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Steen Jakobsen
Outrageous Predictions 2017 is out! In this call, high-yielding bond default rate spirals to 25% from less than an average 4% as the failure of central-bank policy leads to a mighty reckoning in the corporate space.
Squawk / 17 October 2016 at 14:09 GMT
Financial Systems Advisor / Quantitative Investments Inc
Canada
Decided this morning it may best to use algo 1, which uses traditional moving averages as signals, its surprising how well they work if you give the trade a little room to breathe
17 October
Qi2 Qi2
Forgot to open the order book
17 October
zefy zefy
I got inspiration from your postings and today have been testing system implementation where all calculations are done every tick received without waiting for full 1 min bar. I think there can be huge improvement to time exposure drawdowns when system is behaving tick based and reacting quicker. But also I need to rethink stop levels. Based on tests today seems my EURGBP algo is still performing better in longer timeframes. Intriguing stuff!
17 October
Qi2 Qi2
I am curious to see what every tick would look like and if it works well. I am trying to find a way to trade slower/less, I an my EURGBP algo for several hours, but really it was only one short trade that created value, so I am struggling with that particular currency pair, maybe it is better to wait for a trend to develop in the EUR or GBP pairs?
17 October
zefy zefy
At the moment my tick based model generates way too many trades, but it is work of only few days... Need to continue the analysis....

Perhaps comparing to previous close and then following 6 rules helps to identify trends but on the other hand that approach has much longer time exposure...
17 October
fxtime fxtime
Zefy you have summed it up perfectly :-)
For tick settings however try a large count first then slowly drop the tick count. Tick is easy to measure/control for trade entry and filter settings. Well done guys at the varied testing parenthesis; hopefully this is changing mindsets here to consider potentially different trade strategems :-)
18 October
Qi2 Qi2
I kept my system calculating at its usual pace, but I change the require to have EUR move in same direction as GBP with 1.75 ROC and in the Asian session its working :)
18 October
Qi2 Qi2
Added a few pips on GBPUSD pullback off the highs
18 October
fxtime fxtime
Now you are just fine tuning your parameters...you have a working algo and know how to keep it optimised so great stuff :-)
Soros will have some competition from you soon. :-)
Great trading mate.

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