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5

I think you are having it backwards: Optimising your lookback period is a sure recipe for disaster because it introduces data snooping bias. To develop a robust trading strategy you have to check whether it is sufficiently stable with different lookback periods (e.g. in a certain range). If results differ significantly that is a good sign that your system ...


1

If you have an accurate 'future price probability distribution' (I will simplify this phrase: prediction), you buy the futures contracts (or any instrument) using leverage in a grid that covers the expected range and trade it aggressively with increased sizes over the range (e.g. martingale). You can also increase the sizes significantly when the ...


4

Kenetic Component Analysis If I am to summarize the work of the authors from a broader view than that which is taken in the abstract, essentially the price process is decomposed into position, velocity and acceleration reminiscent of projectile motion in classical mechanics. I added this as an answer so that if @Pierre wants to accept it he may.


1

You may want to have a look at the papers by Jegadeesh & Titman (1993) Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency De Bondt & Thaler (1985) Does the stock market overreact? They are (afaik) the by far most cited publications on momentum (and the calendar-time-method to calculate momentum returns). You ...


2

In the chapter that deals with NMF of the book "Programming collective intelligence" , the author did NMF on several stock trading volumes and found some comovement. I googled a little. This did NMF on 40 chinese stock close prices. This developed A variant of nonnegative matrix factorization for Stock Trend Extraction. Another google found this also did ...


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I am not sure if I have correctly understood your problem. But, as you want to detect the market sentiment (bear/bull), you imply that there is extra information in the market that is not included in the stock prices yet. You should then rather use a collective factorization on (on-line) news monitoring, in order to detect previously unknown topics, as you ...


3

Windham Capital Management is using hidden markov models for their Risk Regime Strategies. Mark Kritzman, who is also CEO, has published an article about the general outline of the strategy (with source code so you can replicate the results!): Regime Shifts: Implications for Dynamic Strategies (corrected August 2012) by M. Kritzman, S. Page, D. ...



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