In this article are described some concepts that can be used to optimize automated strategies.
The topics covered are:
  1. Minimizing cost
  2. Finding an optimal entry/exit within a short time period
  3. Using Big Data to optimize strategies
  4. Statistically evaluating a strategy

Minimizing costs

Costs arise from the spread and commission. Statistically, these costs are the only thing that will cause you to lose money from trades.
The spread is by smallest on the EUR/USD pair but even on this pair, it changes enormously throughout the day. A strategy should therefore follow the spread closely and only enter or exit positions when it’s at its smallest level.
The graph above shows how the average spread and its standard deviation evolves throughout the day. It is important to keep in mind that the spread may change between the moment when you place an order and the moment at which the position is really taken.
Finding an optimal entry/exit within a short time period
Trends are a central point to any strategy. If there were no trends, there would be no means to predict price movements.
It is hard to claim whether trends occur on larger time scales or not but is definitely the case for very s…
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