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| visits | member for | 2 years, 3 months |
| seen | 25 mins ago | |
| stats | profile views | 141 |
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Mar 31 |
comment |
Trading a stock (or other asset) based on Bollinger Bands. Here's another interesting paper cftc.gov/opa/enf03/opa4789-03.htm |
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Mar 31 |
comment |
Trading a stock (or other asset) based on Bollinger Bands. The link to the Fed paper in that forex link doesn't work. Here's the direct link research.stlouisfed.org/wp/2011/2011-001.pdf Here's a related paper research.stlouisfed.org/publications/review/97/09/9709cn.pdf |
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Mar 31 |
answered | Trading a stock (or other asset) based on Bollinger Bands. |
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Mar 21 |
answered | Can the futures market's open interest predict commodity, treasury, and equity returns? |
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Mar 20 |
answered | Keeping a track record honest |
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Mar 19 |
revised |
When to shut down a trend following strategy? added 2 characters in body |
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Mar 19 |
answered | When to shut down a trend following strategy? |
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Mar 17 |
answered | Cluster analysis vs PCA for risk models? |
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Mar 17 |
answered | Is Walk Forward Analysis a good method to estimate the edge of a trading system? |
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Mar 15 |
awarded | Enthusiast |
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Mar 13 |
comment |
Does the gamma function have any application in quantitative finance? The beta distribution shows up in lots of ways, and is a special case of the Dirichlet dist. The binomial dist is discrete and the beta is continuous. The cumulative distribution for the binomial dist has similarities to the beta function. And, the beta dist is the conjugate prior of the binomial dist. Change the beta shape parameters to get the uniform dist, arcsine/Jeffreys dist, etc. After some digging, here's an article that uses the above relationship directly. You'll find other articles with similar equations. selab.janelia.org/pub/publications/Eddy-ATG3/… |
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Mar 12 |
answered | Does the gamma function have any application in quantitative finance? |
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Mar 11 |
answered | Seeking Historical Non-Finance Datapoints for Backtesting |
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Mar 7 |
awarded | Quorum |
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Mar 4 |
comment |
Price of Brent versus West Texas Intermediate You're graph is probably right. For me to generate that graph is a lot of work, and a "long term hedge" for me is only 2 or 3 weeks. I'm not in a position to hold right up to the close, so my rolls typically happen one to three days before maturity. In any case, any hedge that I configure is an attempt to ride some form of a mean reversion. |
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Mar 4 |
revised |
Is there any good research on support and resistance? added 2096 characters in body |
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Mar 4 |
comment |
Price of Brent versus West Texas Intermediate If you rebalance the hedge every time the contracts are rolled, you'll get something much closer to the plot in green. |
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Mar 3 |
comment |
Price of Brent versus West Texas Intermediate @fRed I agree, actual futures/options positions will provide a different picture than what's shown above. However, the one similarity is the "flatness" of the above tops and the "spikyness" of the bottoms. The reason that I'm not playing the game is my fear of the current situation turning into something similar to the above "May 2007" episode (spike after spike). The return to a neutral zone may take many months, and predicting that requires data that I can't get. |
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Mar 3 |
revised |
Is there any good research on support and resistance? added 2460 characters in body |
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Mar 3 |
awarded | Commentator |
