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Forex trading algorithms often contain price limits, but there is a common concern in the market that setting thresholds too close to the mid-price will limit the algorithm and hurt its performance. Two experiments we conducted show that traders have nothing to worry about.
We started by analyzing the algo trades in our large database. Trades with price limits showed higher risk transfer outperformance and less underperformance compared to trades without price limits.
Difference in median
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