Questions tagged [strategy]
The strategy tag has no usage guidance.
14
questions with no upvoted or accepted answers
4
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110
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Backtesting: what happens to real-executed order if mine fills instead?
I'm writing a backtester and using an order-by-order Nasdaq ITCH feed whilst testing it.
Let's say the bid-ask spread is 100 @ 9-11 @ 100
My strategy inserts an bid order for 100 @ 10 and this ...
- 580
4
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310
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Trading signal strength: [-1 to 1] or [predicted return]?
In the context of a backtesting engine, is it better to have strategy generate trade signals in the range from -1 to 1 or as exact predicted returns (e.g. -12% or 26%).
The difference lies in how to ...
2
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123
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how to avoid building a strategy that depends on very long trends
When I construct a strategy, it is easy to make subtle dependencies on trends that have existed for a long time.
Sometimes it is legit to explicitly take advantage of the trends. For example, it has ...
- 233
2
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73
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How to ascertain/establish certainty of a portfolio rebalancing strategy?
I created a portfolio rebalancing strategy, that I am currently paper trading with. It is, primarily, based on mean-reversion principle with a few rules in place, and geared towards cryptocurrencies, ...
- 121
1
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164
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Relative Strength in Altcoins compared to Bitcoin
I trade stocks using relative strength analysis compared with S&P index. I was wondering if crypto traders do the same compared with Bitcoin price %change. These coins had a higher %gain than btc ...
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298
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Cumulative returns are more correlated than non-cumulative
I was just comparing two daily returns series and noted that the correlation between them is a lot higher if they are cumulated (about .95 for cumulative returns, vs .15 for non-cumulative). I feel ...
- 11
1
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0
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716
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R squared of a good Trading strategy
What would you consider a decent R square value of a good trading strategy.
I know R squared is not a good metric for judging trading strategies but still at an initial stage how do you decide to ...
- 173
1
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92
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How to choose trades over time when capital is limited
Say I'm in the business of trading forward contracts. So at some point in time, I look at the markets, and determine a number of trades I could make. For each trade, I know the profit I expect to make,...
- 111
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13
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Deviation in RSI indicator in comparison to the figure displayed by exchange
I'm trying to implement RSI in Python 3. However, there's a deviation in the RSI figure returned by my method and the figure displayed by the exchange.
In some cases, the deviation is less than 1. But ...
0
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65
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Is the self-financing condition necessary/"useful" in practice outside of replication/valuation?
I know that the need for a portfolio/strategy to be self-financing (the purchase of a new asset needs to be funded by selling of an older one/ones) is very helpful when attempting to price derivatives ...
- 229
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28
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What are different types of response variable we can consider while developing quant model
I was trying to understand the response variables used in the quantitative trading/investing model development. This question may not look good but I searched on google and could not find results. ...
- 141
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114
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Market neutral without short selling
Would it be possible to design a market neutral strategy without short selling?
According to Investopedia:
Market-neutral strategies are often attained by taking matching long
and short ...
- 155
0
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121
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Calculating basic win% of simple trend-following strategy?
I apologize if this isn't the correct place to post this. I'm not quite sure where else I should post on stackexchange.
I'd like to preface this by saying I'm not actually planning on trading. This ...
- 101
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36
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Best strategy for generating floats with minimum amount of risk
I'm looking for a way to get cash-in-hand in exchange for future obligation.
For example, I can sell deep-in-the-money puts and buy out-of-the-money puts (for hedge) with expiration of 2 years, The ...
- 161