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QuantAtaraxia: USDJPY 1hour algotrader 2015-12-06 to 2017-01-20 ...work in progress...

Simple strategy (work in progress) full run:
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Texas Hold 'Em Poker Tournaments And Value Investing

Poker and investing are both about decisions amidst risk and uncertainty, played out in real time. The core of both poker and investing is the maximization of average profit based upon probability. In both activities, intuition is a dangerous guide. Quantitative reasoning, instead, is key to exploiting counter-parties. Both rely on the branch of economics known as utility theory. Utility theorists quantify preference orders such that a utility maximizer can determine how to make rational decisio…
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Initiate short position: USD/CHF with target at 0.8750


The USD/CHF has been sending confusing signals over the last year - setting and re-setting weekly ranges (brown lines in chart above).
Having first identified a bearish divergence from Nov-12 to Jan-13, the USD/CHF traded 2x1 (time x price) creating a bearish zigzag pattern.
This pattern is setting up a nice downward trajectory. Having broken 0.9059, we will expect the USD/CHF to trade lower to 0.8250.
The last piece of the puzzle is to identify the strength of intra-day volatility. For it to b…
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deliriou5 avatar

We saw higher than average volatility over the course of last week which fuels confidence of the current trade lower to 0.8250.

I miscalculated the impacts of the government shutdown on NFP results on Friday but with the fiscal cliff looming, the technical analysis seems to hold wait for at least the next few weeks.

Continue to have confidence in the 0.8750 target by early December.

deliriou5 avatar

Government shutdown "resolve" and Janet as the Fed chief has introduced volatility in the USDX. I still believe there is further downside for the USDX which would support EUR longs as well as CHF sell positions.

A down-swing is forming at the moment so a possible double bounce might be in order before going lower towards my target of 0.8750.

Still 5-6 weeks more to go so a quick move down now would possibly impact my Dec target.

deliriou5 avatar

A very weak double re-test of support before it broke below 0.9000. The re-test towards the end of October is according to plan and with increased volatility following the FOMC, we could see the USD/CHF go lower towards 0.8750; at least that is what I still expect given the current volatility bands.

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