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JeanCaan's trading signal with stat arb strategy

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  • JeanCaan's trading signal with stat arb strategy

    Hello everyone,

    I began my trading journey 5 years ago by reading a book from Alexander Elder "Trading for a living". Since 2013, I was interested to do algorithmic trading strategies because of the trading psychology and to avoid to be stuck in front of a screen all day long.

    It was naturally to be interested in algorithmic trading strategies (Stat arb, pair trading, momentum trading strategies by using statistical methods). After hours of research, I found a profitable cointegrated current basket strategies which were profitable for several years, by doing in-sample and out-of-sample testing plus a walk-forward test.

    After 8 months in walk-forward testing on a demo account, I traded the basket strategy starting the 3rd of January 2016 with a small real account.

    Here is my signal and myfxbook :

    Feel free to ask some questions on this thread !!!

  • #2
    Is this using a martingale grid basket strategy?

    Sent from my SM-G7102 using Tapatalk


    • #3
      Adding positions because the signal is triggered. It could be reduced, but with the backtest and live test, I found it was more profitable.

      I limits the number of position when necessary. Cointegration approch for the basket of currency pairs and a spread signal.