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Interesting paper from HSBC research on forex strategy

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mikeyc

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5 years ago #114828

https://www.research.hsbc.com/midas/Res/RDV?ao=20&key=QKhWldHyk4&n=322211.PDF

 

Interesting they propose a simple “price is higher/lower than past price” instead of moving average.  Also interesting read on how they test, rank and optimise a strategy.

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Threshold

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5 years ago #135581

Think it was this episode, but this guy agrees and I do too along with every book I’ve ever read that includes serious research- moving average cross overs suck.

http://bettersystemtrader.com/042-murray-ruggiero/

This guy’s research, again if its the right episode, actually found when major moving averages cross over (the much hyped “golden cross”) its actually a better time to take the opposite signal as a swing trade for a number of days than to trade with the cross over. Low 1(optimize) > High 10(optimize) generally works far better for defining an uptrend than a MA does or simply close X> close Y.

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