F-Forex, Diary of a quant forex trader

Oct Vol crunch

Tags: cbot, group 1 trading, jamie tyrell, volatility sonar report

The hedge trade

My current trading strategies are based on indicators, specially i did a lot with crossing moving averages.  On my last posts i concluded that a simple moving average cross is to simple to be a reliable signal so i tried to use the upper timeframe to get the trend and trade with it. Results were similar, the cross of moving averages works some times as some other don’t, a clear example is the profitability of year 2010 while in 2009 tests results end with big losses.

The market is so chaotic that it is almost impossible for a trader using a single indicator to predict market behavior. i checked my old notes and i found something that was very interesting and surprising when i saw it and that i think it will drive my approach starting now until i can prove that the strategy don’t work as i did with the moving averages ones.

In my notes i found myself trading the euro using the Sp-500 stocks index, this was in the Euro crisis we had this year. At that time i found that this 2 instruments were moving in the same manner, if the sp-500 started to rally the euro was following it just a few seconds or minutes after.

Correlations are common in the financial world and i am seeing them now as a vulnerability the market haves, it is easy to calculate correlation in real time using mql.

The following 2 articles are what i am studying now, http://codebase.mql4.com/6601 and http://articles.mql4.com/445

Using the second article i was able to test the hedging strategy using the mql tester and i am now using article 1 expert advisor(myHedge) to test hedging in demo live to find a profitable hedging strategy.

There is a lot to do, read and test, i will be adding results to the diary soon.

Tags: correlation, hedge, hedge trade, low risk, meta trader, mql

Top Notch

Tags: cme, tim hefkie, top notch

Now August…

Tags: group 1 trading, jamie tyrell, optionmonster tv, volatility sonar report

60k Oct calls and puts

Tags: cbot, group 1 trading, jamie tyrell, optionmonster tv, volatility sonar report

21 Ema Crossing 55 Ema

Continue with my research of the odd of the EMA crosses, here i am making a trade when the 21 ema cross the 55 ema in what it can be indicating the end of a short time trend to the upside.

Getting in  short at 9:21 am EST:

1 h later the market looks like in flag formation, the 21 ema is now about to cross the 200 ema, this is another signal to the side of my trade:

Market fails to trade lower at this point, the SL of -30 is hitted:

Tags: 21 ema, 55 ema, ema cross, eur-usd, failed

Ema Cross, 55 crossing 200

11:22  am EST, gettinjg i nthe market long for 55 ema crossing 200 ema:

The pattern fails and the trade ends at -30 pips stop loss.  2:37 pm EST.

Tags: 200 ema, 55 ema, ema cross, eur-usd, fail, failed

21 Ema Pullback

The pullback to the 21 ema is not a very strong signal as it can be the 55, 200 or a cross.
However the market is really quiet today so this can be a chance for traders to make some money.

i am getting in then:

After just a bit the market climbs, i am hanging to see if it haves more room:

As the market slows down and momentum decrease i get out of the trade with an earning of 21.7 pips.

this exit was just intuitive, it will be good if i can get this same exit results using short term moving averages.

Tags: 21 ema, eur-usd, pullback

Emas Cross trade

during a bottom reversal i have 2 points of entry that can be profitable using my EMAs.
at this point the reversal is totally confirmed, chances of success are high.

first is when the 21 EMA cross the 200 EMA, when that happens i have an entry:

the market reach a 30 pips TP limit:

a new entry is made when the 55 EMA is crossing the 200 EMA:

The trade gets into winner territory but it looks like loosing strenght to reach 30 pips so i am getting out, earning 15 pips for a total of 45 pips between the 2 trades.

Remember this pattern, i will call it EMAs cross and i will soon be studying its real possibilities using a robot.

Tags: 200 ema, 21 ema, 55 ema, ema cross, eur-usd

Trade open to long – bad strategy

Here is a good demonstration of a trade to long, starting in the early US and ending in Tokyo, as a conslusion i have to clean all trades before 5 pm EST when trading the normal US session.

The entry was good, tried to catch relief rally i nthe 55 ema and continue the downside move.

Main problem was that the volume was very little as we are in the “summer wind”, lot of traders are not in the markets.

Anyways, here is the entry:

Had some profits here, didnt toke them:

I had the chance of getting out with a small loss of 10 pips before the tokyo open, the loser trade was a fact.

At the end my SL is hited at japan open, loosing 30 pips.

Rule: If i start trading in the US session as usual, no trade can’t be open after the 5 pm EST.

Tags: 55 ema, eur-usd, relief rally, small loss, strategy, tokyo