Relevant articles for you

Video

#SaxoStrats
Steen Jakobsen, chief economist and CIO at Saxo Bank, expects US president-elect Donald Trump to employ near-replica political policies of former president Richard Nixon.
Squawk / 25 July 2016 at 15:37 GMT
Financial Systems Advisor / Quantitative Investments Inc
Canada
Here's the log and summary on the GBPUSD model from this morning, thought it might be of interest. It can be improved upon based on what I have learned on your "force algo design" and I have asked my engineers to bring in your Stnd Dev and Ratio design for the next revision on the live trading algo. I was using EMA filter, with a differential EMA and a derivative EMA, based on the "inwards" trading rule.
25 July
Qi2 Qi2
Sorry goofed on the attachment, here's the log from this morning
25 July
fxtime fxtime
The stops are incredibly tight looking at the datum above....are you not affected adversely by bad fills, widening spreads? Some of the stops are like 3 to 4 pips which are TIGHT for me...presume this is a platform that doesn't apply direct costs to deal but costs are borne via the spread itself?
25 July
Qi2 Qi2
It runs off EMA 5 and 20, applying "inwards" rule, EMA has 2 parameters, which create regular intervals (dMA), optimizing the parameters happens in real time, using CEP technology, from which a derivative is created which creates the execution, final formula is IF dMA(i) > p1 AND dMA (i) < 0 THEN short and IF dMA(i) < −p2 AND dMA (i) > 0 THEN long.
25 July
Qi2 Qi2
Yes the costs are in the spread, which is crazy wide, 3 pips on GBPUSD, which on my multi dealer platform are 0.0005, but I pay commission per million, less rebates per daily volume. Stops are trailing and the two EURUSD losses were due to widening spread.
25 July
Qi2 Qi2
I'm thinking I should call the algo: "fxtime invader" given that your article single handedly took me from EMA and derivative to stand dev and ratio, can not begin to tell you how excited I am, I believe this is the most amazing theory I have ever seen!!!
25 July
fxtime fxtime
LOL....I am trying to cross reference all of the above now :-) Thx
26 July
fxtime fxtime
Qi2.....just a reminder here.....when you programme the 6 line eurusd/gbpusd=eurgbp trade parameters that your programmers make each of those 6 lines independent trade functions with backtest ability. I have seen many just act from the first two lines and end up with too many losses and mediocre results. It MUST have all six lines embedded into the master programme and only one line makes the actual trade etc etc as each line is slightly different ....that way you catch the move every time.
26 July
Qi2 Qi2
Nice EURGBP move right now :)
26 July
fxtime fxtime
Yeah I wondered if you tracked the ratios :-)
I got that one too LOL.
26 July
Qi2 Qi2
I need a spreadsheet, with live data, that would really help me. I have a GBPUSD positions going, on live and the demo
26 July
Qi2 Qi2
Its running so fast it's hard to keep up :)
26 July
Qi2 Qi2
Nice US new home sales number..
26 July
fxtime fxtime
You seem to be a living HFT machine...I look sedentary in comparison LOL...I am impressed.
26 July
Qi2 Qi2
Dark Vador loves volatility :)
26 July
fxtime fxtime
When you programme your std dev look for not the normal distribution but the skew and overlay the usual std dev parameters but also the skew and rsi 5 values and the point of control value. Your price chart will end up as the attached. The orange curve is the classic expected distribution which rarely holds true but when you overlay current 24hr history you will see where the market really stands etc. Point of control shown on the blue line...obviously the curve should adjust each and every day.
26 July
fxtime fxtime
Dark Vador LOL
26 July
Qi2 Qi2
Haha, sorry for slow replies, was a little hectic as usually don't try to demo and live trade
26 July
fxtime fxtime
Is that cable or eurgbp?
26 July
Qi2 Qi2
Vador loves GBPUSD, but I did add a few EURGBP, long attached and total summary of yesterday and today
26 July
fxtime fxtime
Amazing !!
When are you going to trade full on ''LIVE'' with the account?
26 July
Qi2 Qi2
I'm going to stop trading the demo, it's time to focus on live, so far this morning I am up 30 pips on GBPUSD
26 July
Qi2 Qi2
Usually, its the hour and 45 minutes I do my business
26 July
Qi2 Qi2
sorry. meant the "next" hour and 45 mins that I run the algo live
26 July
Qi2 Qi2
What's interesting is that my "inwards rule", using a differential EMA (dMA) and a derivative EMA (dMAi) puts my trigger in the north end of your 84%
26 July
Qi2 Qi2
So when my fast EMA (EMA) cross up over the slow EMA, that's where I start calculating a parameter that drives the differential moving average, and then once they come back together, which is driven by the derivative EMA, we trigger the short trade, in theory, very similar to playing your 84% rule.
26 July
fxtime fxtime
It would appear that your stuff has a far higher confidence value than my 84% value. Nice chart :-)
26 July
Qi2 Qi2
I don't think so actually, if it wasn't for todays volatility, it wouldn't have the success rate, as it lives for whipsaws. And so I can't wait to code your model, my engineer is back from holidays today and I'll see if he has what he needs to give it a run :)
26 July
Qi2 Qi2
The thing with algo's I find, is that when do you turn them on? If left operating in the wrong market conditions, it will drain the account :(
26 July
fxtime fxtime
Just remember that 6 line code looks simple and it is for manual trading as we can determine which line is the relevant trade trigger but coding it and implementing the ratios can be slow going.
27 July
Qi2 Qi2
I am manually working the EURGBP model, I can see why it will be difficult to code, the direction of each keeps changing constantly, I have been watching for an hour...

Disclaimer

The Saxo Bank Group entities each provide execution-only service and access to Tradingfloor.com permitting a person to view and/or use content available on or via the website is not intended to and does not change or expand on this. Such access and use are at all times subject to (i) The Terms of Use; (ii) Full Disclaimer; (iii) The Risk Warning; (iv) the Rules of Engagement and (v) Notices applying to Tradingfloor.com and/or its content in addition (where relevant) to the terms governing the use of hyperlinks on the website of a member of the Saxo Bank Group by which access to Tradingfloor.com is gained. Such content is therefore provided as no more than information. In particular no advice is intended to be provided or to be relied on as provided nor endorsed by any Saxo Bank Group entity; nor is it to be construed as solicitation or an incentive provided to subscribe for or sell or purchase any financial instrument. All trading or investments you make must be pursuant to your own unprompted and informed self-directed decision. As such no Saxo Bank Group entity will have or be liable for any losses that you may sustain as a result of any investment decision made in reliance on information which is available on Tradingfloor.com or as a result of the use of the Tradingfloor.com. Orders given and trades effected are deemed intended to be given or effected for the account of the customer with the Saxo Bank Group entity operating in the jurisdiction in which the customer resides and/or with whom the customer opened and maintains his/her trading account. When trading through Tradingfloor.com your contracting Saxo Bank Group entity will be the counterparty to any trading entered into by you. Tradingfloor.com does not contain (and should not be construed as containing) financial, investment, tax or trading advice or advice of any sort offered, recommended or endorsed by Saxo Bank Group and should not be construed as a record of ourtrading prices, or as an offer, incentive or solicitation for the subscription, sale or purchase in any financial instrument. To the extent that any content is construed as investment research, you must note and accept that the content was not intended to and has not been prepared in accordance with legal requirements designed to promote the independence of investment research and as such, would be considered as a marketing communication under relevant laws. Please read our disclaimers:
- Notification on Non-Independent Invetment Research
- Full disclaimer

Check your inbox for a mail from us to fully activate your profile. No mail? Have us re-send your verification mail