Timeline for Dumb question : under the assumption of the normal distribution and using log return stationarity
Current License: CC BY-SA 4.0
11 events
| when toggle format | what | by | license | comment | |
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| Apr 30, 2022 at 16:46 | comment | added | Alec Ric | I'm just a beginner with quantitative trading. I started a few months ago. If you have other strategies in mind(research papers, books) I could try, I would be grateful. | |
| Apr 30, 2022 at 16:44 | comment | added | Alec Ric | "– Dave Harris. Pluggin in a parameter to a z-score can always be dominated by other techniques, so do you have an opponent that can take advantage of you?" Well, faster algos will crush me. and for the other questions, I did not think that far. But I thank you for showing me how unclear I was. I will give more details next time I ask a question. I was basically trying to find a mean reversion strategy for single stocks, but I don't think it exists. I wanted to find something else than the technical analysis moving average, as I don't believe it works. | |
| Apr 30, 2022 at 16:39 | comment | added | Alec Ric | – Dave Harris. Return space. My time frame is determined by the number of trades. I wanted as much trades as possible so I used a 1 day perdiod with interval of 1 minutes accros a year. | |
| Apr 30, 2022 at 16:36 | comment | added | Alec Ric | – rubikscube09 . I do it on the whole data set | |
| Apr 30, 2022 at 4:14 | comment | added | Dave Harris | The question is not well posed. Are you working in a price space or a return space? How are you determining your time frames? What types of markets are you in? How liquid, particularly depth, is the market you are in? Pluggin in a parameter to a z-score can always be dominated by other techniques, so do you have an opponent that can take advantage of you? Step by step, what is your behavior. What kind of measurements are you taking, when and why? | |
| Apr 29, 2022 at 22:03 | comment | added | rubikscube09 | When you compute the z-score, do you do it on the whole dataset, or on a rolling basis? | |
| Apr 29, 2022 at 19:35 | answer | added | Ralph Winters | timeline score: 1 | |
| Apr 29, 2022 at 19:21 | comment | added | Alec Ric | Well I just checked quickly, I would say it's almost 50-50 on average across all the stocks I tested. | |
| Apr 29, 2022 at 16:11 | comment | added | Ralph Winters | I'm not sure the assumption about the log-returns being stationary is valid. Looking at this I am seeing a lot of changing slopes, so you may be getting varying results based on underlying asset and time period. Look to see if you are getting a lot more buy signals than sell signals. | |
| S Apr 29, 2022 at 12:58 | review | First questions | |||
| Apr 29, 2022 at 21:59 | |||||
| S Apr 29, 2022 at 12:58 | history | asked | Alec Ric | CC BY-SA 4.0 |