Robust Strategies - I have only demonstrated some simple random signal generating "toy" strategies to date. Now that we are beginning to create a reliable intraday forex trading system, we should start carrying out some more interesting strategies. Future diary entries will concentrate on strategies drawn from a mixture of "technical" indicators/filters as well as time series models and machine learning techniques.
The Federal Reserve Board and self-regulatory organizations (SROs), such as the New York Stock Exchange and FINRA, have clear rules regarding margin trading. In the United States, the Fed's Regulation T allows investors to borrow up to 50 percent of the price of the securities to be purchased on margin. The percentage of the purchase price of securities that an investor must pay for is called the initial margin. To buy securities on margin, the investor must first deposit enough cash or eligible securities with a broker to meet the initial margin requirement for that purchase.
In particular we will need strategy level metrics, including common risk/reward ratios such as the Sharpe Ratio, Information Ratio and Sortino Ratio. We will also need drawdown statistics including the distribution of the drawdowns, as well as descriptive stats such as maximum drawdown. Other useful metrics include the Compound Annual Growth Rate (CAGR) and total return.
Multiple Broker/FIX Integration - At the moment we are strongly coupled to the OANDA broker. As I said this is simply because I came across their API and found it to be a modern offering. There are plenty of other brokers out there, many of which support the FIX protocol. Adding a FIX capability would increase the number of brokers that could be used with the system.
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In particular we need to modify -every- value that appears in a Position calculation to a Decimal data-type. This includes the units, exposure, pips, profit and percentage profit. This ensures we are in full control of how rounding issues are handled when dealing with currency representations that have two decimal places of precision. In particular we need to choose the method of rounding. Python supports a few different types, but we are going to go with ROUND_HALF_DOWN, which rounds to the nearest integer with ties going towards zero.
Often, closing one losing position will take the margin level Forex higher than 5%, as it will release the margin of that position, so the total used margin will decrease and consequently the margin level will increase. The system often takes the margin level higher than 5%, by closing the biggest position first. If your other losing positions continue losing and the margin level reaches 5% once more, the system will just close another losing position.
Foreign exchange (forex) or FX trading involves trading the prices of global currencies, and at City Index it is possible to trade on the prices of a huge range of global currencies. Currency trading allows you to speculate on the movement of one currency against another, and is traded in pairs, for example the Euro against the US Dollar (EUR/USD).
I post this to let you know, as the title mentions it, that I made a trading diary, with google documents tool. This a generic spreadsheet which allows any trader to manage his trading (his risk, his pnl, his opened position, the orders...) with a trding diary. Every trader,should have one, and I mad mine with google docs. At least you must have an account to acces this spreadsheet.
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