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…. With the forex markets trading 24 hours a […]

Use walk-forward analysis to take your out-of-sample testing to the next level! I’ll cover the concept and benefits of walk-forward analysis, and demonstrate its application to a trend following strategy. Your test settings can make or break your walk-forward optimization results. StrategyQuant’s walk-forward matrix can help you select optimal settings. Want to use Monte Carlo […]

If you’ve ever used a technical indicator, you’ll understand the perennial conflict between lag and reliability. You want your indicator to respond quickly to prices, while minimizing the number of false signals. In his book Cybernetic Analysis for Stocks and Futures, John Ehlers developed the Laguerre RSI as a way to minimize both the noise […]

Entry selection is arguably the most important component of strategy development. A profitable entry allows profits to accrue quickly, minimizing your time in the market and giving you more flexibility when developing your trade exits. When discussing Entry Testing in the MT4 Development section, I demonstrated the use of simple reversal strategies to rank the profitability […]

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….

Here you can edit your profile information and manage your lists. [mailpoet_manage_subscription] Want to develop a portfolio of automated trading strategies? Supercharge your strategy development with StrategyQuant Access 14-day FREE trial here! Get up to USD 300 discount! Strategies need improvement? Use QuantAnalyzer’s powerful analysis tools Try the FREE version here! Get 20% Discount here! […]

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….

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 […]

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 […]

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…

Bollinger Bands are the gift that just keep giving. They’re simple and easily applicable to both trend following and countertrend strategies. Here I’ll introduce yet another way to use Bollinger Bands to fade temporary overextensions. Bollinger Bands in a Nutshell Bollinger Bands consist of a simple moving average, with a pair of bands plotted at […]

The Quantitative Qualitative Estimation (QQE) indicator is derived from Wilder’s famous Relative Strength Index (RSI). In essence, the QQE is a heavily smoothed RSI. Both the QQE and traditional RSI are plotted below for the USDJPY. Notice how the traditional RSI and the QQE’s smoothed RSI line follow price action with little lag. Unlike the […]

Browsing through the MQL5 Marketplace is a fun way to discover the many types of trading algorithms in existence. I have seen backtests containing anywhere from 5 to 5000 trades. So how many trades (or sample size) does your backtest really need? And if you suspect your backtest has insufficient trades, can you still make […]