F-Forex, Diary of a quant forex trader

Forex quant end of the week

After the 100 usd made on tuesday the markets deviated again 3 std devs so more trades were open. We had an audusd-nzdusd open from tuesday, this trade was closed at the mean yesterday with losses, the australian side ended at -23 while the new zealand at -6 usd.

Euro and Cable against the dollar and against the yen were also opened, the yen trades ended at the mean earning 6 usd and the dollar trades earned 21 usd. counting the 3 pairs i  ended up losing 2 bucks.

Even if smaller, the euro and the sterling still made earnings against the dollar and the yen; but aussie and kiwi made losses even if the mean reversion was given. This behavior is something to study mathematically; after long time inside the trade not even a mean reversion can drop profits because the mean moved so much that have nothing to do with the mean we had when we get inside the trade. The mean is dynamic, it moves as the markets advance and deserves a quant study even if i don’t know how to make it yet.

Statement

Tags: dynamic mean, experts advisors, forex automated trading, forex quants, mean reversion, mql, stat arb, trading model

July 2010 Results

The best we have for now regarding to Experts advisors is the Emas Cross 21 – 200, with no loss in the last 6 months.
Now that july had ended i can test the robot on that month, the results are not good as expected, july is the first month of losses for the EA:

EA 3 July performance

Tags: experts advisors, strategy tester

11 – 31 Moving Averages Difference for Trend Development US Session Only

Same as Expert Advisor 1 but with the addition of a trade range, in the US session only. This is more realistic to develop at my home office, i don’t want to have computers turned on 24h for now.

Expert Advisor 2 – US Session Trading

As we can expect the program will make less trades in the euro-dollar market:

January -147.61
February -82.53
March -203.67
April -91.90
May 89.77
June 15.66

————————————
-420.28

It is clear that the robot can’t perform well in the US session only either, but this was expected so no problem. this EA was made mainly just to have a robot that can trade only while i am following it. each edge will have to be tested using 24 hours, american session, europe, tokyo, etc.

Tags: automatic trading, experts advisors, metatrader, mql trading, quants, robot trading, us session