Search results

I am using simple correlation to determine which can be considered to be statistically unrelated in price action. After that its a matter of identifying high stress news events and using different volatility measurements to look for the affects. The next step will be to determine the impact...

My faith in diversification is also reduced due to the recent increase in correlation of markets during high stress events. Unrelated instruments tend to display a high correlation during high stress events than traditional theory would otherwise suggest. Currently I am doing some research on...

I am interested to know, as well how they blew themselves up. Naturally all systems should be stress tested and I typically will manually intervene during high stress events in terms of the net risk exposure taken. I actually have had the opposite results than you. I have found that extremely...

The amount of cycles a high frequency system makes from profit to drawdown takes years for long term systems to realize. A high frequency system is able to shift its outlook much quicker than a long term system and thus the chances of getting hit by a black swan is less. It can be argued that it...

He didn't mean that everyone of his investments would make money. He meant that before entering a position always being confident that you have done the due diligence regarding the investment and you are confident that it will be a money maker.

I trade a FX spot account through a dealer. The dealer did have some trouble with data but they are generally helpful in redeeming me cash if something breakdown (a data problem etc). Still I do exercise caution: I dont set stop and targets, my API has a database of the current open orders and...

The EUR pays lower interest than USD. Thus you would need to be long USD to earn interest. Therefore, you could short EURUSD to earn interest. Just know the interest rate differential between pairs to figure it out.

Heh so you got interested in FX after seeing another trader's success? Good luck to you. Ivan> Nice job!

Hmmm trading fx this week wasn't that bad at all. At least not as much as I had been dreading it would be.

Incredibly efficient. Its not even worth playing that. Maybe a little discreptency between different dealers but even that isnt reliable. My models are directional in nature which is want most FX traders play with.

Considering he is highly well known in the value investing circles as well as being a professor at Columbia, yea I would say he is not some shady guy marketing a 5000%/annum FX system from his mom's basement.

Tell me about it. Everything is moving and at THIS hour. Heck all the pairs my systems trade (eurusd, audnzd, audjpy, gbpchf) are moving. Diversification my arse lol.

Who said I didnt believe in autotrading? I am primarily an automated trader. My point was to keep the discussion on topic and not towards whether autotrading is viable or not.

Hmm the yen did take a breather and the GBPJPY had been JPY negative for a while. Dont really keep up with that pair so dont know how it will project into the future. I am liking the carry trading idea over at Electric's thread. Just a little worried about the full exposure and problems that...

Good for you.

Thanks B for explaining the carry trade. Sheds some light into proper hedging.

Looking solid Michael. Thanks for sharing btw. Really see a lot of promise with this.

Thats true. The amount isn't all that significant. So now its a matter of daily updating and adding and decreasing when necessary. Lets see how this plays out.

Here is what the spread sheet indicates NZDUSD Long 208702 AUDJPY Long 185515 USDCHF Long 148408 USDMXN Short 148408 USDNOK Long 148408 USDSGD Long 148408 EURCZK Long 111299 USDZAR Short 111299 EURHUF Short 111299 GBPJPY Long 74217 The account balance is 125221.38 EUR is...

Hey Michael, I entered all the positions for C&C Standard. The demos balance is 125K. I entered all the trades as specified by the spread sheet. The EUR Exposure is 0. However, the USD exposure is +37K. Isnt the system supposed to be USD and EUR neutral.