Tagged Questions
3
votes
1answer
122 views
How to determine ratios for mean-reverting basket
Suppose I have a basket of 3 securities A, B, and C. I believe that the basket is cointegrated and I want to create a mean-reverting trade. I fit the model:
...
-3
votes
0answers
80 views
Holt Winters Double Exponential Smoothing [closed]
I am looking out for Holt Winters Double Exponential Smoothing implementation using VBA Code.
I have searched everywhere but all I can observe, It comes with Excel Add-In. I am looking out for actual ...
2
votes
3answers
483 views
How to distinguish between different types of algorithmic trading
Algorithmic trading involves the use of algorithms to optimally execute trading instructions. Then there are algorithms which initiate trades, based on various quantitative strategies (e.g. pairs ...
0
votes
1answer
150 views
Selecting timeframe for time series analysis
In technical analysis, we may use confluence of direction for 3 timeframes to roughly gauge bias of market now.
Similarly, if we use time series forecasting methods to predict(say daily data-whether ...
1
vote
2answers
434 views
Evaluating forecasting algorithm
I am trying to evaluate a forecasting algorithm for stock price prediction. However, the performance of the algorithm may be very much tied to the trading strategy.
Is there a systematic way for ...
-1
votes
1answer
298 views
Regression and its application [closed]
I am currently working on model where I am using 21 period moving regression line and RSI to gauge trading opportunity. I am more interested in enhancing this using rest of regression parameter such ...
-1
votes
1answer
857 views
Can end-to-day trading be profitable? If not, why? [closed]
Many academics argue that end-to-day trading, where you go long or short before opening and sell your security at the end of the day, is not profitable. Various explanations are given for this ...
0
votes
0answers
470 views
What is the current state of the algorithmic trading research? [closed]
Searching for 'algorithmic trading' through scholar.google.com reveals a large list of trading strategies, related on topics like the liquidity of markets, volatility modelling, volume modelling, the ...
12
votes
2answers
1k views
statistical arbitrage option overlay strategies / volatility trading
Here's an interesting trading puzzle that I would love to get the community's input on.
Let's say there exists an alpha signal that does a good job of sorting equities expected excess returns over ...
10
votes
3answers
2k views
How to combine multiple trading algorithms?
Is it possible to combine different algorithms so as to improve trading performance? In particular, I have read that social media sentiment tracking, digital signal processing and neural networks all ...
0
votes
1answer
201 views
What would be the impact of the US Credit Rating downgrade on Crude Oil Prices? [closed]
From a modeling point of view, here are my primary assumptions for Monday:
a) I would expect the US$ to depreciate and crude oil to rise in the long term.
b) Expect crude oil to dip in the short run ...
16
votes
7answers
1k views
How to design a custom equity backtester?
I was thinking about writing my own backtester and I realize I have to make some assumptions. So I was hoping I could post what I am planning on doing and hopefully some of you can give me some ideas ...
