Forex Advanced Notes

Go beyond the basics with portfolio testing, robust optimization, and professional execution.

1. Portfolio Backtesting

Diversified basket (majors, metals, indices; synthetics with caution).
Normalize risk per symbol for equal risk contributions.
Correlation heatmaps; reduce overlapping exposures.
Capital allocation: equal risk, ATR-weighted, edge-weighted.
Rolling-window stability and regime breakdowns.

2. Parameter Optimization

Coarse-to-fine sweeps to find stable zones.
Cross-validation across months/years.
Prefer simpler models; penalize complexity.
Stress tests: spread/slippage, entry shift, noise.
Anti-peek rules and sensitivity charts.

3. Execution Best Practices

Cost tracking: effective spread+commission per trade.
Order types & time-in-force; partial fills handling.
Slippage controls and news handling.
Latency reduction: VPS near broker; RTT monitoring.
Post-trade reconciliation: intended vs. actual fills.

4. Risk Engine

Global/per-symbol/day loss limits and exposure caps.
Kill-switches for disconnects, rejects, extreme slippage.
Health checks: latency, rejects, deviation monitors.
Structured logging and alerting to Telegram/email.

5. Alpha Research

Hypotheses on microstructure, sessions, volatility regimes.
Features: trend filters, ATR, session markers, RSI/MACD, structure proxies.
Labeling without hindsight; robust validation and walk-forward.
Edge decay tracking and refresh cadence.

Go to Professional → Back to Beginner

About this page

The Advanced section focuses on moving from single-strategy thinking to portfolio-level robustness. Here you will learn:

How to backtest baskets of symbols and manage correlation/exposure.
Parameter optimization done safely (cross‑validation, stress tests, sensitivity).
Execution quality: spreads, slippage, latency, and post‑trade reconciliation.
Designing a risk engine (limits, kill‑switches, health checks, alerts).
Alpha research workflow: hypothesis → features → validation → monitoring.

Use these practices to build strategies that survive different regimes and real execution costs.