perth based quant and algorithmic traders, page-16

Hi Spearion,

I have a simple FX algo in my head that I want to backtest to see if it works.

The algo is based on comparing the major currencies and working out which one has been performing the best / worst (over about an hours time frame) within the basket of currencies under examination, a simple mean reversion, or an oscillator across a basket of currencies where you look to go long when the worst performer swings back up and the best performer swings down.

it shouldnt take very long to code this up to see if it works, I just need to get the data


As far as the other project I am working on, I described that in a previous post in this thread