Very happy to see you back posting! Something between multiple Bollinger Bands and/or a Keltner channel, I imagine? Your "mean level" or "zero line" drifts. This drift is someone else's trend. And what you trade is noise for him. Look at the picture ...

Quantitative and Algorithmic Trading

Oh BTW, MM is NOT the key url

Could this be an easy way to win in forex?

Crazy how quickly this kind of threads can grow... Gumrai spent some time explaining it cannot work. He's right. Here Ishtana, I propose you another way of looking at the issue: maths! I know people don't like maths because they give a definitive ...

Could this be an easy way to win in forex?

What is your GARCH Oscillator supposed to display? The two coefficients or some forecast? And what the NN will try to find?

Anyone used ARMA + GARCH models in forex trading?

Interestingly my filter finds that GBP/USD is up while at the same time it computes that GBP is the weakest and USD is the strongest. I'm wondering if it is a hint that the recent rally of GBP/USD is only a retracement to fade? image

Kalman filter and currencies strength

I think GARCH(0,0) doesn't exists... GARCH(1,1) is good enough for financial time series. You can just postulate this. Why don't you use ACF and PACF to guess the p,q? => url I'm not sure but p and q aren't supposed to change often, do they? If ...

Anyone used ARMA + GARCH models in forex trading?

I didn't keep the paper because it was about Neural Nets that I consider just like curve overfitters. They didn't explain how they tried to use their forecaster. I think the failure comes from the fact that even if you know for sure the next bar ...

Anyone used ARMA + GARCH models in forex trading?

Open question: if there is a cycle in the graph, does it makes sense to basket trade the envolved currencies in a ring?

Kalman filter and currencies strength

Now I have an estimate of the most likely trend. It is important to keep in mind that it is a likelihood not a certainty! I can use this information to define if EUR/USD is most probably up or down. OK I hear you, I can also look at the chart and ...

Kalman filter and currencies strength

Let me give an example. Say you trade G/U and E/U. You regress cable on fiber and get G/U = alpha * E/U + beta + epsilon. 7bit uses alpha to balance the basket. 1 lot E/U and -alpha lots G/U. When the long E/U goes up, the short G/U goes down the ...

Pairs correlation and Money Management

Probably you should because I have another bad news for you! Because of the fractal nature of the financial time series, you often have a fractional integration order (google for it). That is the d in ARIMA(p,d,q) is not an integer. Of course an ...

Anyone used ARMA + GARCH models in forex trading?

No, the purpose isn't to trade a basket as one composite instrument. What 7bit and old dog ( url ) were doing is building up a basket of pairs in such a way it is highly probable that this virtual pair is mean reverting. Here I'm just trying to run ...

Pairs correlation and Money Management

That's way too small a window for GARCH. It needs something like 2000 bars to converge.

Anyone used ARMA + GARCH models in forex trading?

You are correct. Depending on RORO is On or Off you end up very heavy short or long on USD. That's exactly what I try to avoid. To get rid of this USD issue I try to select a cross. The strongest currency against the weakest one. After I remove ...

Pairs correlation and Money Management

I choose E/U, G/U and U/J. I take the return in pips over the last 50 periods from H4. I plot the return of one (Xi) against the return of another (Yi) for all the bars (i=1...50), I get these X/Y scatter plots. image image Clearly a signal given ...

Pairs correlation and Money Management

You don't understand the question, do you?

Pairs correlation and Money Management

+1 There is a strategy in this forum with statistically 93.6% success rate. Yet it is doomed to failure (negative expectency)!

Strategies with a 50% win ratio?

I share the same opinion. The context free grammar generated by Elliott's rules is not LALR parsable. It is only explanative. You can always find a set of future swings which will invalidate the current counting arbitrarily far backward. Trading EW ...

Elliott wave paradox?