Forex Books - page 128

[John Seekers]

Among many strategies for financial trading, pairs trading has played an important role in practical and academic frameworks. Loosely speaking, it involves a statistical arbitrage tool for identifying and exploiting the inefficiencies of two long-term, related financial assets. When a significant deviation from this equilibrium is observed, a profit might result. In this paper, we propose a pairs trading strategy entirely based on linear state space models designed for modelling the spread formed with a pair of assets. Once an adequate state space model for the spread is estimated, we use the Kalman filter to calculate conditional probabilities that the spread will return to its long-term mean. The strategy is activated upon large values of these conditional probabilities: the spread is bought or sold accordingly. Two applications with real data from the US and Brazilian markets are offered, and even though they probably rely on limited evidence, they already indicate that a very basic portfolio consisting of a sole spread outperforms some of the main market benchmarks.

[John Seekers]

Fuzzy logic, originally introduced by Lofti Zadeh in the 1960's, resembles human reasoning in its use of approximate, vague, noisy or imprecise data/information and uncertainty to generate decisions. According to Sriram (2005), fuzzy theory was designed with a specific purpose of mathematically representing vagueness and provides formalized procedures for tackling the impreciseness inherent in many variables in a multitude of problems. Crises, bubbles, fiscal politics etc. makes investing difficult in financial markets. These issues haphazardly raise and cause irregular characteristics which also raise risk. On the other hand, traders and market participants try to reduce risk and increase returns. We try to make dependable suggestion tool which contains a few technical indicators using fuzzy logic modeling. In financial markets technical analysis is commonly used to provide trading decisions. Technical analysis presumes that there are trends and patterns in financial assets’ movements. In this study, BIST-30 and Islamic (Participation) Index data is used between March 2012 and November of 2014 taken from Borsa Istanbul. The aim of the study is to create a new technical analysis indicator using fuzzy logic method which could be an alternative to popular indicators used by traders. BUY and SELL signals given by indicators’ after closing prices are assumed to be applied in the next day opening prices when calculating the indicators’ performance. The performance of the indicator for BIST-30 and Islamic index is measured by modified sharpe ratio and compared to widely used indices like MACD, MA, RSI and OBV. The Sharpe ratio is used to calculate risk adjusted return. It shows the rate of return as opposed to risk. The asset which has the higher Sharpe Ratio is considered to yield better return for the same amount of risk.

[DurBoy]

Has anyone read any good books about news trading?

[John Seekers]

Most technical analysis tools focus traditionally on the simple and exponential moving average technique. This study looks at the performance of an optimized fractal adaptive moving average strategy over different frequency intervals, where the Euro/US Dollar currency pair is analyzed due to the increased correlation between the Euro Index and EUR/USD, and the Dollar Index and EUR/USD over the last year compared to the last 15 years. The optimized strategy is evaluated against a buy-and-hold strategy over the 2000- 2015 period, using annualized returns, annualized risk and Sharpe performance measure. Due to the existence of different number of long and short trades in every trading scenario, this paper proposes the use of a new measure called the Sharpe/Total trades ratio which takes into account the number of trades when evaluating the different trading strategies. Findings strongly support the use of the adaptive fractal moving average model over the naïve buy-and-hold strategy where the former yielded higher annualized returns, lower annualized risk, a higher Sharpe value, although it was subject to more trades than the buy-and-hold strategy. The best market timing strategy occurred when using 131 daily fractal data with a Sharpe/Total trades ratio of 0.31%.

[John Seekers]

Technical trading rules are extensively used by foreign exchange (forex) traders. Despite the essential need to the forex diversification, it is not addressed by academic researches to generate forex portfolio trading systems based on technical indices. This paper aims to develop an interpretable and accurate Takagi-Sugeno-Kang (TSK) system for forex portfolio trading. The system uses technical indices of the forex rates and delivers the preferred portfolio composition among multiple foreign currencies. The proposed model considers the transaction cost and trading risk, which are the two important factors in the high frequency trading strategies. The proposed model was implemented to develop a trading system for portfolio trading among the five of the most traded currencies in the Tehran forex market. Four experiments were designed to examine the performance of the proposed model in different market trends, in terms of the portfolio return and risk adjusted return.According to the experimental results, the proposed model is able to extract profitable portfolio trading systems in this market, especially when the market is in the downward trend.

[trendrooster]

seekers:

Top Dog Trading Intermediate Course - Swing Trading with Confidence (Barry Burns) :

part1.rar

part2.rar

Hi Seekers,

Do you have any mirror downloading links for Topdog trading courses?

the existing links are dead.

Regards, ~T

[Meztiza Ako]

I just would like to share this. I found it in the internet. https://www.yumpu.com/en/document/view/63068016/uncharted-stratagems-unknown-depths-of-forex-trading