"High frequency FX Scalping based on Volatility Arbitrage " by trader fschmitzsc — published October 09, 2014

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Euro / U.S. Dollar (FX:EURUSD)

FX:EURUSD Euro / U.S. Dollar

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hft scalping quantfinance forex

Enter trade when vol appears outside of 2 std deviations of the difference in last consecutive minute bars for a period of n minuts.
exit trade near the middle boll band.

Seems like a great idea to me. This indicator is available for Metatrader?

Nice work. What do use as a stop for that kind of fast trades. And what is the VolArb? thanks

LudmilaHanania

I'm still working out the details, but I'm setting the stop to be the number of pips given in the blue line . The normalizer is to adjust the price decimal place, so eur/usd would use 10,000 as normalizer, usd/jpy would use 100. Equities would use 100. This is based on mathematical concept called mean reverting and that statically Volatility mean reverts over time. Mean-Reverting Stochastic Volatility (2000, Jean-Pierre Fouque , George Papanicolaou)

fschmitzsc

http://pages.stern.nyu.edu/~rengle/vol_paper_30jan01.PDF

fschmitzsc

Thanks , what normalizer to use for crude oil , gold and platinum?will it be 100 or 1000?

LudmilaHanania

crude oil , and precious metals can be traded via ETF, by CME Futures, or via a Currency Pair , such as XAU/USD.
So depends on the specification of the instrument:
for example if you was using hotspot to trade gold via XAU/USD pair: http://www.hotspotfx.com/products/currency.jsp, such as here XAU/USD listed the pip to be in the 2 decimal place, so the normalizer would be 10^2 = 100.