+1 Any trading strategy based only on price is fool’s errand. The information that impacts price need to be included in the trading strategy. A lot of short term price movement is news driven, thus unstructured text processing of news, social media, relevant documents will be a key component of such trading strategies.
I am not that familiar with forex market compared to equity market. But I expect forex to be impacted by changes in political and economic situational news of host countries of relevant currency pairs. All these need to be coded into forex trading strategies.
If trading based on just price was so simple , everybody would be doing it successfully.
Price based arbitrage was very successful for Edward Thorpe http://www.edwardothorp.com/books/a-man-for-all-markets/
No successful strategy ever has been based on price. Price isn't stationary so you can't do anything with it. You need to be looking at the log returns. Price is completely irrelevant, at least for equities.
Do you know how return is calculated?
Sorry, but that is wrong. All I use is price and time. See Elliot Wave Theory. Most indicators are perfectly correlated with price meaning unless you are a HFT you can't trade fast enough to act on them.
Elliot wave theory is quackery. Price is not suitable for any statistical analysis.
It has changed and it is just observations of competing waves of pessimism and optimism and the patterns they demonstrate. I'll put a model trained on TQQQ and SQQQ price and time data only. I will bet you 5k mine will beat yours using whatever inputs you choose over any reasonable time you specify.
trading forex swaps as an individual is a disservice. its not centralized at all, as a retail you get spreaded quotes from some banks that want to make markets and that is it really. many of the biggest fx brokers have been banned in the us over the years too for all sorts of awful things [1]. there are cross bank quoting and such but the whole thing is extremely unsuitable for retails, making it prime for low barrier to entry decimation of retails which is exactly what you'll see time and again.
if you really care to trade currency rates in a sane way, there are CME futures
1 http://www.forexscamalerts.com/fxcm-permanently-banned-usa-f...
This is another unhelpful thing about trading: when you seek out information, everyone pipes in telling you that what you're doing is wrong, what they do is right, what you want to do can't be done without giving any explanation or elaboration, etc.
If your algorithm stops working or doesn't work... do you have the experience to know why? wavepruner is saying that models can't capture everything like intuition and experience which comes with time.
Personally over the past few decades investing in US equities, I have found arbitraging information found in Asian-language tech sites and real-world locations such as Shenzhen surprisingly profitable. My best example was a tip I garnered in 2011 from a Beijing KO employee brandishing her new iPhone 4. When I idly asked her if other employees in the huge KO (hundreds of staff) had iPhones, she offhandedly exclaimed 我们都有！ ("we all have them"). That moment set me up for a very comfortable retirement.
I depend on an in-depth understanding of human psychology as one of my data sources. You can't turn something like that into data and input to a model. It is something learned through life experience and study.