Questions tagged [strategy]

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1answer
82 views

Adjusting volatility while constructing portfolio

I am trying to construct a portfolio based on a macro momentum strategy for backtesting purposes as outlined in https://www.aqr.com/-/media/AQR/Documents/Insights/White-Papers/A-Half-Century-of-Macro-...
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1answer
205 views

how to measure a event driven strategy?

How to measure an event driven investment strategy? Say I have a strategy which I assume that if a firm has positive momentum and it has a refinance corporate action, it's value will increase. For ...
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2answers
55 views

Does MPR imply strategies with positive average return?

Doesn't the existence of Market Price of Risk make investment strategies relying on the average outcome of a risky investment attractive as compared to the expected value of it (computed under the ...
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0answers
38 views

What is the difference between Rolling Returns and Moving Average and how to calculate them?

So I understand what a moving average is and how to calculate it. I'm using this numpy function for it. I am somehow confused about how to calculate rolling returns. Different sites explain it ...
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0answers
81 views

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 ...
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0answers
29 views

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 ...
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2answers
169 views

Seagull Spread payoffs

I'm looking at different option strategies and the ways that their payoffs differ (and therefore how they can differently be used). I'm looking at the long seagull (buy a call spread and sell a put), ...
-2
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1answer
121 views

Is forex trade set up where profit target is twice as far from stop loss is good strategy? [closed]

I was listening to this youtube video and the author is explaining that good way is to set up forex trades in a way where 10 pips in 'losing' direction (Stop loss) and 20 pips in 'winning' direction (...
-4
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1answer
3k views

Show that convexity of call price as a function of the strike is violated [closed]

European call options with strikes 90, 100 and 110 on the same underlying asset and with the same maturity are trading for 22.50, 18.84 and 13.97 respectively. show that the convexity of the call ...