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?

I have another point of view. But that's the whole idea of an open discussion I read somewhere that the market are ranging 80% of the time. I still don't understand if that means 8 minutes every 10 minutes or 8 months out of 10 months (makes a ...

Quantitative and Algorithmic Trading

What do you mean by ""That means, in betting on mean reverting we have the situation of limited gains (the mean) by facing unlimited losses eventually.""? If the price reaches say the 2nd std dev you enter against the move and target the mean. ...

Quantitative and Algorithmic Trading

Quite a lot of material to read! Thank you for that. I thought the link was about averaging up (aka adding in) but it's about averaging down (aka adding on a loser). The example is yet quite biaised as the author (almost) assumes the price will go ...

Quantitative and Algorithmic Trading

Managing the trade is so much more important than the system/entry. No system I saw in FF includes a proper trade management rules set. This is certainly the most advanced topic and the least discussed one. Can someone explain me why this was moved ...

Taking Profits too early?

Sorry I cannot. I'm writing an full application. It's not just a small bunch of code I can share.

How often does the 1h candle reverse itself from its open?

Ah. I didn't understand the question then. Sorry. (I wasn't talking about breaking out any H/L but the movement of the price within one single H1 candle.) No I'm not using MT4. I coded it myself.

How often does the 1h candle reverse itself from its open?

Almost all the candles have wicks and to form the opposite wick the price has to go first in the opposite direction... Unless your question is how often does the price travel the body 3 times? More often than I expected. Below the orange candles ...

How often does the 1h candle reverse itself from its open?

Two things you may not immediately notice with renko charts after you searched the web: - The amplitude of the price move can be up to 29 pips before a new brick appears on a 10 pip chart. That's about three times the brick size. Renko indi often ...

Trading with altered price chart: P&F, Range Bar, Renko, Kagi, etc.