- Search Energy EXCH
- 23 Results
- 000 replied Mar 31, 2017
I couldn't find the CRB creation logic clearly described anywhere, the general description that I found seems susceptible to sync problems. Doesn't matter anyway, they don't interest me. Directional change "bars" converge in exactly 1 bar.
- 000 replied Mar 30, 2017
Hmm, are you sure about that? The CRB construction rules that I found do not mention any kind of pivot/extreme point. They only care about range. So for example, if you start computing them in the middle of a constant up trend, when the trend ...
- 000 replied Mar 29, 2017
There is something in the same idea as renko charts, but much better (and immune to this problem). It's called directional change. url I'm using this as input into my convolutional networks.
- 000 replied Mar 26, 2017
I traded relatively rarely (around once per week), so I don't have enough statistics. And it wasn't on EUR/USD, where liquidity is bigger, it was a different pair (still a major). But the broker was honest, I had L2 access (depth of market), and you ...
- 000 replied Mar 26, 2017
Above 10 lots I would start getting slipped. So when I would enter/exit the market, I would do it in 10 lot chunks (1 mil market orders). Sometimes I would need to wait 1-2 sec for the liquidity to replenish. Putting on a 50 lot position would take ...
- 000 replied Jan 17, 2017
A lot of HFT firms work with minute-by-minute distributions. Meaning that they compute what is the typical distribution (for whatever you measure, like return or volume) at 12:01, what is the typical distribution at 12:02, and so on. This is such a ...
- 000 replied Jan 15, 2017
The best volatility measure would be using the IV's (implied volatilities) from the option market. The advantage is that they price in FUTURE expected events - ie: the IV's got large before the Brexit referendum, which is not something that your ...
- 000 replied Jan 14, 2017
So what are you trying to say? That's the exact definition of what a standard deviation is. The yellow line is 2 std, so by definition ~96% of the samples are inside it.
- 000 replied Jan 2, 2017
Yeah, one would typically use a regularization technique like dropout or batch normalization to avoid that.
- 000 replied Jan 1, 2017
Indeed, Forex as a whole doesn't. But individual Forex brokers do publish such information. When I said loss function I didn't mean stop-loss. A loss function is a formula used to compute how "good" your machine learning prediction is. In regards to ...
- 000 replied Jan 1, 2017
Indeed, this is one of the inputs I use in my conv nets, for the minute-by-minute sources. I'm now trying to integrate sparser sources (hour-by-hour or longer). Also, related to the above discussion, the loss function can be a bit tricky to define. ...
- 000 replied Dec 31, 2016
That's only a problem for low frequency strategies. You just showed above that a HFT strategy (ie: lots of samples) quickly converges. To get back to the edge question, anybody here using anything beside level-1 price data?
- 000 replied Dec 31, 2016
Great post. A few comments. The standard name for this is volatility drag. As with all summaries, some people will be satisfied by this, others will not. For example, if you trade a portfolio of strategies, it's very important to know the ...
- 000 replied Dec 30, 2016
Nice discussion here. Playing with random numbers only gets you so far. What about edges or real market data analysis?
- 000 replied Apr 30, 2016
If you are a programmer this is a pretty simple indicator to write. I also use something like this.
- 000 replied Apr 29, 2016
This indicator was created by Mediator, see his thread - url By his description, I think it uses the data from here - url
- 000 replied Apr 19, 2016
What kind of machine learning? Can you give more detail?
- 000 replied Apr 19, 2016
It's hard to trade the futures market without at least an $10K account. Not sure how many retailers can put up that sum.
- 000 replied Apr 19, 2016
Can you post a backtest of it running on USD/JPY?
- 000 replied Apr 19, 2016
Then you can write a book, appear on TV and tour the world speaking about what you learned, like Jerome Kerviel. Of course, while being paid for it