F-Forex, Diary of a quant forex trader

Variance, Covariance and Correlation Coefficient

While i can i will be adding more info to my arbitrage experts advisors. This will help to improve my mathematics skills and improve also mql programming skills of common statistical formulas.

so having 2 time series, each one for each pair i already have mean, standard deviations, differential, pips differential to mean(take profits), pips differential to 4 std dev(stop loss).

i also added now:

variance:
http://en.wikipedia.org/wiki/Variance

covariance, wich was a little harder to calculate than variance but very fun to do.
http://en.wikipedia.org/wiki/Covariance

correlation coefficient:
http://en.wikipedia.org/wiki/Correlation_and_dependence

Tags: correlation, correlation coefficient, covariance, finance mathematics, quant, quants, variance

More historical tests

demonstrates that the EA 9 ( http://fforex.me/robots/emas-cross-21-200-trailing-stop-corrected-tests/ ) had a really bad year during 2009 ending the year with losses.

a loss for an entire year means that the expert will not be profitable, further actions should be taken, i am now working on optimization of this expert. see next post.

Tags: historical tests, meta trader, mql, optimization, quants, startegy tester

Strategy tester new results

The best i had until now was the expert advisor that uses the 21 and the 200 EMA cross with a 20 pips of stop loss and 30 of take profit (expert 5) and the expert where the same entry criteria was used but with a trailing stop moving in the direction of the trade after an amplitude of 40 pips is given (expert 7).

Now is time to test this 2 with the new historical consistent data:

Expert 8

and

Expert 9

The expert advisor code is the same as 5 and 7, i just want to difference the test results but they are actually the same code.

We can see that the earnings are less than with the original trades but that is of course ok if the test can be trusted.

Tags: ea, expert advisors, metatrader, mql, quants, 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