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Squawk / 13 July 2016 at 7:55 GMT
Hypothesis Testing
United Kingdom
Zefy...can I ask for your opinion. Next week I start a new series of articles which will be based along building algo trade structures ! However the environs I operate are based on the usual C++/Stan/Jags/R and ofcourse Excel however do you think most use Meta as their default on algo structures?
13 July
zefy zefy
I must admit I do not know how popular Meta is. If I am asked, I would prefer article based on standard and widely open/available tools like C and R instead of a specific platform like Meta.
13 July
fxtime fxtime
LOL....of the 10 people I have asked....5 have said the same as your goodself and amazingly the other 5 have opted for Meta !!
Thanks for responding mate....I will initially write as a text format like the eurgbp structure I posted a few days ago and see what transpires.
13 July
zefy zefy
Yeah, text format like eurgpb structure is very good. It is easy and straightforward to convert to any programming language.
13 July
fxtime fxtime
zefy once you have this programmed may I suggest you look at audusd/usdjpy/audjpy as they all correlate well for such a programme too.
13 July
zefy zefy
ROC(AUDUSD) > ROC(JPYUSD) => AUDJPY rises
ROC(AUDUSD) < ROC(JPYUSD) => AUDJPY falls

Right?
13 July
fxtime fxtime
Yep :-)
But you should measure the ratio between the rate of rise between the two also as a control....you can get distorted results otherwise. May i suggest you look again at the eurusd against the gbpusd and you will see 6 lines of programme which eliminate the distortion. Look again at your audusd against usdjpy and you have only two so the result you depict is an average weighted result which will give positive returns over time but it can be refined. This week I have earned far more using these three pairings than the eurgbp against euro and cable !
13 July
zefy zefy
Okay, I did not understand combination of all 6 lines until your comment about ratio. So each line need ratio criteria too,
13 July
zefy zefy
Thanks.
13 July
fxtime fxtime
Yes as we can get an inverse move on audjpy due to the speed of changes between the other two pairing as is the case with the cable and euro listed above. View them as matrices and you will see the cross correlations subtle change. You'd be surprised just how much work went into those basic six lines LOL.
13 July
zefy zefy
I respect the amount of work needed to build these kind of sophisticated strategies and run all backtesting and statistical analysis, and of course you sharing all this information to educate all of us here in TF.
C# libraries in Visual Studio provide quite good data handling capabilities for my use so I handle all logic there. I am not trading any new ideas until I am satisfied to my own implementation and get signals out from my own system.
13 July
fxtime fxtime
Good stuff as we definitely need to avoid any curve to fit issues. I always use cash market and spot market prices as they are effectively continuous charting/prices where as futures cause distortion pretty much as Andreas Clenow on this site correctly points out. Remember you can always adjust the ratios as your measure of risk aversion and stop parameters as usually it is more efficient with these structures.

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