Monday, August 1, 2011

No bugs so far

So far I was unable to identify any serious bugs in the code of previously mentioned strategy.

The strategy seems to work (i.e is able to beat the market) for longer horizons (>500 sessions) for EURUSD and USDJPY.

It does not work for SP500 (UPDATE 2011-08-02: seems it sometimes does...)

Fig. MD2 strategy for USDJPY, 500 sessions
blue line - market
black line - strategy

What's even more interesting, it seems there is not short term relation between the signal used and daily fluctuations of the assets:

Fig. Relationship between MD2 signal and daily changes, EURUSD

Currently I'm working on improving the strategy. I'm also going to test it on high-frequency data.

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