theres not much to say, I look to fade extreme moves on intraday time frame. Focus on EURUSD due to spreads. Works great but I'm really looking for solid trend-following models to compliment the MR trading Edit: I should say I've tested a lot of the ...

Cointegration of currency pairs

Lodol, I use a routine in MatLab that runs cointegration across a basket of securities. I actually like the previos posters idea of cointegrating FX with Money Market rates or Govy Bonds. The alternative to cointegration is to just perform a test of ...

Cointegration of currency pairs

Using 15m bars it should not be a problem backtesting for a few years but you will need to Walk-Forward since you are re-optimizing every few months or so...

Automated Backtesting

I wouldn't be too quick to assume this....

Automated Backtesting

I use Tradestation and MatLab but try as hard as possible to back-test on Tradestation. It is just more user-friendly. I actually like Wealth-Lab quite a bit, its powerful but again, not as user-friendly as TS.

Quantitative Approach to Backtesting

Fulltime, Am I reading your result correctly, your utilizing 15m bars and your backtest is only for the month of November?

Automated Backtesting

This is based on signal processing, a discipline in electrical engineering. The main purpose is to filter signal from noise. On first glance it seems HIGHLY parametrized and thus curve fit for a specific time frame. This is corroborated by the lack ...

Volatility Impulse (VI) trades

lol, yes I have a good amount of experience with US equities and futures and looking more and more into FX. Reading some of these threads is liking watching a train-wreck! One or two simple conditional statements become a curve-fitted monster but ...

Quantitative Approach to Backtesting

I tested this strategy is tradestation with the posted code. Basically Buy at market if Value2>1 or Sell Short at Market if Value2<=-1 The results were not stable across multiple time frames. the 720m chart did produce a nice equity curve but the ...

Volatility Impulse (VI) trades

Update: Real now matches DEMO but at a much higher rate then advertised, been watching all day: image

FXCM Discussion

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FXCM Discussion

Yes, please contact FXCM! call the number! I am posting these in a number of places. I was about to fund an account, then saw a free $25 account through CNBC and said why not? Good thing I did, this is the result. I did receive this message from ...

FXCM Discussion

FXCM Spread Discrepancy — I currently trade with Oanda, pretty happy overall but looking for leverage and tighter spreads in off hours (NY Close to Tokyo Open) FXCM demo seemed to do the trick for me [400:1 and < 2 pips EURUSD during the time ...

FXCM Discussion

Gift Art, No offense taken, it's just an anonymous message board, no reason to take offense at anything on one, lol. Take a look at a longer term spread between EURUSD, USDCHF. Trading a mean reversion would've been right eventually but man o man ...

Cointegration of currency pairs

haha, thank you for your kind words Gift Art! I hope I'm already there, I work for a MM+ hedge fund, I sure hope I know how to trade! Our stat arb strategies are all focused on equities and there is most definetly a statistically significant measure ...

Cointegration of currency pairs

Hey Gift Art, Please read this link, it can probably explain better then I can: url

Cointegration of currency pairs

No, I'm looking for cointegration. I would like to apply some typical stat arb approaches to FOREX to see if there is any excess return. Think of Cointegration as a measure of mean-reversion. The more two time-series is cointegrated, the greater the ...

Cointegration of currency pairs

Hi Kiwi, thanks for the link. Unfortunately this shows correlation which is different from COINTEGRATION. url Check this out for further information...

Cointegration of currency pairs