Archive

This is a collection of past Forex Automaton articles organized in reverse chronological order.

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February 2011
February 2011 performance review for Danica-9am algorithm

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January 2011
Intraday seasonality as a source of alpha
Even in the random walk, locations of daily high and low are non-uniformly distributed in time
January 2011 performance review for Danica-9am algorithm

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2010

December 2010
November 2010
October 2010
September 2010
August 2010
July 2010
June 2010
May 2010
April 2010
March 2010
February 2010
January 2010

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December 2010

USD/CAD intraday seasonality overview, 2003-2010
GBP/USD intraday seasonality overview, 2003-2010
USD/JPY intraday seasonality overview, 2003-2010
AUD/JPY intraday seasonality overview, 2003-2010
EUR/USD intraday seasonality overview, 2003-2010

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November 2010

 

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October 2010

JPY LIBOR 2007-2010: shorter maturities mean-revert, longer ones form trends
USD LIBOR predictability 2007-2010: shorter maturities show the way
Fourth order cumulant study with more FX rates and time windows
Profile Histogram

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September 2010

Fourth order cumulant in EUR/USD falsifies random walk hypothesis
Markov property of the extremes in the binned random walk time series

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August 2010

High order cumulants
Temporal distribution of GBP/JPY low and high during a day

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July 2010

Revisiting the Day Range Strategy. Part 2.

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June 2010

Temporal patterns and history of EUR/JPY spread, 2003-2009
Revisiting the Day Range Strategy. Part 1.
USD/JPY spread patterns and history, 2003-2009
EUR/USD spread patterns and history, 2003-2009

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May 2010

Temporal distribution of CHF/JPY low and high during a day
Temporal (in)stability of trading system optimization curves
Kelly position sizing with a fixed stop-loss; dangers of tight stop-loss

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April 2010

Forex position sizing and Kelly Criterion
Temporal distribution of AUD/JPY low and high during a day
Kelly capital allocations seem to favor "animal spirits"
Distribution of USD/CHF daily high and low during a day
Kelly capital allocation improves system profitability while reducing risk
Distribution of USD/CAD daily high and low during a day
The Second Annual Summary of Forex Automaton Research Progress, April 2010

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March 2010

Distribution of GBP/USD daily high and low during a day
Distribution of EUR/GBP daily high and low during a day
Danica v0.5 forecast does not "age" intra-day, is more relevant to periods of high volatility.
Distribution of USD/JPY daily high and low during a day
Distribution of AUD/USD daily high and low during a day
Distribution of EUR/USD daily high and low during a day

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February 2010

Progress towards algorithmic implementation of Kelly Criterion
Intermarket analysis vs markets-in-isolation on day scale.
Day-range strategy is improved by removing profit target. Profit distribution may lose second moment.
Further analysis of the day-range strategy. Selecting the forecasts to trade.

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January 2010

From forex forecasts to forex signals. Effect of the forecast move magnitude.
From forex forecast to forex signal. Level 0 forecast discrimination.
Explaining Danica v0.5 optimization choices

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2009

December 2009
November 2009
October 2009
September 2009
August 2009
July 2009
June 2009
May 2009
April 2009
March 2009
February 2009
January 2009

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December 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

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November 2009

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.

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October 2009

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.

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September 2009

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.

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August 2009

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.

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July 2009

Summary of the trading system optimization results. Step One.
Forex trading system optimization status
EUR/USD optimization: the old optimum looks good enough

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June 2009

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

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May 2009

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.

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