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USD/JPY optimization: the old optimum looks good enough |
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Written by Mikhail Kopytine
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Tuesday, 30 June 2009 14:51 |
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I am continuing another round of optimizations, revisiting the six popular currency pairs one after the other, extending the range of the trade-entry parameter further into the "conservative" area. In the case of USD/JPY however, the "old" optimum seems good enough so that no improvement is brought about: even though the "new" returns are higher, I am not convinced that the "new" risks are justified. The "landscape" of the optimization problem here looks very clean and understandable. |
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Saturday, 12 April 2008 15:09 |
Look at the market action through cold and alien eyes that know no fear or greed -- the eyes of Forex Automaton™ . Recent: |
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CHF/JPY and EUR/AUD leading indicator history, 2002-2009 |
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Written by Mikhail Kopytine
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Tuesday, 28 April 2009 10:55 |
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In the screening we conducted last summer using the data set from 2002 to early 2008, CHF/JPY was identified as a leading indicator for EUR/AUD. This time-evolution study confirms that the signal was real, as the fairly robust relationship persisted till the middle of 2007. Around the middle of 2007, CHF/JPY and EUR/AUD changed from being positively correlated to being negatively correlated. About the same time, CHF/JPY stopped being a leading indicator for EUR/AUD. Curiously, it's hard to interpret this as a result of changes in the interest rates: dramatic changes in that area did happen, but much later, not until the Fall of 2008. |
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Forex-LIBOR correlations: EUR/JPY 2002-2009 |
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Written by Mikhail Kopytine
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Wednesday, 18 March 2009 17:25 |
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The results for EUR/JPY and the respective LIBOR ratio, obtained in the inter-market correlation technique for logarithmic returns, look somewhat disappointing. The sharp zero-lag peaks seen in USD/JPY for LIBOR durations longer than 3 months are absent here. The quantitative analysis of time lag dependence of the correlation shows the EUR/JPY movement during the crisis to precede, rather than to follow the interest rate developments, however this seems to be more of a single long-range event than a repetitive and predictive temporal connection required for trading system formulation. |
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