"Trading is statistics and time series analysis." This blog details my progress in developing a systematic trading system for use on the futures and forex markets, with discussion of the various indicators and other inputs used in the creation of the system. Also discussed are some of the issues/problems encountered during this development process. Within the blog posts there are links to other web pages that are/have been useful to me.
Just a short update. Over the last few months I have been investigating the idea of optimising an indicator by applying the apparatus of neural net training to the calculation of weights for the indicator values rather than simply varying a look back period length. It has been an interesting investigation from which I have gained some insight and also had occasion to program some useful back…
The results of the first set of tests of optimising an indicator via the framework of training a neural net are in, and this post is a presentation of these results and a reflection on this in more general terms. I would encourage readers to look at my previous 2 posts to put this one in context. The following chart plot shows 8 weeks of 10 minute price action in the EURUSD forex pair, with the…
Following on from my previous post, I have been experimenting with various tweaks to the basic set-up of expressing an indicator in the form of a neural net, shown again below to avoid the necessity of having readers flip between posts. The tweaks explored relate to the weight matrices, activation functions , targets and loss functions, the end results of which are now briefly summarized in turn.…
Recently I started investigating relative rotation graphs with a view to perhaps implementing a version of this for use on forex currency pairs. The underlying idea of a relative rotation graph is to plot an asset's relative strength compared to a benchmark and the momentum of this relative strength and to plot this in a form similar to a Polar coordinate system plot, which rotates around a zero…
At the end of my previous post I said that I would be looking into using tick volume to create a new indicator, and this post is about the work I have done on this idea. At first I tried creating a more traditional type of indicator using tick volumes separated out into buy and sell volumes, but I quickly felt that this was not a useful investment of my time so I gave up on this idea. Instead, I…
Over the last few weeks/months I have found it necessary to revisit the basic infrastructure of my trading/computing set up due to increasing slowness of the various computing routines I have running. The first issue I am now addressing is how I store my data on disc. When I first started I opted for csv text files , mostly due to my ignorance of other possibilities at the time and the fact that I…
Below is code for an Octave compiled C++ .oct function to smooth price data. #include "octave oct.h" #include "octave dcolvector.h" #include "octave dmatrix.h" #include "GenFact.h" #include "GramPoly.h" #include "Weight.h" DEFUN_DLD ( double_smooth_proj_2_5, args, nargout, "-*- texinfo -*-\n\ @deftypefn {Function File} {} double_smooth_proj_2_5 (@var{input_vector})\n\ This function takes an input…
Longtime readers of this blog are almost certainly aware that over the last few years I have posted several times about Oanda's OrderBook and PositionBook data and what can be done with it. My first post was back in February 2022 where I posited the idea of using this data as a sentiment indicator, whilst my most recent post , March 2024, talked about substituting the data into standard, volume…
As part of my investigations into forex news trading I have found it necessary to obtain forex tick level data for back testing purposes and below I provide code to achieve this using Dukascopy's Node library , being called from Octave and using some system calls. A useful youtube video about the Dukascopy Node library will give readers some background information. function [ first_days ,…
Since my last post about end of initial testing I have been working on Oanda API functions in Octave to programmatically place entry orders and associated take profit and stop orders for a future possible forex news trading system. The reason for this is simple - it would be next to impossible to manually place a series of entry orders in the last few moments before a news release, so this would…
Following on from my previous post I have completed the same tests as outlined in that post on other currencies and the summary results are: USD - an average of 0.38% return per trade EUR - an average of 0.22% return per trade GBP - an average of 0.77% return per trade CHF - an average of 2.05% return per trade JPY - an average of 0.18% return per trade AUD - an average of 1.01% return per trade…
My first test of trading forex news announcements is to test the efficacy of breakouts immediately following a news announcement related to the US dollar, specifically, only the high impact news as shown on the forexfactory calendar in red. The intention would be to capture some of the profit available from the big movements resulting from surprise news or simply market manipulation around these…
This post, as the title suggests, is about trading forex news releases and, incidently, is a small update to the appearances of my PositionBook chart and OrderLevels chart. I recently came across this forexfactory post which shows how to download the underlying data for the forexfactory calendar, a screenshot of which is shown immediately below, and I thought I would look into the idea of trading…
During the course of writing this blog I have visited the idea of using Kalman filters several times, most recently in this February 2023 post. My motivation in these previous posts could best be described as trying to smooth price data with as little lag as possible, i.e. create a zero-lag indicator. In doing so, the model most often used for the Kalman filter was a physical motion model with…
In my previous post I suggested three different approaches to using PositionBook data other than directly using this data to create new, unique indicators. This post is about the first of the aforementioned ideas: modifying existing indicators that somehow incorporate volume in their construction. The indicators I've chosen to look at are the Accumulation and Distribution index , On Balance Volume…
Since my last post I have been trying to create new indicators from PositionBook data but unfortunately I have had no luck in doing so. I have have tried differences, ratios, cumulative sums, logs and control charts to no avail and I have decided to discontinue this line of investigation because it doesn't seem to hold much promise. The only other direct uses I can think of for this data are:…
In my previous post I said I was trying to develop new indicators from the results of my new PositionBook optimisation routine. In doing so, I need to have a methodology for judging the quality of the indicator(s). In the past I created a Data-Snooping-Tests-GitHub which contains some tests for statistical significance testing and which, of course, can be used on these new indicators.…
Just over a year ago I previewed a new chart type which I called a "PositionBook Chart" and gave examples in this post and this one. These first examples were based on an optimisation routine over 6 variables using Octave's fminunc function, an unconstrained minimisation routine. However, I was not 100% convinced that the model I was using for the loss/cost function was realistic, and so since the…
Recently I responded to a Quantitative Finance forum question here , where I invited the questioner to peruse certain posts on this blog. Apparently the posts do not provide enough information to fully answer the question (my bad) and therefore this post provides what I think will suffice as a full and complete reply, although perhaps not scientifically rigorous. The original question asked was…
Managed to code it up and get it working, but at the end of the day I couldn't see any value added over just averaging the output of the indicators I was trying to fuse together via Kalman filtering. As a result, I'm giving up on this for now and looking at other things. More in due course.
In the Spring of 2012 and again in the Spring of 2019 I posted a series of posts about the Kalman Filter , which readers can access via the blog archive on the right. In both cases I eventually gave up those particular lines of investigation because of disappointing results. This post is the first in a new series about using the Kalman Filter for sensor fusion , which I had known of before, but…
As a quick follow up to my previous post I thought I'd show an example of how one could possibly use my new PositionBook chart as a trade set-up. Below is the USD_CHF forex pair for the last two days showing the nice run-up yesterday and then the narrow range of Friday's Asian session. The tentative set-up idea is to look for such a narrow range and use the colour of the PositionBook chart in this…
It has been almost 6 months since I last posted, due to working on a house renovation. However, I have still been thinking about/working on stuff, particularly on analysis of open position ratios. I had tried using this data as features for machine learning , but my thinking has evolved somewhat and I have reduced my ambition/expectation for this type of data. Before I get into this I'd like to…
This post is about using OrderBook/PositionBook features as input to simple machine learning models after previous investigation into the relevance of such features. Due to the amount of training data available I decided to look only at a linear model and small neural networks (NN) with a single hidden layer with up to 6 hidden neurons. This choice was motivated by an academic paper I read online…
In my previous post I talked about how I planned to use constrained optimization to create features from Oanda's OrderBook and PositionBook data, which can be downloaded via their API . In addition to this I have also created a set of features based on the idea of Order Flow Imbalance (OFI), a nice exposition of which is given in this blog post along with a numerical example of how to calculate…