This is a collection of past Forex Automaton articles organized in reverse chronological order.
December 2009 November 2009 October 2009 September 2009 August 2009 July 2009 June 2009 May 2009 April 2009 March 2009 February 2009 January 2009
Danica the daily forex forecaster is rolled out Explaining the output of Danica trading system Prediction quality for high, low is improved by tying the four components of a day candle together. Predicting next low and high looks much easier than next close. Intermarket analysis seems to make no dramatic difference to forex prediction quality on day scale
Forecasting optimization: an overlooked parameter fix improves quality while "efficient market" Monte Carlo supports the results. Transmission latency in forex Mikhail Kopytine gives an interview to Forex Hunter Blog Forex Automaton as a Shannon's communication channel. Introducing Kelly Criterion.
Pairs trading and correlations More on how I know my forex forecasting works. How I know my forex forecasting engine works CAD and oil hour-scale correlation: it's safer to rely on CAD Volatility-neutral trading system Graphical analysis of trading system's simulated track record. Step Two algorithm, AUD/USD. Graphical analysis of trading system's simulated track record. Step Two algorithm, USD/CAD.
More Step Three back-testing results. Trade entry threshold range is extended. First look at Step Two: single-market pattern recognition, multi-market money management require a separate optimization effort. First peek at the simulated trading results in the simultaneous multi-market mode.
Summary of the trading system optimization results. Step One. Forex trading system optimization status EUR/USD optimization: the old optimum looks good enough
USD/JPY optimization: the old optimum looks good enough With trade entry parameter range extended, GBP/USD optimum moves closer to the rest Optimizing the forex trading system: USD/CHF revisited Optimizing the forex trading system: AUD/USD revisited Optimizing the forex trading system for USD/CAD: the optimal "trader patience" pans out Optimizing the forex trading system parameters: GBP/USD revisited A note on USD/CHF optimization. Optimizing the forex trading system parameters: USD/JPY revisited Optimizing the trading system parameters: EUR/USD revisited
CHF/JPY and EUR/AUD leading indicator history, 2002-2009 Optimizing the forex trading system parameters: EUR/USD AUD/JPY and GBP/USD leading indicator history, 2002-2009 Optimizing the forex trading system parameters: AUD/JPY AUD/JPY and EUR/CHF leading indicator history, 2002-2009 Setting up an algo trading system test bench. Description of parameters. Patterns of financial crisis: USD/CAD in 2007-2009. The First Annual Summary of Forex Automaton Research Progress, April 2009. Patterns of financial crisis: GBP/CHF 2007-2009.
Patterns of financial crisis: EUR/USD, Deutscher Aktien and the Dow, 2007-2009. Patterns of financial crisis: GBP/USD, Footsie and the Dow Patterns of financial crisis: SPY and AUD/JPY, 2007-2009. SPY: the trend ain't your friend any more Patterns of financial crisis: AUD/USD 2007-2009. Patterns of financial crisis: EUR/CHF 2007-2008. Patterns of financial crisis: EUR/GBP 2007-2008.
Patterns of financial crisis: AUD/JPY in 2007-2008. Patterns of financial crisis: GBP/JPY in 2007-2008. Patterns of financial crisis: GBP/USD in 2007-2008. Patterns of financial crisis: EUR/USD in 2007-2008. Patterns of financial crisis: EUR/JPY in 2007-2008. USD LIBOR 2002-2008: predictability in times of credit tightening and expansion GBP/USD and USD/CHF 2004-2008: symmetric predictive correlation GBP/JPY and USD/CHF 2004-2008: weak correlation, no forecasting potential
Danish Krone (DKK) LIBOR technical predictability overview AUD/JPY and EUR/USD leader-follower history AUD/JPY and USD/CHF intermarket correlation, 2004-2008. AUD/USD and USD/CHF intermarket correlations, 2004-2008. CHF/JPY and USD/CHF intermarket correlations, 2004-2008. CHF/JPY is the leader. Swedish Krona (SEK) LIBOR technical predictability overview EUR/AUD and USD/CHF 2004-2008: "trivial" intermarket correlations New Zealand Dollar (NZD) LIBOR: technical predictability overview EUR/GBP and USD/CHF 2004-2008: "trivial" intermarket correlation EUR/JPY and USD/CHF 2004-2008: EUR/JPY is the leader.
Pound Sterling (GBP) LIBOR rates: technical predictability overview CHF/JPY "bipolar disorder" history Swiss Franc (CHF) LIBOR: technical predictability overview CHF/JPY and EUR/USD leader-follower history Australian Dollar (AUD) LIBOR technical predictability overview EUR/CHF and EUR/USD follower-leader effect: USD interest rate drop could have killed the effect Canadian Dollar (CAD) LIBOR technical predictability overview Time evolution of the EUR/USD and USD/CHF correlation EUR/CHF and USD/CHF 2004-2008: "trivial" intermarket correlation
US Dollar (USD) LIBOR rates: technical predictability overview EUR/GBP and GBP/JPY 2002-2008: intermarket correlations EUR/GBP and GBP/USD 2002-2008: intermarket correlations Euro LIBOR rates: technical predictability overview EUR/GBP and USD/CAD 2002-2008: intermarket correlations AUD/JPY: "bipolar disorder" history EUR/JPY and EUR/USD correlation: following up despite the challenge of non-stationarity. Is USD joining JPY in the carry-trade currency club? Japanese Yen (JPY) LIBOR rates: technical predictability overview Minimizing the "benefit of hindsight" in trading system testing AUD/USD "bipolar disorder" history
EUR/JPY and USD/CAD 2002-2008: intermarket correlations GBP/JPY and GBP/USD 2002-2008: intermarket correlations EUR/JPY and USD/JPY 2002-2008: "trivial" intermarket correlations GBP/JPY and USD/JPY 2002-2008: "trivial" intermarket correlations GBP/USD and USD/CAD 2002-2008: leader-follower correlation GBP/USD and USD/JPY 2002-2008: hints of predictive correlations USD/CAD and USD/JPY 2002-2008: "trivial" intermarket correlations EUR/GBP and AUD/JPY 2002-2008: another minimally correlated combination EUR/GBP and AUD/USD 2002-2008: "trivial" intermarket correlations EUR/GBP and CHF/JPY 2002-2008: intermarket correlations EUR/GBP and EUR/AUD 2002-2008: intermarket correlations EUR/GBP and EUR/CHF 2002-2008: negative correlation underscores importance of interest rates EUR/GBP and EUR/JPY 2002-2008: intermarket correlations EUR/GBP and EUR/USD 2002-2008: intermarket correlations
EUR/AUD and GBP/JPY 2002-2008: "trivial" intermarket correlations only EUR/AUD and GBP/USD 2002-2008: intermarket correlations EUR/AUD and USD/CAD 2002-2008: leader-follower correlations EUR/AUD and USD/JPY 2002-2008: asymmetric "contrarian" correlations EUR/CHF and EUR/JPY 2002-2008: "trivial" intermarket correlations EUR/CHF and GBP/JPY 2002-2008: "trivial" intermarket correlations EUR/CHF and GBP/USD 2002-2008: leader-follower correlations EUR/CHF and USD/CAD 2002-2008: weak and "trivial" correlations USD/JPY and EUR/CHF 2002-2008: leader-follower relationship EUR/JPY and GBP/JPY 2002-2008: "trivial" intermarket correlations EUR/JPY and GBP/USD 2002-2008: asymmetric leader-follower correlations
AUD/JPY and USD/CAD 2002-2008: intermarket correlations AUD/JPY and GBP/USD 2002-2008: leader-follower correlations AUD/JPY and EUR/JPY 2002-2008: (trivial) intermarket correlations AUD/JPY and GBP/JPY 2002-2008: (trivial) intermarket correlations AUD/JPY and EUR/AUD 2002-2008: "contrarian" intermarket correlations AUD/JPY and USD/JPY 2002-2008: intermarket correlations AUD/JPY and CHF/JPY 2002-2008: (trivial) intermarket correlations CHF/JPY and EUR/AUD 2002-2008: leader-follower correlations CHF/JPY and EUR/CHF 2002-2008: (trivial) intermarket correlations CHF/JPY and EUR/JPY 2002-2008: symmetric predictive cross-correlations CHF/JPY and GBP/JPY 2002-2008: (trivial) intermarket correlations CHF/JPY and USD/CAD 2002-2008: intermarket correlations CHF/JPY and EUR/USD 2002-2008: leader-follower correlation CHF/JPY and GBP/USD 2002-2008: asymmetric (leader-follower) correlation CHF/JPY and USD/JPY 2002-2008: (trivial) intermarket correlations EUR/AUD and EUR/CHF 2002-2008: asymmetric predictive correlations EUR/AUD and EUR/JPY 2002-2008: leader-follower correlations
EUR/USD and GBP/JPY 2002-2008: intermarket correlations (leader-follower) EUR/USD and USD/CAD 2002-2008: intermarket correlations (symmetric predictive) NZD/USD 2005-2008: predictability overview AUD/JPY and EUR/USD 2002-2008: intermarket correlations (leader-follower) EUR/JPY and EUR/USD 2002-2008: intermarket correlations (leader-follower) AUD/USD and EUR/USD 2002-2008: intermarket correlations (oscillating pattern) EUR/CHF and EUR/USD 2002-2008: intermarket correlations (leader-follower, strong signal) EUR/AUD and EUR/USD 2002-2008: intermarket correlations USD/CHF 2004-2008: another "fair game"? EUR/USD and USD/CHF 2004-2008: intermarket correlations (leader-follower) AUD/USD and NZD/USD 2005-2008: intermarket correlations (oscillating pattern) AUD/USD and GBP/JPY 2002-2008: intermarket correlations AUD/USD and USD/JPY 2002-2008: predictive intermarket correlations AUD/USD and GBP/USD 2002-2008: intermarket correlations (leader-follower) AUD/USD and CHF/JPY 2002-2008: intermarket correlations AUD/USD and USD/CAD 2002-2008: intermarket correlations (leader-follower) AUD/USD and EUR/JPY 2002-2008: intermarket correlations AUD/USD and EUR/CHF 2002-2008: the least correlated combination? AUD/USD and EUR/AUD 2002-2008: intermarket correlations AUD/USD and AUD/JPY 2002-2008: intermarket correlations AUD/JPY and EUR/CHF 2002-2008: leader-follower correlations
USD/JPY 2002-2008: predictability overviewUSD/CAD 2002-2008: predictability overview GBP/USD 2002-2008: predictability overview CHF/JPY 2002-2008: predictability overview EUR/AUD 2002-2008: predictability overview EUR/AUD 2002-2008: specific patterns of trading sessionsEUR/CHF 2002-2008: predictability overviewEUR/GBP 2002-2008: predictability overviewWhy "bullish" and "bearish" autocorrelations EUR/JPY 2002-2008: predictability overviewEUR/USD and USD/JPY 2002-2008: intermarket correlations (leader-follower)EUR/USD and GBP/USD 2002-2008: intermarket correlations (symmetric predictive) Back-testing a forex trading system
EUR/USD 2002-2008: the fairest game in town! AUD/USD 2002-2008: predictability overview AUD/JPY 2002-2008: predictability overview
Danica | daily | 9am Eastern time | 14 forex pairs