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?

I tried the descriptive approach. I used a Kalman filter (2nd order polynomial model). The result is shown on the first picture. This estimator is meant to denoise the signal it is given. Here it denoises the price quite correctly but this doesn't ...

What Is a Trend?

Yesterday I tried to improve my Kalman filter by adding another estimator of the trend and comparing it with the state of the Kalman filter. I then modulated the variance matrix based on how the two estimations were different (like I already do for ...

What Is a Trend?

I know people tend to use tools without even trying to understand what they are and how they work. So perphaps 99% of the people here won't know the answer and will certainly not even care of it... Yet I dare asking, just in case someone in the ...

Learning How to Spot the Correct Divergence... Beginner Inside

A random walk is a Xn+1 = Xn + (white noise). E[Xn+1 - Xn] = E[(white noise)] = 0. Where E[.] denotes the expectancy. The best estimator of the next price is the current price. This brings no information (Shannon's entropy): you need 0 bits to ...

Pairs correlation and Money Management

Keep in mind that when you increase the trading frequency your trades become more and more linked to the market movement of a short period of time: your trades become correlated. But his simulations as well as the ones I've posted are based on ...

Expectancy Management

Hmmm the paper clearly shows that H-values are found to vary widely from period to period (their words) with only 60 observations. Is it because the Hurst exponent does indeed vary that fast or because the samples size is too small? Like RS and ...

What Is a Trend?

How do you estimate the Hurst exponent? I know two methods: Re-scale range and wavelet. I know there are a couple more but don't know how they work. Except for RS all of them break with fat tail distributions. Wavelet needs >50K samples to give a ...

What Is a Trend?

In the post containing daytrade2.txt. Acary says "he still only has about 80% confidence level with double the expectancy on each trade." But opening the file you see that he DOESN'T double the expectancy. He double the bet size. In the post ...

Expectancy Management

Oops. I shall stop saying I'm trend follower in this case... I try to buy the retracements and exit when the swing is (expected to be) exhausted and repeat. Always in the direction of the (most probable) trend. More a ...

What Is a Trend?

I'm a little bit confused. Are trying to find the best way to spot a range or the best way to trade a range once it is recognized?

The best scientifically-proven way to trade range markets?

What "the" range are talking about? The goal is to define IF there is a range or a trend...

What Is a Trend?

I stopped fighting the lag too hard. The less lag, the less information. Heisenberg's principle.

Pairs correlation and Money Management

I just got an idea about the trend/range/other distinction. After all a range bound market is no more than a volatile trend which is running horizontally. Flat is a slope like any other, just a special case. Why do we want to make the distinction? ...

What Is a Trend?

I said T*sin(T) image

What Is a Trend?