METHODS OF TRADE IN THE FOREX - pros and consM. J. Fiterman.
Today, such methods, techniques and tricks of trade offered a great deal. Mathematical, graphic, psychological, and other mystical space. Mathematical methods are based on the first and second statistical moments of relative price trends, and their intensity fluctuations. Graphics - in the figures and intersecting lines. Psychological - in emotional self-control and composure. Space - for thoughtful analysis of the relative positions of the planets. Mystic - to resist the charms of euphoria and maintained at an optimum level of risk trade. Of course, there are many professionals and skilled craftsmen, perfectly mastered it, and many noble marketeers offering to learn from them for an attractive price, or just give them money management for ridiculous prices.
But there are indeed scientific and practical achievements that are open to all, just need to have the necessary basic knowledge and desire to learn. In his articles, I put up opposite sides of an effective trading system. It may be noted the following areas:
· Price forecasting on different time scales and commerce at various harmonics of price fluctuations;
· Replacement of the traditional moving average quotation (in terms of TAU - standard aperiodic link) to the standard oscillatory link, as well as non-standard model price range;
· Statistical determination of guaranteed drawdown of the system and use it to operational risk management trade - money management;
· A combination of trade on different harmonics and different forecast models with a single deposit;
· Composite trading on the various market instruments with a single consolidated quotation.
All these provisions have been described in the articles of the journal Forex Magazine for 2009 to 2011. and on the website www.teoryforex.ucoz.ru. Now I want to describe the advantages and disadvantages of these approaches is unavoidable.
The actual fluctuations in market prices on the form are far from correct harmonic oscillations. The main difference here is not smooth, but abrupt change in the direction of price changes. But as we know from the theory, any changes in time can be decomposed into a sum of regular sinusoidal harmonics. At least we can restrict the two harmonics with very different periods. Forex This approach is implemented on a range of separation behavior of prices (flat) and expressed trending behavior. The usefulness of such forecasts of price movement is evident. But for a reliable diagnosis pronounced trend to watch it long enough, causing a large delay of the results of the forecast. Add harmonics predicted prices can be twofold: 1) the addition of a simple mathematical predictions of both harmonic and 2) the alteration trend binary criteria, each having two possible values, +1 or -1. I meant the difference in the binding process as a trade or thread-level input to the forecasting unit (option 1) or at the level of commercial criteria in a block transaction (option 2).
Any forecast model the behavior of market prices always simplified and abstracted from the unimportant details of behavior. In forecasting the market price of such a piece of behavior are random jumps in prices and directions of change, which are treated as purely accidental. For this reason, predicting the future price change is accompanied by the inevitable errors. Otherwise it would all advanced traders traded on the difference between break even price. And as the world acts the law of conservation of the world good, then all other market participants have suffered losses would be appropriate. Model prediction of oscillatory links, being on the physical nature of the resonance, all other things being equal, has less delay than the traditional model based on an aperiodic link. Model price range is less sensitive to short-term price spikes, but does not show all the dynamics of prices, but only in its extremes.
The combined trading prices of different harmonics for different forecast models with a single deductible for all transactions and has proven its effectiveness in terms of balancing the risk of loss of deposit. In this regard, can be considered an achievement method of calculating the guaranteed drawdown on the history of the system, because it allows you to quickly adjust the volume of trade transactions for a given probability of losing your deposit. Finally, recent studies related to the involvement of all the available trading market information on a variety of traded instruments. Here we use the known fact that the similarity in time oscillations of different currency pairs. For this purpose, proposed method of artificial computing consolidated quotes for all used a single pair. Mathematical tool for organizing such a trade - a cross-correlation coefficients of the different currency pairs. But here, apart from the obvious advantages of such combined trade, is a fundamental flaw. It lies in the fact that the correlation coefficient of any fluctuation reacts well to the vibrations of large amplitude, and the short-period oscillations of small amplitude it almost does not react. (Mathematically, this is due to the use of two mutually inverse operations - squaring and square roots.) But the most efficient trade is made just for these short-period harmonics prices.
Due to these shortcomings of the combined trade is invited to join some of these techniques so that their weaknesses are mutually compensated at least partially. In particular it is possible to link the technological line of trade for each instrument, not only at the level of input, which is responsible for the sale of consolidated quotation (early binding), but also a late-bound at the level of trading criteria. To better understand this idea, offered a refresher article in FM № 317 and № 328, and Excel files System 11.6, System 11.7, System 11.8 online www.teoryforex.ucoz.ru.
The basis of the trading strategy is an individual forecast of the quotes traded currency pair, and the relationship of these results for different currency pairs produced in the form of the arithmetic sum of the trade criteria. This amount of local sales criteria has been called the reliability index of commercial criteria. If it exceeds the selected threshold, the signals of local criteria and are considered reliable at this point made transaction for each of traded instruments. In terms of trading strategies, such a combined strategy meets the binding process of thread-level binary trading criteria. Regarding the use of correlation traded currency pair, then this machine is proposed to use only for rejection trading range. For this purpose, we introduce the notion of weight of the tool. This weight is a kind of binary criterion with values 0 and 1. If the weight is 0, then this tool will be excluded from the trading range.
To describe the algorithm for such binding, we recall the notation of variables:
· R1i, R2i-local commercial criteria to forecast the price of the i-th instrument for the first and second harmonics of the price, respectively;
· Rrezi - resulting trade criterion weighted by their reliability;
· D - confidence index signals of local criteria Dpor - the threshold value of this parameter (constant Adjustment TS);
· Ki - Quotes of the correlation coefficient of the i-th currency pair with the consolidated quotation; · Wi - weight given to this currency pair to trade stock;
· Rsdi - the ultimate criterion of the transaction on the i-th instrument;
· Zi and Zmi - the actual volume of trade and the volume of stock on the i-th instrument.
We first describe an algorithm trading at a qualitative level. The unit forecast for each i-th instrument is forecast trend in the oscillatory links and forecast extreme prices of the price corridor. This forecast is used for both harmonics prices, and obtained the relevant criteria and R1i R2i. These criteria are combined in the resulting trade Rrezi criterion. The logic of combining them as follows. If the criteria for both harmonics coincide, the resulting criterion is equivalent to them, if not identical, the result remains the same criterion, ie it is equal to its value at the previous time cycle. Weighted sum of these criteria constitutes an overall accuracy of the resulting criteria D. Further, in view of the indicator criteria formed the final transaction Rsdi. Their logic is similar to obtaining a criterion Rrezi. If the criterion of reliability greater than the specified threshold Dpor, ie, the signal resulting criterion is confirmed by other instruments (all or in part), the criterion of the transaction is equal to the resulting criteria. Otherwise, do not confirm the criterion of the transaction remains the same. Then determined by the current volume of trade - the number of open positions Zi given weight of the tool. Weight Wi is calculated through the correlation coefficient of a given currency pair and has a Ki possible values 1 or 0 depending on whether Ki exceeds a certain threshold value Kpor or not. Finding required for this procedure, the summary quotes and correlation coefficients described in previous articles.Trading algorithm (in terms of standard functions of Excel).- The resulting criterion for the i-th instrument:(1) ... .. Rrezit = IF (R1it = R2it; R1it; Rrezit-1).- The confidence score D in%:(2) ... .. Dt = SUM (Rrezit * Wit-1) / SUM (Wit-1) * 100, for all i = 1,2, ..., I.- The final criterion deals Rsdi:(3) ... .. Rsdit = IF (Rrezit * Dt> = Dpor; Rrezit; Rsdit-1).- Weight of trade for the i-th instrument Wi:(4) ... .. Wit = IF (Kit> Kpor, 1, 0).- The current volume of trade Zi:(5) ... .. Zit = Rsdit * Wit * Zmi.Here the criteria R1i, R2i are on the algorithms described above TC System 11.6, System 11.7 and System 11.8. This vehicle was created in an Excel file with a user interface for input / output information to the brokerage platform. This interface is partially automated in the form attached to a macro file. This system is called System 13 is a site www.teoryforex.ucoz.ru. The system trades with an assortment of 8 possible market instruments with sensitivity of a 1 hour (Tame Frame h1). She was tested for 700 hours long history and fine-tuned to the maximum rate% per annum. Adjustment is made using a macro attached at different values of threshold reliability Dpor from 0 to 100%. As expected, this parameter influences mainly on the number of transactions in the history of the system. % Per annum was about 5000%, while the average number of transactions in the history of decreased from 41 units (for Dpor = 0%) to 11units (for Dpor = 100%). The trader may choose this option vehicle in accordance with his mentality. As a result, the automatic rejection of the original range of trading instruments - pairs EURUSD, GBPUSD, AUDUSD, USDCHF, USDDEK, USDNOK, USDSEK, USDZAR, it was entirely out of discarded tools and USDZAR partially withdrawn (on part of the history of the system) tools AUDUSD and USDCHF. You can see that for the same vehicle, but without automatic rejection rate range of traded instruments% per annum is less than 2 - 3 times.