Thank you 9047 for posting these results. I notice a small bullish bias. I think it is certainly only due to the fundamentals of A/U: Aussie used to be a carry trade pair on the buy side. I suppose that if you do it again with G/J you'll get a small ...

Day's first H4 candle correlation to daily candle

That's a super-over-simplified example... I meant that the SL (in pips) will roughly be the same for the 4 entries and because the "long term" trade would be taken more or less at the same place and the same conditions as the 1st of them its SL ...

Expectancy Management

Again this favors a small R:R (once the expectancy is fixed) because a smaller winrate will always have a wider std deviation... But R:R=1 isn't perfect. With a fixed size MM, a winner and a loser balance each other: 1 + -1 = 0. Using a compounding ...

Expectancy Management

It is weird that the second curve points down in average as the expectancy is positive... I'm the one who is going to change my mind the most in this thread.

Expectancy Management

Correct. I had also in mind overlapping trades. I wasn't thinking about the correlation between the equity and the price. I was thinking about the correlation between the outcome of one trade vs the outcome of the previous ones. I saw the price as a ...

Expectancy Management

Thank you for your effort in reproducing the experiment. Your excel file is correct. It is clear that you found a mistake of mine. Now my own fundamental concepts are shaken! And this is certainly a good thing. I still have a little problem with the ...

Expectancy Management

It looks like there is some hard hurdle that block people from understanding something important: BREAKEVER IS A LOSER! None of this is about thinking, believing or agreeing. It's just maths. It's not by gathering enough people to agree that 1+1=3 ...

What is a good entry?

TLS=total least square? Which norm are you going to use to mesure the distance between two points?

Synthetic hedges, cointegration, mean reversion and similar stuff

For a simple binary outcome (win X or lose Y), the optimal bet size is E/R. Where E is the expectancy of your system and R the R:R. Your win rate is 0.8: E = 0.8(R+1)-1=0.8R-0.2 For a bet size E/R=0.6, solving in R gives R=1. Your statement is true ...

Need a little fix for that trading plan

One of the first stats of this kind I made was: "If a day is up, how low is the lower shadow? If a day is down, how high is the upper shadow?" Or stated otherwise, how big shall my SL be to not be unduly stopped out? Below is an excel file that ...

Knowing your market by collecting stats

Should you have properly read my post, the win rate of the second example is 33.3% If the coin is fair it will eventually give heads 50% of the time. When you toss the coin 10 times you may indeed come up with 7+3. You can and you will also get ...

Every indicator can be profitable?

Asking a girl her oppinion before she changes her mind is like flipping a coin ROFL. So let's flip a coin and let the little girl play her doll. She isn't interested in markets beyond the colors of the charts anyway :-) When you totally ignore the ...

Every indicator can be profitable?

Looks good and well documented. but it seems like you can only use it inside the JForex application. Can it be used standalone?

Any broker with API trading on small accounts?

I'm writing a rather big piece of software ( url ). I'm not willing to open source it. If you need some help to get started with the FXCM API no problem. Just ask. I'll certainly be more reactive and useful than their support. I didn't write the ...

Any broker with API trading on small accounts?

I must be missing something but I don't understand why you speak about charting and API in the same post. The API is only to transport messages to the broker not to chart anything. The charting is up to you. I'm also interested in finding a correct ...

Any broker with API trading on small accounts?

No, not this week See url for the lastest. Especially read post #20. The complexity is greater than finding a winner system anyway because you need finding a consistently losing system which additionally wins when reverted.

The Trading System That Never Works

Hello! After a few months of work did you come up with something interresting? I'd like to give another try to the AR(F)(I)MA-(*)GARCH models but I'm always blocked on the huge number of samples required (like 10000 for ARFIMA). I'm interested in ...

Anyone used ARMA + GARCH models in forex trading?

The OP wants to trade the mean reversion of the spread between two instruments. He needs the two price series to not wander off in opposite directions for very long time without coming back together. I think what he calls correlation actually is ...

Pairs Trading: Reversion to the Mean

You cannot just buy Aussie and sell Kiwi. Doing so you end up with a long position on AUD/NZD. You must balance the positions size depending on the current cointegration factor of the two pairs. If not already done I suggest you read url url ...

Pairs Trading: Reversion to the Mean

I use two wavelet decompositions in parallel to form a Hilbert transform. I get the decomposition of the price as an analytic signal. The result of the first wavelet is the real part. The second gives the imaginary part. I estimate the instantaneous ...

What Is a Trend?