I'll see if I have time to do that.. However I only have 10 years of data meaning 10 highs/lows and that really doesn't tell much. I also aren't believer in seasonal movements in forex (in some other markets like commodities I might very well be).

Systematic trading

Sorry, I only trade and analyze majors (I haven't even downloaded any other data than majors).

Systematic trading

And about this, as this is EURUSD data, you could also make similar graphs for other majors. If all 4 majors show similar results it's IMHO fair to say that this is not a random occurence. I'll see what I can do.. edit: below

Systematic trading

I'm trading a system based on this and it has been effective on multiple markets (I trade and test majors) for at least 20 years. The funny thing is that when your usual trend following systems (turtle etc) have went from very profitable to ...

Systematic trading

Is it really? Have you made a statistical study of it? (I have) Or maybe the question is, when is the price touching the "gap" opening price considered closing a gap? During the week, same day, how many pips it can go to other direction etc?

EURUSD

It's really quite easy to understand. Other than commercials in COT are speculators (they make their money by betting for the movement of markets), commercials are companies that are trying to minimize their exposure to the currency fluctuations so ...

EURUSD

You shouldn't. Commercials are hedging and don't care about the direction.

EURUSD

I just take output into file from mysql and create graphs with openoffice.

Systematic trading

This is not just against euro. Dollar is crushed against all majors. For me it's the biggest reason to think this will continue further. It's breakout after breakout on all majors to weaker dollar and each of the other pair breakouts affects other ...

EURUSD

Some more simple stats from EURUSD below, this chart tells on what day the weekly high or low has been hit. This should tell you something about what is statistically the best way to enter/exit the trade.

Systematic trading

Did I say somehting about stops around 1.373 level?

EURUSD

Did everyone already see this? Major fundie stuff. url

EURUSD

Do you want to go into "quant" stuff? Here are some stats that might be interesting url url

Trading Room; 1KT

I haven't posted here for a while but this is going to be really interesting.. I mean IF this double top doesn't hold and we get breakout north instead. 1.373 is the level to watch very carefully.

EURUSD

Looks like I got things sorted out with ActivTrades and they reassessed that I'm not scalper I'm still going to go with the FIX gateway, this whole episode reminded me of why I want to use ECNs rather than market makers. The good thing is that ...

Systematic trading

If you know trade frequency and risk for each trade you know the maximum risk too. If you trust backtest results for the systems you trade (I do, I know how my systems work and what they are based on), you can run backtests and see what the ...

Systematic trading

Are we talking about profit curve volatility or market volatility (I was talking about profit curve volatility in my previous post ie. maximal sharpe/sortino/etc)? I trade directionally so I personally don't try to predict volatility in a sense that ...

Systematic trading

The EA I displayed at few posts just got me moved to "scalper account" because I had "too many trades open" (my broker claimed that I was scalping even though I only open/close trades once a day). Uh Strange coincidence that it was exactly next ...

Show your best EA

My first priority is to move my old systems to FIX. I have 16 systems that I have been trading, first manually with some discretion and then couple of months now with metatrader totally automagically. They are quite simple daily systems that mostly ...

Systematic trading

It's almost scary how similarly we think I went through Quickfix too and it looked far too messy and complex for my taste so I went through the FIX specs and almost decided to write my own client too. Thanks for your comments again.

Systematic trading