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by zygy 2674 days ago
I enjoyed this, but I'm sure the strategies have evolved a lot. Anyone know of more recent resources like this?
5 comments

Nobody is going to give you the keys to the castle. Trading strategies that are more recent probably still have some edge in them. These things are closely guarded secrets.

Having said that, in addition to the other recommendations in this thread, lookup SEC settlements. The Athena trading one from a few years back regarding their "Gravy" on close strategy is particularly memorable.

Edit: https://www.sec.gov/news/press-release/2014-229 SEC order at the bottom of the press release

+1

A successful trader won't give out the thing that if replicated by 10.000 people will attract attention that may deem this inoperable any more.

Part of my 'hobby' is to find EAs and put them to test in other pairs, timeframes, and try to optimise and get better configurations for the triad EA-pair-timeframe. When I get one, it goes straight to MY 'parking lot', NOT a blog :)

What is EA?
"Expert Advistor", aka the softrware that stays online (running on a virtual-private-server preferrably) and has the capability to trade 24/5.
I'll add since it isn't clear that this term is usually exclusive to Forex.

I'll also add that the commercial market for them is about as scummy as it comes. You want to know how to game backtest metrics? Have a look at what they're doing with EAs.

This excellent cheatsheet describes strategies building blocks, not actual strategies. Everything there is still quite relevant.
The issues with any algo trading strategy, is if it becomes known, then the trade gets crowded out and priced away. The logic really holds that if you know a shortcut to work that saves 60 minutes on a 2 hr commute, and then everyone else found about it and did it too, goodbye secret commute. This is why the strategy aspect of this gets kept very quiet by R-tech, JS, etc.
There’s a lot of finance papers on arxiv that describe various (academic) strategies. Most of them are pretty bad but they’re good for providing ideas for coming up with your own.