Recent content by chaffcombe

Wallace kindly put up the link to OANDA recent spread history, which is worth commenting upon. Generally speaking OANDA's spread is very competitive, but if you take a second look, you will see the green line spike frequently in each pair during the course of the week. This is primarily the...

What you need to know about OANDA is that they 'flash-widen' their spread whenever there is a news event. Generally this only lasts for 45 seconds or so, but sometimes it's considerably longer. What's important is understanding the consequences of this. Firstly it will take out any...

Yes, and along the same lines - many trade platforms do not provide bar data - just ticks - which means that if your analysis depends on say 5 min bars, you have to construct them yourselves. It should be noted that while most of us use bars for trade decison purposes, they are a...

BGH I would agree that when you develop a standard for server to server communications, one would expect a time synchronisation function. Nonetheless, I'm curious as to why this is so critical to you. In a typical FIX trading scenario we receive a constant stream of ticks with no...

Personally, I’m not aware of any FIX message that enables server synchronisation; certainly I do not believe the implementation I’m working on supports it. However, I’d recommend that you had a look at this site http://www.onixs.biz/fixdictionary/ as it has an excellent online FIX...

Obviously it depends how you are doing your backtesting or analysis, but K Ratio is nothing more than a mathematical calculation, and therefore can be calculated and applied across any time-frame. I do the vast majority of my analysis on 5 minute bars, but it works equally as well on daily...

I've always preferred the Sortino ratio to Sharpe as the Sharpe Ratio unfairly (IMHO) penalizes upside (positive) volatility. That said, I assess my systems from the equity curve they produce, by running a K Ratio through them. K Ratio gives you an objective measure of how smooth and...

Hi Guys, Hope I'm not breaking all etiquette here. A few know me from the OANDA forums, and from my futurestech.com.au website. I've been a fully automated trader (F/X) for about 5 years now. I currently writing a FIX API using the QuickFIX/J engine. I would very much like to get in...

There seems to be almost universal agreement that one has to use a percentage or unitized model, and that HWM's are reduced percentage-wise upon redemptions. This, 'taking the loss with them' all makes sense, however, how is new money treated? If you are sitting on a 10% drawdown on a...

LOL! Yes, there are issues with all of this, and I'm going to take back my earlier comment about almost 'getting it'. Firstly, I think one of the calculations earlier is off by a decimal point, and also if you take an example of: Start with 100,000 Loss 5% Get a deposit of 1,000,000...

MGJ, Got it! Your figures agree exactly with what intuitively made sense to me, yet you have been able to provide a logical and consistent (symmetric) method of getting there. That was the bit that was escaping me. Thanks once again.

gnome, I could well be missing something here, but I'd have thought that even if a Unit Asset Value was calculated, the same issue arises? What would your calculations be in the above two examples, using an UAV approach? Many thanks

Maybe I should clarify what my initial thoughts are here: In the first case (deposits) the most logical answer seems to be 1,004,000 which is simply previous HWM + Deposit However, in the second case (withdrawal) the correct answer seems to me to be the proportional one of $105,000, rather...

It's strange, but some things in this business seen flaming obvious on the surface, but when you scratch the surface, they are not! My question is about HWM calculations where there are (proportionally large) deposits and withdrawals involved. Does anyone know if there is an industry...