Maximum Fx Spreads Threshold

Discussion in 'Forex' started by cadig, Jan 23, 2020.

  1. cadig

    cadig

    Hi all

    My current conundrum is that I have been running into trouble overcoming the cost of commissions with my fx systems. I can estimate that they would be profitable without commissions, but otherwise the edge does not seem to be strong enough.

    I ran an experiment and collected the spread costs for 28 major fx pairs every 5 minutes over the last day and a half or so. This can be found in the attached visualization - the html file inside the zip. You can filter on the currency pairs and also use the tools on the right side for inspection. Note time is in US MST

    Just from eyeballing these charts I have derived maximum spreads that my algorithm(s) will tolerate for participation in trading. (they are mostly intraday systems)

    I am wondering if

    1. anybody knows the formula to derive the maximum cost of spreads before a system is or is not profitable - or has any similar mathematics handy / could point me in the right direction? I suppose this would be a simple subtraction from the expectancy formula - average cost of wins vs losses?

    2. what maximum spreads do you use for currency pairs / what is the industry norm?

    3. do you know any techniques for overcoming cost of commissions?