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oldtime
Registered: Jun 2011
Posts: 7389 |
08-26-12 07:47 AM
Quote from Rocko Bonaparte:
Well I finally slapped together something real quick and dirty--literally 15 lines of code--with a week of EURUSD and turned $100k of fake money into $165k. I see a few problems, such as the fact I'd actually be trading USDEUR. And then there's the fact it's only a week of data on one symbol. And there's the fact I don't fully understand the forex thing and I'm just relying on an Amibroker tutorial. Small things, right? 
Yeah I need to read up on forex real bad. This is kind of bad.
you bring up a good point, many say it isn't robust until you've backtested it on years of data across all different markets. Nobody thinks small, like the idea if that's how it has traded in the last ten minutes, that's probably how it will trade in the next five minutes.
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1a2b3cppp
Registered: Sep 2008
Posts: 2573 |
08-27-12 06:30 AM
Quote from Rocko Bonaparte:
Well I finally slapped together something real quick and dirty--literally 15 lines of code--with a week of EURUSD and turned $100k of fake money into $165k. I see a few problems, such as the fact I'd actually be trading USDEUR. And then there's the fact it's only a week of data on one symbol. And there's the fact I don't fully understand the forex thing and I'm just relying on an Amibroker tutorial. Small things, right?
Yeah I need to read up on forex real bad. This is kind of bad.
What's wrong with trading the EURUSD? If it made me $65k in a week I'd trade it every week 
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1a2b3cppp
Registered: Sep 2008
Posts: 2573 |
08-27-12 06:30 AM
Quote from oldtime:
you bring up a good point, many say it isn't robust until you've backtested it on years of data across all different markets. Nobody thinks small, like the idea if that's how it has traded in the last ten minutes, that's probably how it will trade in the next five minutes.
Proof of this?
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oldtime
Registered: Jun 2011
Posts: 7389 |
08-27-12 06:46 AM
Quote from 1a2b3cppp:
Proof of this?
I'm watching 5 currency pairs, in the last 10 minutes they have all moved less than .01% so I think it is unlikely in the next five minutes for any of them to move more than .01%
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Macho
Registered: Jul 2011
Posts: 738 |
08-27-12 01:16 PM
Quote from oldtime:
I'm watching 5 currency pairs, in the last 10 minutes they have all moved less than .01% so I think it is unlikely in the next five minutes for any of them to move more than .01%
Right on the mark .
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Rocko Bonaparte
Registered: Jan 2009
Posts: 101 |
08-27-12 03:33 PM
Well I got a little more data and that magic 15 lines of code weren't so magical anymore. ;) Heck, I think
Something I fail to do is to look at these failure signatures and do that one last, deep analysis that might expose something more interesting. I am due to type up here something I did with neural networks a long time ago to illustrate my point, but I don't have time for all the paragraphs I would need.
I had some forex questions:
1. I am still getting historical data from Dukas. When I get to select the data specifications, it asks me if I want to know the bids or the asks. I have been downloading the bids so far. What trouble am I getting into just using the bids? It's my understanding that I should have both to determine the real price I'd get. Or is it really dependent on the broker? Does it not matter at the 1-minute window?
2. Does anybody have some tips on working with Forex in AmiBroker? Their own site shows how to change how a ticker is represented so it properly trades on margin, but it generally looks like forex is pushing it in Amibroker.
3. If I only get EURUSD can I safely assume taking a short position on it is 99.9999% equal to going long USDEUR? At the 1-minute window, I assume all arbitrage has happened already. I was working on a script to invert the information, but it looks like I screwed up something.
4. Is 100:1 margin the common way to trade forex spots?
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