I just started reading the basket trading threads. It got to be a little bit too much for my eyes, with it length and many characters fighting with each other. I gave up reading and just started with what I had learned in the first few pages.
I started chopping and mixing my own interpretation of the strategy and my own experiences in these type of strategies.
Personally, I'm not a big fan of any basket trading strategies because of the ungodly high cost of pips needed to open each round of baskets. I'm sure all of the carry trade folks know what I'm talking about. The brokers absolutely loved us, we were cheered as champions and lauded as heroes to the broker's bottom line. But I'll give anything a try. I've also given up on carry trading, brokers changing their swaps on a monthly basis, you can't factor that into any type of strategy.
Anyways, my first iteration for the basket trading strategy is ready to be tested next week. Hopefully, it'll work as intended. Come on, breakeven! Most of my recent creations have gone down in flames during testing...so I wouldn't be surprised if it just sat there or resulted in huge losses.
Next project will be a grid and volatility capture like Mr. M. It is quite hard to program the logic of that because support and resistance is always easier to spot with the eye. Perhaps, I will just stick with daily highs and lows, that's much easier to program.