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  • 20 votes cast
Aug
14
comment Futures vs. spot for currencies - who is the leader
Well, if we assume that main quotes are provided by very fast and smart marketmakers, that sounds reasonable, however if we assume that some quotes provided by real investors who dont care about 1-2-3 pips - that it is not true - assume some huge client put an order he just want to buy/sell by his price (e.g. hedge something) - he does not care much about anything else - just want to act by his price - he will not change his order if something somewhere changed. Another example - stop losses, take profits, margin calls - these orders typically are "stable" they do not change in "moment", Ok ?
Aug
13
comment Futures vs. spot for currencies - who is the leader
Thank you ! However I think "there is no arbitrage oppurtunity" - because there already are very very fast and smart arbitragers. Imagine one makes a deal buying 100 M eurusd on say Reuters -- the price would change at Reuters - is it necessary that he makes the same deal at CME - no - but what makes the price to change at CME ? Arbitragers do it.
Aug
8
comment Futures vs. spot for currencies - who is the leader
@AlexC Well, manya people say like this, but I have not seen arguments, average daily volume on main spot platforms (Reuters, EBS, Hotspot) seems to be about 250billions see Hotspot site info, CME about 100 billions on FX-futures (not sure) - not big difference
Aug
5
asked Futures vs. spot for currencies - who is the leader
Jul
30
awarded  Curious
Jul
29
asked Impact of big order on price
Nov
3
awarded  Commentator
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf Have you backtested some "open-source" strategy ? On at least 1 year data ? If yes - please share results.
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf "There are obviously no statistics out in public domain that quantify the average return", results of PAMM accounts you can see for free. As far as I heard regulations ask hedge-funds to publish their average returns, am I right ? But I am not asking about very profound things.
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf Context: I need some starting point, I am not asking about secret strategies. 1) There are many strategies which are "everywhere described" - combinations of moving averages, "internal day" (not sure about English name), Bollinger bands and so on an so forth. HOWEVER I have not seen serious backtesting results for these strategies. I have googled for many hours. It is NOT problem to make such backtesting - I can do it by myself, just it would take quite a time. And I am quite sure that lots of people have done this work - just I cannot google it.
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
I agree. But just as a starting point i would like to get info on the question as it is. I do not mind if the answer would be: "I have tested strategies "..." and got that on 1 year data all them lose ... say 10% of deposit."
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf "Serious" means say at least 1 year data. I agree that the question is broad, but it seems to me that this can be a problem if there would be overhelming number of answers, but according to my experience it would be good if I would receive 1 constructive answer. That is why I make a question broad.
Nov
2
asked Automatic trading strategies - what are benchmarks for PL on serious backtesting?
Oct
18
awarded  Yearling
Oct
18
accepted Distribution of profit/loss for retail traders in FX
Jun
15
accepted Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
Jun
5
comment Usage of Bollinger bands
Thank you very much!
Jun
4
asked Usage of Bollinger bands
Jun
1
comment Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
Thank you very much! Let me think over it. May I kindly ask you to look at mathoverflow.net/questions/132430/…
Jun
1
comment Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
@Ilya Thank you for your comment, if you can extend more on it would be very helpful. PS " I would say that one needs to know joint probabilities rather than 1-time-moment distributions." Yes, I meant joint probability of the event p(t_k) =p_k k=1...N