IIRC there is some MT4 stuff to download.
The currency pairs aren't co-integrated. 7bit's pragmatic approach was to rebalance often while keeping the trading fees acceptable.
No greed. No fear. Just maths.
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Disliked{quote} Hey Ultimate, I came to similar conclusions a while back but also feel (as you appear to) that further investigation of the concept could yield something worthwhile. If you or any other experienced developers with R experience want to form a work group to compare scripts and test ideas, please send me an email through this forum. Cointegration is built on the concept of regression of two or more time series in order to find a long-term linear combination that can yield stationary residuals that may be suitable for pairs trading. At the heart...Ignored
Disliked{quote} You can summarize the result of 7bit thread by the above quote I personally already dwelt into this subject years ago; and gave up. I find the moving average to be the best detrending method to get a perfectly stationary timeseries, stable over time, and guaranteed to revert ! now who said that moving average based systems dont work ???? attached is a chart example of a SMA(5m, 20) of EUR/USD. Look at the spread; and see how easy it is to trade the spikes {image}Ignored
Dislikedspread = price - moving average for long position; the rules are (mirror for short): buy EURUSD when spread < -10 pips sell EURUSD when spread >= 0 obviously when the market is trending; you may loose money depending how early you entered the trade this system is also called "moving average crossover". although the concept is very simple; but it is hard to implement it as a profitable system. the nitty gritty details is what really mattersIgnored
DislikedAha => spread = price - moving average Wait a minute,l think I can do this.Ignored
DislikedIf you do this and keep considering it as a spread it is like you force the weight of the second asset (the MA) to be 0. The asset price becomes a "rough approximation" of the spread which can become very far "off target". Are you going to correct it by continuously "re-balancing", that is adding more and more to a losing position? Look on the chart you posted above I can see at least 8 big losers. I doubt the tiny winners will balance.Ignored
Disliked{quote} Alphadude, so are you short or long the EUR/USD? The US government shutdown may throw statistical relationships in the air for a while. My experience agrees with yours: stop losses do not quite work with FX pairs trading. However, I assume you are using some maximum duration of a trade, are you not? In general, EUR/USD may not be the best cross for expressing your ideas. It's a regime-switching beast, which would go from dynamics A to dynamics B all of a sudden and return to dynamics A only after 1-30 weeks... Over the last year, I have...Ignored
Disliked{quote} your analysis on behavior are interesting. it will all depend on the timeframe chosen. mean reversion work best on shorter timeframesIgnored
Dislikedwhat do you think about AUD/NZD? in theory they are cointegrated but i did not find success in trading it. perhaps due to high transaction costIgnored
Disliked{quote} Alphadude, I never tested / tried pairs trading involving AUD/NZD. Inefficiencies in AUD/NZD were identified using a different kind of screening. Having that said, it does not mean that some form of flexible cointegration is not possible... I thought that AUD/CAD and AUD/NZD might be of particular interest to you since you are based in Australia and since there is much "juice" in there relative to EUR/USD. Being awake during the liquid hours is important as well. On the other hand, trading EUR/USD might be tough since you have to miss the...Ignored
DislikedAnother live trade today on EURUSD using SMA(60) trade lasted 15 minutes; and made 10 pips profit {image}Ignored