Our main research effort on trading has been the move from relatively slow intra-day systems towards what might be better described as High Frequency Trading. But in the last couple of weeks, we have had some set backs in this process and are now beginning to move back the other way to systems that trade 6-10 times a day rather than 30 times. Initial work has focused on improving our trading of crude oil and has already thrown up some excellent results. The main question now is whether the same sort of thing can be created for EC and the DAX.
Moving away from HFT also gives us the chance to trade in a more nuanced way as there is enough time to perform the slightly tricky calculation that this requires. In particular, I am looking at fast-reversing stop strategies that could eliminate a number of whipsaw losses. I have created a selection of "exemplary case studies" where certain methods work really well, and soon I will be moving on to the detailed testing of these ideas.
While Jerome did the existing trading today, I shadowed the trading with such a reversing stop strategy in place and both got some good results and found that I could keep track of things as time went on. So another promising area to consider - and certainly one that I feel much more comfortable with from the point of view of doing the actual trading. I have come to hate doing the actual trading as the intensity involved is too high for me and I get distracted too easily and make mistakes. Something slower but more nuanced would be better