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A place for redditors to discuss quantitative trading, statistical methods, econometrics, programming, implementation, automated strategies, and bounce ideas off each other for constructive criticism. Feel free to submit papers/links of things you find interesting.
Anyone experienced with Statistical/Machine/Deep Learning in Forex?
After fiddling around with EAs, I got interested in ML. Maybe it was just because of the hype, or because way back in college I did a project on neural networks, I was interested to see if ML/Deep Learning has any application in trading. According to the guy who wrote the book on Deep Learning in Python, there was a disclaimer early on that DL is not applicable to markets, because of their inherently unpredictable nature. I took his advice and stopped knocking on that door. But now, I am finding books on Statistical Learning, and these authors don't shy away from claiming that Stock Markets and Finance in general benefit from Machine Learning concepts or thereabouts. They are hinting at it, at least (I just got started). So, my question to anyone in the community who has experience with this: is there any scope for a retail trader to gain some insight through ML/DL/SL? Even if it is about getting better at identifying patterns, or finding probabilities of possible price direction, or better optimisation of regression analysis. Anything that makes it worth it?
Anyone experienced with Statistical/Machine/Deep Learning in Forex?
After fiddling around with EAs, I got interested in ML. Maybe it was just because of the hype, or because way back in college I did a project on neural networks, I was interested to see if ML/DL has any application in trading. According to the guy who wrote the book on Deep Learning in Python (along with creating the Keras librarby in Python), there was a disclaimer early on that DL is not applicable to markets, because of their inherently unpredictable nature. I took his advice and stopped knocking on that door. But now, I am finding books on Statistical Learning (also another advanced one by these authors), and these authors don't shy away from claiming that Stock Markets and Finance in general benefit from Machine Learning concepts or thereabouts. They are hinting at it, at least (I just got started). So, my question to anyone in the community who has experience with this: is there any scope for a retail trader to gain some insight through ML/DL/SL? Even if it is about getting better at identifying patterns, or finding probabilities of possible price direction, or better optimisation of regression analysis. Anything that makes it worth it?
So, I am trying to be more precise with my trading. I was looking in the wiki here, but the books mentioned, and the general outline does not mention statistical analysis for Forex, or trading in general. A brief overview of my current progress: I started with the standard route to trading: reading books/articles on TA patterns, indicators, heuristics etc. to guide my reasoning for opening a position. Initially, it went well. I even wrote some EAs and one of them was sufficient enough to book some profits. Along the way, I became aware of basic understanding of fundamentals and FA. Then, I got greedy, started to "gamble" with currency pairs that were too risky. Then lost it all, made it back, lost it again, finally made it back. Learnt some lessons along the way, and the greed impulse is sufficiently eradicated after that whole trauma. And it's not even been a year! Now, partly because of my professional background, and partly because of the experience for almost a year, I find that this whole TA stuff is not sufficient, even when vaguely paired with FA (guessing where the market will go, based on interest rate decisions, GDP, PMI, central bank mandate, interviews, policies, political conditions, reading qualitative books on specific economies). I have a qualitative strategy for now, based on simple MAs and pivots/SR levels. At the same time, people say that "no one can predict what will happen next in markets." Which is true and all, but what about a probabilistic, quantitative idea of where the market is heading? Is there any hope with regression analysis, or some advanced probability calculus course, that helps with trading, or even Forex trading specifically? Any books that have helped any traders here? Currently, I am reading Evidence-Based Technical Analysis and Introduction to Statistical Learning. EBTA is alright, not yet giving me much precise ground. ISL is a general textbook, which I am reading just for the fun of it. Hopefully, it will be a good foundation for developing future strategies.
Hi everyone, I have been reading a lot lately on forex and just completed a statistic module in some studies. Is it possible or has it been done to conduct a multivariate analysis of variance on currency trades for the day. Determine if any correlations exist between certain currencies and/or commodities. Then based on that uncovered data, use a regression analysis to determine the impact of correlation a against correlation b on variable x? A lot to digest and I'm a rookie. Let me down easy haha.
Just giving a quick advice to people who are backtesting or trying out their strategies, and then I want to ask a question. Whenever you start and you seem to be winning or losing, please keep in mind that statistically the likelyhood of extremes are way bigger in cases of small number of tests - therefor backtest plenty. Do you find an edge though, exploit it and keep running it. My question is, how do you mathematically, determain a good size of tests to eliminate extremes or good/bad luck? Edit: I always hear that 10.000 should be the golden number, which leads to about 1% margin of error - how is that number given? Thanks a lot in advance
Ah, statistical edges, good job, OP. I was trying to do a similar research a long time ago on stock movements running tests that covered 10 years or more. As far as I remember from those days, yes, it is possible to obtain better results if the inidcator parameters are optimised. However those parameters will be different for different time periods. A random generator of given parameters for ... Analysing the forex currency pairs is not an easy job at all. Not one or two factors decide the price fluctuation. There are multiple factors affecting price change. **1. Inflation Rates 2. Interest Rates 3. Country’s Current Account / Balance of Payments 4. Government Debt 5. Terms of Trade 6. Political Stability & Performance 7. […] Forex is the only financial market in the world to operate 24 hours a day. The forex market is comprised of 170 different currencies. The United States Dollar (USD) is on one side of 88% of all forex trades. Seven currency pairs make up 68% of the forex markets trading volume. Female forex traders tend to outperform male traders by 1.8%. 54% of retail traders use MetaTrader 4 or MetaTrader 5 ... After saying so much about the statistical Forex systems, I think it’s time to give an example of one.But first, I have to warn that this exert advisor «as is» wasn’t profitable during tests — it had its losses and gains, but spread losses took over eventually, so I can’t suggest using it on your real money account. Statistical Forex EA can be a very simple program, but it can be also developed as a powerful analyzing and comparing program. It can be capable of recognizing not only price action patterns, but also correlation with the days of the week and the trading hours, as well as look into the past to see the start of the trend or the previous price patterns. MT4 expert advisor built as statistical ... Statistical trading is a forex system designed for renko chart based on Pearson and Spearman correlation. I applyed this indicator at the renko chart because the geometry of renko chart is more regular, then is more simple for indicator make a forecast for trading. 5 pips box size or more. Currency pairs: majors. In the folder there are two templates with two differents trend arrows. Setting ... 8. There are over 170 different currencies around the world today that make up the Forex market. 2. 9. Forex is the only market that runs for 24 hours per day. 1. 10. The Forex market is the most liquid market in the world. 1. 11. The Forex market is 12X larger than the futures market and 27X larger than the equities (stock) market. Currency ... While your bottom line (total profit or loss) can easily tell you your overall trading performance, keeping statistics is a great way to find out what parts of your trading system are keeping you from running like a finely tuned race car instead of a junkyard clunker. To make money trading forex (or any market for that matter), you’re going to need statistics to improve your trading performance.When it comes to improving your trading performance, 9x out of 10, you should be choosing data over opinions. I’ve trained thousands of traders, and often times, the difference between winning and losing money came down to one data point or statistic, and at most ... I couldn't imagine anyone carrying out a statistical test without knowing how to interpret the results to themselves. Just getting the assumptions met to do a test is a hard enough task. The test itself is easy. I'm not sure what you are saying with you machine A and machine B statement. I don't know anyone that would attempt to apply ...
A Statistical Trading Edge! - Forex Order Flow Volumes
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