For the first time, I address the question of how stable the optimization results are in time. While predictabilities of daily high and low show a highly stable pattern of dependence on the parameter subject to optimization, the positive results for close are mainly due to the high impact of a single period, which happens to cover the financial panic of the last quarter of 2008.
Temporal (in)stability of trading system optimization curves
Source: forexautomaton.com
- Tags:
- frontpage
Read more...
German Sentiment Trashes the Sterling
By TraderVox.com Tradervox.com (Dublin) – The pound pared against the euro to more than 10 weeks low after reports from Germany...
Further analysis of the day-range strategy. Selecting the forecasts to trade.
In the January performance review for the Danica trading system, an idea of a day-range trading strategy capitalizing on the high quality forecasts for the direction of daily high and low was expressed and a set of what-if charts for the forex pairs tracked was provided and discussed. This post is...
Kelly capital allocation improves system profitability while reducing risk
Currently there is little doubt that the next upgrade of our trading system will introduce some form of trade idea selection into the system's output. This article reports our recent progress towards implementing Kelly Criterion for capital allocation to trades. This is our first quantitative...
Dukascopy Morning Forex Overview - Oct 2 2009
Previous session overview The dollar and euro fell against the yen Friday as investors cut down on the riskier currencies for the safe-haven Japanese unit after a slew of bad U.S. economic data and poor stock moves overnight made them more bearish about the two currencies. Players were more averse...
Eur/Usd clears 1.4000 hurdle
Dollar weakness is most pronounced in Eur/Usd at the moment as the market triggers stops above 1.4000. The market is now starting to doubt that early rate hikes are a realistic option for the Fed. So far we’ve managed to hit 1.4030, 1.4070 is the next...