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Thread: Lehman Bank Traders Algorithm [REQUEST]

  1. #1

    Default Lehman Bank Traders Algorithm [REQUEST]

    Funyoo:

    A freind that worked on the FX desk at Lehman (before the Credit colapse ) said that the FX desk traders there often used a simple strategy to trade spot and forwards in FX for the Banks book:

    extern double Level;
    double Price = (bid + ask) / 2

    If Price < Level, sell short
    If Price > Level, buy long

    Only 1 position at a time allowed. Profits taken manually or on target or trailing stop.

    Level can be reset manually after a trade is closed.

    Reversing on the Level provided the traders to use some discretion as to when to exit. They would try to close in a decent profit area on a trailing stop. The traders use the algo when they felt the market was in a place where it would advance or retreat and not return to the same Level. Thier goal was to keep execution costs as low as possible while still allowing for price to swing through the level until it trended..........Maybe you could code this for an ECN book where the spread in EURUSD is 1pip or so........

    Thanks !

    Dutchess

  2. #2

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    Here's a crude version, but we really need Funyoos help to clean up the code and have it execute more efficiently around the level.

    Funyoo can you take a look ?

    Thanks !

    D.
    Attached Files Attached Files

  3. #3
    Administrator funyoo's Avatar
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    Default

    Quote Originally Posted by Dutchess View Post
    Funyoo:

    A freind that worked on the FX desk at Lehman (before the Credit colapse ) said that the FX desk traders there often used a simple strategy to trade spot and forwards in FX for the Banks book:

    extern double Level;
    double Price = (bid + ask) / 2

    If Price < Level, sell short
    If Price > Level, buy long

    Only 1 position at a time allowed. Profits taken manually or on target or trailing stop.

    Level can be reset manually after a trade is closed.

    Reversing on the Level provided the traders to use some discretion as to when to exit. They would try to close in a decent profit area on a trailing stop. The traders use the algo when they felt the market was in a place where it would advance or retreat and not return to the same Level. Thier goal was to keep execution costs as low as possible while still allowing for price to swing through the level until it trended..........Maybe you could code this for an ECN book where the spread in EURUSD is 1pip or so........

    Thanks !

    Dutchess
    Hi Dutchess,

    Here is an EA.
    Attached Files Attached Files

  4. #4

    Default

    which time frame which pair?
    fxtesterde für deutschsprachige trader

  5. #5

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    an do you got some settings for this ea?
    fxtesterde für deutschsprachige trader

  6. #6

    Default

    Hey Guys !

    I believe the goal would be to deploy the EA during times in the market when you expect a trand to develop, or when volatility is about to expand. I should work best on M1 bars.........The key is to reduce the cost of execution (preferably on a ECN, ect) and then when a trend develops, we should be on the right side of the market. Let me know what you find out !

    Thanks !

    D.

  7. #7

    Smile

    Quote Originally Posted by funyoo View Post
    Hi Dutchess,

    Here is an EA.
    Thank you Funyoo !

    Looking at the execution we should stop and reverse @ level. We can have multiple trades intrabar if price crosses Level, but only 1 position long or short in any given situation.

    Sorry if I wasn't clear on this point.

    D.

  8. #8

    Default

    D, very good idea here.

    Also see what you mean on the need for one trade at a time. Maybe one trade with a simple close on oposite?

  9. #9

    Cool

    Quote Originally Posted by hunter6 View Post
    D, very good idea here.

    Also see what you mean on the need for one trade at a time. Maybe one trade with a simple close on oposite?
    Here's another version. Set all stops and TP to 0 and let it run. Where this might be interesting as far as research goes is to look for areas in markets where we can reliably find places where we have price excursions..........Let me know what you discover.

    D.
    Attached Files Attached Files

  10. #10

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    What about sessions? As in time filtering?
    You MUST be an ELITE member to request EA's.

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