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Statistics |
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| Total Unique Visitors: 805456 |
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| Total Visitors Out: 3229 |
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| Fourth order cumulant study with more FX rates and time windows |
| 2010-10-13 09:13:09 |
The previous study revealed the positiveness of the fourth-order cumulant among the logarithmic increments for 24-hour highs and lows in EUR/USD and the respective ForexAutomaton forecasts. By expanding the scope of the study to include all of the 14 most popular exchange rates, and by splitting the time span of the simulated trading into five independent intervals, I demonstrate that the result is not just a feature of EUR/USD and is stable in time. The data hint at a correlation between the fourth-order cumulant under study and predictability of close (measured by Pearson correlation coefficient between predicted and actual logarithmic returns). However, the signal strength for these figures of merit, defined as the ratio of the value in question to the estimated precision of its ...
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| September performance review for Danica-9am algorithm |
| 2010-10-04 03:38:10 |
During the month of September, the ninth month of live performance, the system continued on auto-pilot without parameter changes. This document consists of a summary section reporting the figures of merit for the forecasting quality, followed by 14 subsections, dedicated to the individual exchange rates tracked by the system. Those contain our usual green-yellow-blue-red color-coded charts of the performance (2 for the two hypothetic strategy triggers for each currency pair, 28 in total) and details pertinent to the specific currency pairs. For comparison with the previous month, you may want to take a look at the August review. ...
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| Fourth order cumulant in EUR/USD falsifies random walk hypothesis |
| 2010-09-15 11:14:52 |
Ability to predict the up-coming changes in daily and hourly high and low of price (of course, in a statistical sense, as measured by correlation coefficients between prediction and reality) by using adaptive black-box models has been well documented on this site. Observation of statistical dependence of the extreme levels of price (high and low) within a time bin on the immediate past of the time series, reported for the random walk model, explains and, particularly in the context of searching for market inefficiencies, even trivializes this achievement. Indeed, market inefficiencies are not required for the diffusion equation (cf. Black-Scholes theory) to work. Are we merely creating black-box equivalents of the popular tools of financial engineering? Enter higher-order cumulants. S...
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| Markov property of the extremes in the binned random walk time series |
| 2010-09-08 11:00:18 |
Random walk is an important reference process in statistics and its properties have to be studied in financial applications, where hypothetic random walk of price remains an essential component of efficient market theories. Our day and hour time-scale predictive models demonstrated stable positive correlations between reality and prediction for returns taken in the time series of the respective (daily and hourly) lows and highs. However, same property is shown to hold for the simple Brownian motion random walk model. What are the origins and the implications of this effect? ...
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| August performance review for Danica-9am algorithmic system |
| 2010-09-08 05:13:42 |
During the month of August, the eighth month of live performance, the system continued on the auto-pilot without parameter changes. This document consists of a summary section reporting the figures of merit for the forecasting quality, followed by 14 subsections, dedicated to the individual exchange rates tracked by the system. Those contain our usual green-yellow-blue-red color-coded charts of the performance (2 for the two hypothetic strategy triggers for each currency pair, 28 in total) and details pertinent to the specific currency pairs. For comparison with the previous month, you may want to take a look at the July review. ...
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| High order cumulants |
| 2010-08-30 11:30:30 |
Cumulants are statistical measures of correlation designed to go to zero whenever any one or more quantities under study become statistically independent of the rest. Cumulants generalize the concept of a correlation measure; in particular, a correlation of two bodies, quantities and so on, the most intuitive one, can be represented and measured by the second-order cumulant. Higher orders can be conceived. ...
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| Temporal (in)stability of trading system optimization curves |
| 2010-05-21 04:52:50 |
For the first time, I address the question of how stable the optimization results are in time. While predictabilities of daily high and low show a highly stable pattern of dependence on the parameter subject to optimization, the positive results for close are mainly due to the high impact of a single period, which happens to cover the financial panic of the last quarter of 2008. ...
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| Kelly position sizing with a fixed stop-loss; dangers of tight stop-loss |
| 2010-05-13 10:44:56 |
The main conclusion of the previous article was that a strategy with a position size distributed proportionally to the Kelly Criterion was found to be more attractive than the strategy were potential stop-loss would be distributed according to Kelly. A way to implement such a better strategy was understood to consist in fixing the stop-loss distance while having the position size proportional to Kelly allocation. For that, one would need to optimize the stop-loss distance. Here comes the promised development, improving the histogramming technique used to judge the "attractiveness" of a strategy, and elaborating on the choice of the stop-loss. ...
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| April performance review for Danica-9am algorithmic system |
| 2010-05-04 11:03:51 |
During the month of April, the fourth month of live performance, the system kept running on complete autopilot, with no code upgrades or parameter changes. This document consists of a summary section followed by 14 subsections, dedicated to the individual exchange rates tracked by the system. Those contain color-coded charts of the performance and details pertinent to the specific currency pairs. For comparison with the previous month, you may want to take a look at March review. ...
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| Forex position sizing and Kelly Criterion |
| 2010-04-28 11:44:16 |
I compare four different position sizing strategies to use in algorithmic trading with Danica forecasting system. Two of them incorporate Kelly Criterion information. It seems that the strategy I have been using so far has been a sub-optimal one; a way to proceed is discussed. ...
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