4
votes
0answers
216 views

Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians

I want to solve the following optimization problem: What is the optimal general trading strategy (in the sense of the highest Sharpe ratio) on a time series which is the result of a Hidden Markov ...
9
votes
1answer
753 views

How to use macroeconomic indicators for long/short trading strategies?

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 ...
6
votes
5answers
630 views

Indicators and research for stress-based investment strategies

In reference to this paper: Can risk aversion indicators anticipate financial crises? and the investable UBS Risk Adjusted Dynamic Alpha Strategy: ...