QUOTE(2malaysia @ Apr 16 2021, 02:07 PM)
I think what James said in (2) is correct, the raw data is too much and too confusing. For forex trades, the price volume data based on that company data only not the whole
world with all the aggregate data. This you can see when yesterday tick chart and today tick charts are different as more data merge with old data the following date in any online
brokerage firm.
In addition, there is the CFD or certificate of different products which mean each brokerage company is having its own market maker to distort the market for they advantage
for both stock indices and forex. Of course you have heard about stop hunter in these brokerage company where the retail trader set stop and the market maker try to adjust
the price to execute their buy sell price then reverse to reach their stop value to take their money...
Who is managing the 23 hours-24 hours trading of all online financial products ? I think each brokerage house has to manage/manipulate its own order especially during non trading hours...
Online forex and Indices trading can depends on price and volume for 80% successful trade. But if you go too deeply into mathematical formula, you are like trying to hit and Toto 4d number with its
statistical data which not only waste your time but also your focus.
Overall I think you are just procrastinating, you avoid trade and try to find a holy grail ...But I would be sad to tell you there is no 90% right methods may be you can get at best 8 out of 10 trades.
Do not throw out a complicated methodology to waste your time. Start practicing real trading now and learn from experience. Start small and choose something easier to trade with less fluctuation.
(procrastinate is the opposite meaning of motivation)
Good luck.
Just a last tips, the most profitable trade are those in the opposite direction of the trend before it reverse so market maker usually want to catch the follower that jump into the trade more than the high risk taker ..
yes, aware of the complexity in aggregating and cleaning the data . Previously, we did cleaning on 10 years of Futures Data , we have to make it continuous, the rollover every month involved calculations and a lot of cleaning. Still fairly new to currencies but yes, we would never get the perfect accurate price and volume because of diff brokerages and their diff spreads and volume .
yeah , i honestly am not aware of stop hunting , but i understood after you explained. I am aware of market maker technique because part of my algo is to mimic their actions but "attempt" to do it better than them ( am using a technique to determine when the "informed" traders are making a move )
of the mathematical formula part, i am consciously reminding myself that my result may be an act of randomness ( especially after reading the book, fooled by randomness by Naseem Taleb) , however, to eliminate that my result is not purely on randomness, I make sure the backtest is at least 3 years and i did a monte carlo simulation to at best , try to ensure the performance dont go to ruin . Of course, there are other pitfalls , like overfitting , look ahead bias, data snooping bias etc but as much as possible, i try to eliminate them in my backtest and to factor in slippage and commission.
of the procrastination part , yes , i am trying to "go-live" real soon ( the tough part is now selecting a broker who is an ECN/STP, with good integration and low fees, a unicorn
) , and i agree, the best learning ground is to trade live! , but i think will put the algo for paper test for 3 mths first, to catch any "bugs" and ascertain the performance.
I do also agree that there is no holy grail , and i have thought of a way to get closer to it (but nowhere near it) . It is really to have different strategies running on multiple "asset classes" (diversification is the next best free lunch) , I would put mean reversion strategies as the lowest hanging fruit ( think pairs trading , etf pairs, futures pairs ) , couple with a few momentum strategies and have an excellent risk management system (think kelly criterion and CPPI ) . Of the problem with black swan event, i am devising an algo that runs on fat tails event ( think of the VIX ) whereby it earns slowly in normal market condition and reaps profit during high volatility period ) . So i think with a mixture of Mean Reversion + Momentum algo , with an algo that reaps on fat tails event, it should be a more stable portfolio . (nowhere near the holy grail , but should generate smoother returns) ,, and then to the moon ! ( just kidding )
thanks for the tips! I think the whole market is based on this fundamental volume accumulation and distribution of the big sharks . Also , i also tend to like this phrase , "The market can stay irrational longer than you stay solvent "
may i know what you trade on?