Shock and Retrace on m1

A bit of a distraction from the Trend work but I was asked by FXCM to provide some data for the Shock and Retrace strategy. They preferred more trades so suggested using the m1 timeframe. To be honest, the strategy was not designed for such short timeframes but the idea is solid and still is […]

The Characteristics of a Trend

Ok so I’ve completed the oscillator that I was aiming for, but unfortunately I didn’t quite get what I wanted. It is working as designed but it isn’t as useful as I thought it would be. However, it has definitely given me much food for thought and I have come up with some useful ideas […]

Categorizing Trends

Ok so I have done a couple of days work on this trend categorizing and I am making some progress. I have put together a new indicator, currently called TrendF, that attempts to identify the trends. I thought about this a lot and tried many things. We obviously want to focus on the gradient of […]

Fleet of Strategies

Continuing the thoughts from the November 1st post, we concluded with the mandates Your strategy should behave in all types of markets The markets are always changing, and the configuration must change too. Indeed, I know it is not possible to make a perfect strategy that works all the time (10th July post). At this […]

LUA and FXCM shortcomings

Recently I have discovered a couple of shortcomings that I would like to share with you, interestingly both related to including code/resources. 1) Support to include custom common code LUA Strategies come with a file called helper.lua and helperAlert.lua that provide common helpful code. They are commonly included across many strategies and indeed are very […]

What’s the aim of optimization anyway?

While optimizing the results of my TREND_REV strategy on USDJPY, I was getting some very good results. However, when I backtest this configuration against the 2008-2009 period, the results are not that good. It’s a tough call, do I tell myself: “It’s ok, the market is always changing, so just run the current configuration and […]

Orders

Today I did a bit of research into orders. I think there are a couple of simple order strategies that might be easy to implement and they could pay off. Need to learn more about the different order types first though. Standard Order Could be used to trade the news or when there is high […]

Fundamentals…

A little bit of research into Fundamental Analysis today to see if I can get any ideas. We can use futures to try to gauge market sentiment. The Commodity Futures Trading Commission, or CFTC, publishes the Commitment of Traders report (COT) every Friday, around 2:30 pm EST. Looks like it is in simple http format, […]

ATR Indicator

Today I wanted to learn more about the ATR indicator and how I could possibly use it to improve my results. Apparently I can use a long range ATR (30+ days) to different between Trend Directions. When I tested this out, it pretty much showed me the same trend that a moving average would. Not […]

Revisiting some indicators

I have been looking for a way to improve my strategies and today I went back and did a bit more research into some indicators – this time DPO, RVI and RAVI. The following page was interesting for DPO. It talks about the price being above or below a shifted moving average and the values […]