency trading" and flash orders in the press, especially because goldman codes were stolen or something. Here is a very interesting chart on one possible way of how high frequency trading could work. ...

Systematic trading

Another interesting article about probably the most famous quant fund on planet Jim Simons: Method of Operation url Full testimony [video] here url

Systematic trading

Well said pipmutt, exactly what I was going to say. Leverage is pointless, just calculate your total risk exposure.

Veteran forex traders, how much leverage do you use to trade?

I'm quite interested how this system worked in the longer run - Codebreaker, do you want to post some info about the profitability of your system now few months after your last post? Have you been able to make results even better?

Optimized Trend Trading

Here is an interesting article about high frequency trading Traders Profit With Computers Set at High Speed url

Systematic trading

For me the next step would be to automate the strategy you are using (if that's possible) - that way you will still have the profits you need but much more free time.

After you are profitable - Now what?

http://news.google.com/news?um=1&ned=us&hl=en&q=Brazil%2C+Canada+Pull+Money+Out+Of+Treasurys+ (Click through the google news link to read the full article, linking WSJ directly only gives first few lines) Brazil, Canada Pull Money Out Of Treasurys ...

Jay's Daily News

Yes, IB offers Market depth for their liquidity (check tws "booktrader") as does MBTrading and so does Dukas. Not very deep but quite good anyway. And you could always use currency futures as well of course. I meant their liquidity is not the whole ...

Trading for a Living - Cliff Notes