I want to solve the following optimization problem: What is the optimal general trading strategy on a time series which is the result of a mixture model of two Gaussians with a known transition matrix ...
In software, I'm trying to implement the Stochastic Oscillator (see here), and I'd like to figure out a few things. Let's say I use standard inputs 14, 3 and 3. If my 14 is for intraday ticks, what ...
I am looking to start developing a trend following strategy and have been looking to do something in either C# or Java and wondered if there was a library or framework out there that would make ...
I am following an article by Mohamed Elsaiid (MFTA) about Volatility-Based Envelopes - a quite new technical indicator he has introduced, that is being used by Bloomberg. My goal is to get a simple ...
I am trying to understand how to use macroeconomic data in my trading. I understand that using such data could be used to gauge an overall view of the market and how it's doing as a whole. I have been ...
Worden Brothers Inc. advertise a proprietary indicator called Time Segmented Volume. This gizmo seems closely to resemble On Balance Volume. Is there any reason to think that TSV might yield a more ...
I need to calculate the put-call ratio for an American option. But I'm a complete naïf: I don't know how. I think I'd use the put open interest and the call open interest. I can imagine two ways to ...
I'm working on a small application that will provide some charts and graphs to be used for technical analysis. I'm new to TA but I'm wondering if there is a way to algorithmically identify the ...
In reference to this paper: Can risk aversion indicators anticipate ﬁnancial crises? and the investable UBS Risk Adjusted Dynamic Alpha Strategy: ...
I am learning about quantitative finance, and I am struck by how different it is from the techniques that make it into magazines and TV, particularly technical analysis. Specifically, if they say an ...
I plan to develop a neural network to trade commodities futures, but while messing around with some code, a question came up. If I understand correctly, people use various technical indicators with ...
I'm looking for an indicator which tells me if it's a good time to use mean reverting type quantitative trading strategies. In order to do so I look at the market (the few hundred stocks I trade) and ...