Could you please explain why the IDFT doesn't follow the price before the spike (the big gap)? Are you filtering/removing frequencies?

The Quantist

Banks routinely predict where the euro will be 6 months from now Just sayin... Anyway, we won't have to wait too long for the verification of this prediction.

The Quantist

All quants have a crystal ball eventually. After all, how could you trade without a prediction of some kind...

The Quantist

Like I said, I've browsed quite a lot of quant papers. I found some interesting nuggets along the way I'd be really interested in any opinion you might have on non-linear time frames. For others reading this, think of an M5 candle chart, but the ...

The Quantist

I understand why you say these things. It's the same reason I said mine - to open minds. 97% of retail traders lose. 99.9% of them use candles. 100% of the quant papers I've read don't use candles (maybe I'm interested only in the sub-fields which ...

The Quantist

mnikolic, I've seen that you are using FFT/wavelets. Have you ever used the Hilbert-Huang Transform, if you are familiar with it?

The Quantist

[quote=Ipso;3631121] You see, I knew that somebody will say that the information in that particular article is not appropiate for candlestick display. But like I've said, in tens on articles, NOT EVEN ONE used candlesticks. And some were analyzing ...

The Quantist

Could you explain why? I think it's because it's hard to analyze 4 data streams at once (O H L C) which in fact are derived measures from the same single price stream. Please correct me if I'm wrong, or list additional motives.

The Quantist

I have browsed through tens of quant papers. Not even one graph in them was done using candlesticks. All were continuous lines. Example: url

The Quantist

So, what does the current order-flow on EUR/USD tell you guys.

Domino's Price and order flow trading

This book has a whole chapter on how reliable filtering it's really done: url Hint: it's a very complicated problem to do fully automatically. But they do provide all the information you need to implement it.

Chart spike filter?

One of the best signs a trader didn't understood the basics yet is believing that FIFO makes certain "hedging" strategies impossible. But someone can be very successful even without knowing the basic mechanics. You are living proof of that

MT5 and forward???

There is some info on the blog: url But the charts there don't look very "quanty". Quants don't use candlesticks. You are also an introductory broker to Dukascopy, as evidenced by a link on your site: url

The Quantist

I think you can increase the radomness percent to 99.9999% or even more. url To simulate a random walk you don't need the best random number generator in the universe.

S/R and TL on Randomized Price Movement

There is a way to reverse the edge: be the house BTW, roulette is not "random" in the strict sense (since it's based on Newtonian mechanics): url

S/R and TL on Randomized Price Movement

I will use FXCM or dbFX as my broker. They both have variable spread. If I store only the mid point I wouldn't know at what price to buy/sell. Also, before news, the spreads widen dramatically. 30 seconds before NFP/FOMC the spreads go to 20 points. ...

Veloce algo trading

Since the M1 data is built from the tick data, I can use M1 for most purposes. I store for each candle the real O H L C values for both the bid and the asks. So when I test I can truly work on real market prices. I have one more trick here: I added ...

Veloce algo trading

Thanks! I know that site. In fact if it wasn't for him, I wouldn't have found out that Dukascopy data is so good and so easy to download (the easiest to work with from my 4 tick sources).

Veloce algo trading

Generating M1 candles — In the last months I have downloaded tons of tick data. Over 2 billion ticks on 150 instruments (but some, like EUR/USD, are counted multiple times - once for each broker). The tick data occupies 11 GB in compressed ...

Veloce algo trading

Tick downloaders — My FXCM and Dukascopy tick downloaders working (click for full size): image The dbFX tick downloader is very similar to the FXCM one from above, since it's using the same API. Now the GAIN Capital (forex.com) history data ...

Veloce algo trading