Analytics

We begin the next phase of our robustness testing workflow with the reduced basket of 56 GBPJPY strategies generated using StrategyQuant’s genetic algorithm. These 56 strategies managed to remain profitable when tested over an additional 5 forex markets. We will continue to shortlist robust strategies by conducting another difficult out-of-sample (OOS) test, in the form […]

Every trader has complained about slippage at some point. Like spread and commissions, it is sometimes an unavoidable cost of trading. Nonetheless, minimizing slippage should be a goal of every trader. In addition, can we improve our backtest realism by simulating slippage? Let’s discuss! What’s Slippage, and Why Does It Happen? Slippage is the difference […]

In the diverse world of strategy development, there are often multiple approaches to the same problem. Traditional parameter optimization is often used to determine your strategy’s stop loss placement. Here I’ll demonstrate a more visual method using the concept of maximum adverse excursion, and compare the results from both methods. What is Maximum Adverse Excursion? […]

The forex markets are open 24 hours a day, but not all hours are created equal. Trading volumes are known to vary significantly throughout the day. But I’m not one to listen to anecdotes, so I decided to dissect my broker data and verify it for myself. It’s in the Data Here’s how you can […]

An investment in knowledge pays the best interest. And what better way to block out the noise of the internet and acquire knowledge than to dive into the trading literature? Today I’ll review “Building Winning Algorithmic Trading Systems,” which helped me out immensely when I embarked on my trading journey years ago. These are no […]

Bollinger Bands are the ever-popular indicator for trend following and mean reversion traders alike. StrategyQuant provides a Bollinger Bands Width Ratio (BBWR) indicator, which measures the width between the upper and lower bands. With this indicator, you can detect a Bollinger Bands squeeze and prepare for a potential breakout. But first, here’s a quick primer […]

The forex market is the largest and most liquid financial market in the world. According to the Bank of International Settlements, the forex daily turnover exceeds $6 trillion. Who are the major players in this market? Read on to find out! 1. Central Banks Central banks serve as the monetary authorities of their respective countries, […]

With trend following growing in popularity, there is an abundance of trend indicators to choose from. When I heard about the catchy Supertrend indicator, I knew I had to check it out. What is the Supertrend Indicator? The Supertrend is not available in MT4 by default, but you can download it here (together with the […]

Most retail traders are time-crunched in one way or another. While live algorithmic trading requires little screen time, the initial strategy development phase requires much time and effort. Multiple timeframe backtesting can be a great tool in your bid to efficiently churn out robust strategies. Why Backtest on Multiple Timeframes? 1. Verify Your Strategy’s Robustness […]

A great feature about StrategyQuant is its regular addition of new indicators to the platform. One recent addition is the Schaff Trend Cycle (STC). Seeing how Investopedia described it as ‘faster and more accurate’, I knew I had to check it out. Let’s see how we can put it to good use! What’s the Schaff […]

Over the years, I have repeatedly found that forex markets are mean reverting in general, with the possible exception of the JPY pairs. Does mean reversion apply to weekend gaps as well? And if it does, can we program a strategy to exploit this phenomenon? Before finding out, let’s cover some causes and examples of […]

The forex markets are open 24 hours a day, but not all hours are created equal. Trading volumes are known to vary significantly throughout the day. But I’m not one to listen to anecdotes, so I decided to dissect my broker data and verify it for myself….

Traders have long used volume to gain insights into the markets. For exchange-traded assets like stocks, volume refers to the number of shares that changed hands over that period. It is usually plotted below prices, and gives a good indication of the level of participation in the market. Why is Volume Useful? Volume primarily serves […]

Keltner Channels were first introduced by Chester Keltner in his 1960 book, How to Make Money in Commodities, and subsequently updated by Linda Raschke. Similar to Bollinger Bands, they consist of a pair of volatility-based envelopes positioned above and below a middle moving average. Keltner Channels Calculations Middle line: Exponential moving average of the typical price […]