Questions tagged [strategy]

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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 ...
user997112's user avatar
4 votes
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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 ...
A.L. Verminburger's user avatar
2 votes
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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 ...
Tom Bennett's user avatar
2 votes
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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, ...
Stoic's user avatar
  • 121
1 vote
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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 ...
mel's user avatar
  • 11
1 vote
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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 ...
nijshar28's user avatar
1 vote
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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 ...
pppp_prs's user avatar
  • 173
1 vote
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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,...
ggambetta's user avatar
  • 111
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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 ...
shashank kushwaha's user avatar
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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 ...
QMath's user avatar
  • 229
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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. ...
Ganesh S's user avatar
  • 141
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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 ...
Alfonso_MA's user avatar
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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 ...
Nikitau's user avatar
  • 101
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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 ...
kambi's user avatar
  • 161