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11/41
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В арсенале трейдера много стратегий по различным валютным парам, включая пару eur/jpy. Для того чтобы улучшить результаты в торговле необходимо знать статистические данные движения валютной пары за определенный промежуток времени. Данный подход позволяет ориентироваться во время торговли не только внутри дня, но и недели. Зная среднее движение цены гораздо проще устанавливать тейк-профит и стоп-лосс.
Для анализа движения по дням и неделям был выбран период с 1 января 2017 г. по 31 июля 2018 г. Статистика по месяцам рассчитывалась с 1 января 2011 г. по 31 июля 2018 г.
Статистика по дням
В среднем за сутки валютная пара EUR/JPY проходит 100,7 пункта. Минимальное движение было зафиксировано 07.03.2017, когда пара прошла всего 33,0 пункта, а разница между ценой открытия и закрытия составила 10,4 пункта. Больше всего пара прошла 27.06.2017, разница между минимальным значением и максимальным составила 274,0 пункта.
Рисунок 1 - Статистика движения EUR/JPY по количеству пунктов
Как показано на рисунке 1, рассчитывать на то, что пара eur/jpy часто будет проходить по 200 пунктов в сутки, не приходится, потому что таких дней было всего 12 из 410. Больше 250 пунктов пара проходила только 3 р…
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P22498 avatar
P22498 31 Aug.

молодец

Vlad_55 avatar
Vlad_55 31 Aug.

Интересная статья!

magicratio12 avatar

well done.

Uladzimir avatar
Uladzimir 31 Aug.

отлично

Natalia_Kisenko avatar

good article!

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14/41
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Японская иена является одной из наиболее популярных валют для торговли на валютном рынке Форекс, а инвесторы до сих пор рассматривают японскую иену в качестве (валюты убежища) защитного актива. И когда фондовый рынок снижается, то спрос на иену растет и наоборот. Но не только фондовый рынок способен задать направление движение валютных пар связанных с иеной.
Ликвидность на рынке
Банк Японии владеет более чем 40 процентами государственных облигаций Японии, постепенно вытесняя других участников рынка.
Рисунок 1 - Покупка среднесрочных и долгосрочных государственных облигаций
Источник: Bloobmerg

Данные на рисунке показывают покупку среднесрочных и долгосрочных государственных облигаций банками, страховыми компаниями, паевыми инвестиционными фондами и иностранцами, и они снижаются. Инвесторы просто не верят, что финансовые учреждения могут зарабатывать деньги в условиях отрицательной ставки. Официальных изменений в денежно-кредитной политике Центрального Банка Японии нет, однако регулятор постепенно сокращает объем покупок из-за ограниченной ликвидности на рынке. С проблемой низкой инфляции тесно связана «ловушка ликвидности», которая возникает тогда, когда у Центрального банка больш…
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Vlad_55 avatar
Vlad_55 31 Aug.

Интересная статья

klintons avatar
klintons 31 Aug.

Stiprs raksts

magicratio12 avatar

excellent work.

Uladzimir avatar
Uladzimir 31 Aug.

хорошо

tradelord avatar
tradelord 21 Sep.

wow

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8/61
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Back in March when I posted the results for one of my simple systems, there was a lot of disbelief. How can such a simple system possibly work? If there’s no logic behind the strategy, then it can’t be profitable. You must’ve curve fitted the data somehow. These are just some of the comments I got when I posted this simple trading strategy.
In this article I will provide an update that shows how the system performed this year. I will also go over the process you should undertake to evaluate trading strategies and the steps needed before including a system in my trading arsenal. But first, a brief recap of the system and the backtested data.
Simple Set and Forget System for EUR/JPY
The rules for this set and forget system are very simple. It’s a weekly breakout strategy. After the markets open on Sunday at 23:00 CET (17:00 EST) we wait for the first 4 Hour candle to close. This happens at 3 AM CET on Monday, or 9 PM EST. If your broker has different 4 Hour settings, just use the hourly chart and draw a breakout box from 23:00 to 03:00.
For longs:
Place a Buy stop order at the high of the 4 Hour breakout box + 20 pips (+2 pips added for the spread)
For shorts:
Place a Sell st…
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BeautybyLesya avatar

Interesting!

CriticalSection avatar

I didn't realise 'naysayers' was a dictionary word in the capital markets. I spent 4+ years investigating market behaviour and micro-structure referring to absolutely no one even remotely involved in trading.  Always trust your instincts and if those fail, you still have your own eyes :) Good job with the article!

driven avatar
driven 2 Oct.

Very interesting article. It does seem though that you have a very small margin for error here. You did 125 trades and needed 25:100 win:loss to break even and you got 28:97, well within the realm of random variance. Also, you have to account for the fact that you need more than a 1:4 ratio to allow for the occasional slippage and black swan event (where your risk is asymmetric) which weren't in the backtesting. Not to say this system can't work, but you either need a much larger sample or a much higher win:loss ratio to make a strong case for it. Maybe with more testing. High quality article!

Natali_Niyazova avatar

exellent!

VictoriaVika avatar

very very very very good article. Tres bien, excellent &  дуже гарно

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11/46
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According to my backtest, this strategy has been profitable for at least two years now. The strategy itself is very simple and literally takes less then 5 minutes PER WEEK to execute. If you have been trading for a while, you’ve probably encountered this system in one version or another on forex forums. It’s a simple weekly breakout strategy. After the markets open on Sunday at 23:00 CET (17:00 EST) we wait for the first 4 Hour candle to close. This happens at 3 AM CET on Monday, or 9 PM EST. Since I know I will get this question, if your broker has different 4 Hour settings, just use the hourly chart and draw a breakout box from 23:00 to 03:00.
For longs:
Place a Buy stop order at the high of the 4 Hour breakout box + 20 pips (+2 pips added for the spread)
For shorts:
Place a Sell stop order at the low of the 4 Hour candle - 20 pips
Rules
Here are the rules I used during the backtest. I tried to keep the rules simple and robust to avoid curve-fitting the data. The stoploss is placed at the opposite side of the of the breakout channel. If we are long we exit our trade when price breaks the low of the breakout channel and we simultaneously enter a short trade. But we only take …
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fxsurprise8 avatar

Thanks for your comment Airmike. While 125 trades may seem like a small amount, this is a weekly strategy. Doing a test with 1000 trades would mean back-testing the past 1000 weeks or since 1996. The Euro wasn't even around back then.

You can't use the same rules for short-term and long-term strategies.

ivanbgd avatar
ivanbgd 31 Mar.

Article is very nice for me !

driven avatar
driven 2 May

Sorry I didn't see this earlier so I could like and comment on it during the contest.

driven avatar
driven 2 May

I'm by no mean an expert on forex (still researching when I have the time), but there are a number of 'cherry picking' bells that go off in my head when I read this. Please don't take this as a harsh critique, this article is much better than most on here. But why do you use only one currency pair, and not even GBP or USD? Do you assume there is enough correlation that it applies to all, or did this just happen to be the one you tested? And as I'm sure you know, curve fitting is not just about maintaining general rules, you will inevitably find patterns if you go through enough data...

driven avatar
driven 2 May

...You could go to a casino and go through the red/black history at all the roulette tables and if there are enough of them you will find a number of patterns, but as we know there is no reason to think they will apply in the future. We know that from conceptually understanding how roulette wheels work. I guess my question here is: what is your conceptual model for why this patterns works? Do you assume there is an assimilation of information during the first 4 hours after a weekly open and then this information coalesces at this point? But why 4 hours and not 2 or 3?

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