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Ultra high frequency FX (Read 78049 times)
Nicolas Macherey
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Re: Ultra high frequency FX
Reply #15 - 04/16/09 at 09:06:57
 
We trade at most 2 times a day and at least 1 time in 3 days... It depends on the market volatility. However we have really much better results for our daily charts than for our 60 min charts...

Last year we recorded about 30% TNP for USDCHF and 25% TNP for EURUSD with an initial leverage of 1 and no reinvestment strategy.

good day !
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Re: Ultra high frequency FX
Reply #16 - 04/16/09 at 12:38:32
 
From what you have described, you are doing remarkably well! 25 - 30% TNP with 1 : 1 levarage. With this trading frequency, slippage would not be an issue at all. How long have you been running your strategies for? Are you managing a fund or a prop trading firm?

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Nicolas Macherey
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Re: Ultra high frequency FX
Reply #17 - 04/16/09 at 12:45:46
 
In fact our models are running in real-time in TradeStation since september 2007 for FOREX and since January 2007 for US FUTURES, we are a young company who want to do Technical Advising... You can have a look at our presentation on www.graymat.fr (we do not show our results) ! For the moment we only put some of our money on a trading account and are looking for clients...

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Re: Ultra high frequency FX
Reply #18 - 04/16/09 at 13:06:23
 
I am impressed with your website and the quality of presentation, simple and straight to the point, as long as you can back it up by numbers. If you the returns you have mentioned are sustainable, what is the point in looking for clients? To scale the business up?

How frequenly are your models re-trained? Is this externally or internally (presumably by the models themselves) initiated?
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Nicolas Macherey
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Re: Ultra high frequency FX
Reply #19 - 04/16/09 at 14:00:38
 
Thanks,

The problem to grow the business up is that our strategies are Absolute returns uncorrelated. And in France it's very difficult to sell it.
We are all Engineers in our team and we do not have a CTA or a Fund Manager... And it's more difficult...
However we are working with professionnals since 4 years to validate our models in the markets but they cannot help us to sell it.

Our model are re-trained monthly in real trading conditions but for reasons of tests at the moment, we just let them trade untill they do not work anymore.

Here you have a link to one of our product sheet on USDCHF. The trading strategy is Long/Short 100% of time in the market. Spreads and slippages are taken into account. The model has not been re-trained since september 2007.

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Re: Ultra high frequency FX
Reply #20 - 05/19/09 at 01:20:03
 
I wonder what kind of strategy you guys have been using?
Is it a bit like trational technical analysis or like quite maths based strategy, like ( co-integration, PCA) or fancy maths (like GA, NN)?
I'm quite new to this area.

Many thanks for any comments.

regards,
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Re: Ultra high frequency FX
Reply #21 - 05/22/09 at 02:09:49
 
In my case, no traditional TA. My models use ANN, GA, Swarm Intelligence (SI), Cellular Automata, SVM and various non-linear regression techniques. I am also experimenting with the Minority Game.
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Nicolas Macherey
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Re: Ultra high frequency FX
Reply #22 - 05/22/09 at 06:10:31
 
Hi,

This is the same for me... I am using GA, Swarm Intelligence, ANN, Fuzzy Logic Systems...
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Re: Ultra high frequency FX
Reply #23 - 06/18/09 at 06:47:33
 
I trade medium-high frequency, using 1-minute bars, but typically averaging one trade per day, 15 currency pairs. Typical trade might last a few hours.  Biggest problem is liquidity. If you want to do ultra-high frequency, you will be limited to a few million per trade before you start to get bigger slippage.
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Re: Ultra high frequency FX
Reply #24 - 07/01/09 at 06:26:02
 
I fully agree with you there on the liquidity limitations for ultra-high frequency. Slippage does become a major problem.

1-minute bars appear to be a sweet spot IMHO. Is your trading semi or fully automated?
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Re: Ultra high frequency FX
Reply #25 - 07/01/09 at 16:43:59
 
Algo Designer wrote on 07/01/09 at 06:26:02:
Is your trading semi or fully automated?

Fully automated.
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Re: Ultra high frequency FX
Reply #26 - 07/02/09 at 02:28:13
 
That's the spirit! Same here. In your strategies, do you use a stationary set of rules or "fancy" adaptive techniques?
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Re: Ultra high frequency FX
Reply #27 - 07/02/09 at 02:52:09
 
Algo Designer wrote on 07/02/09 at 02:28:13:
That's the spirit! Same here. In your strategies, do you use a stationary set of rules or "fancy" adaptive techniques?

Somewhat adaptive, but needs to be much more adaptive. I need to improve the feedback loop surrounding regime drift.
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Re: Ultra high frequency FX
Reply #28 - 07/02/09 at 04:47:16
 
That makes sense. Where are you located? I am in Sydney.
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Re: Ultra high frequency FX
Reply #29 - 07/02/09 at 04:54:52
 
SF Bay Area.
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