Category Archives: Testing
A mix of networking with other traders, programming on TradeStation and taking some trades on the German DAX index.
Quickly sharing the things I have been working on & thinking about on the trading front over the past working week.
Sharing some insights from a 3-day working session with a Belgian systematic trader. Also an update of what else has happened in recent weeks on my trading front.
This week I calculated the e-ratio outlined by Dave Bergstrom for a systematic trading strategy I am currently developing for the FX markets.
Live Trading, running an algo, reconciling the two, more coding, building a market context model. Long hours. All that was part of my week. Read further for a detailed discussion of these.
Experience-sharing: Going through some tedious work trying to get my head around various currency futures contracts, correlation with spot products and making sure I am using all the data correctly in back-testing and optimizations. Comments on TradeStation’s ‘Portfolio Maestro’ product … Continue reading