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Questions tagged [trading]

Attempting to profit from short-term fluctuations in a security's price as opposed to investing in the security for use or income.

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Up and Down days in GBPUSD and a Filter

I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very ...
tn240's user avatar
  • 121
4 votes
1 answer
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Continuous prediction vs Event-based predictions

When making a high-frequency or mid-frequency prediction on an assets return, what are the advantages and disadvantages of making a continuous prediction vs a prediction that only fires on a ...
mr_mm's user avatar
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What are the trade offs when choosing a long term bond future to trade?

It seems that when trading long term bonds *** and choosing between the two offerings on CME one is presented with a Scylla and Charybdis decision. 1. VOLATILITY CONSISTENCY: Ultra U.S. Treasury Bond ...
hernanavella's user avatar
4 votes
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199 views

Match different option high frequency databases

I downloaded the “E-mini S&P 500 (Dollar) Options for 1/10/11” Top-of-Book (BBO) data. If you are interested you may download the data from the following link (approx. 80MB zipped and 1GB unzipped)...
conighion's user avatar
  • 111
3 votes
1 answer
697 views

TradingView STC vs any python STC

I am trying to use in a trading strategy the STC indicator, but I can not find out why its not working properly. The chart that I am using is BTC/USDT on UTC as a timeframe. Chart time: 01 Feb 22 - 16:...
Mircea's user avatar
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3 votes
0 answers
370 views

Delta of FX Options, Different Currency in Trading Book - Trading Interview Question

Having done stochastic analysis in university, together with tons of other math courses, do never prepare you for an actual interview in trading. Stumbled on what I believe might be an easy question, ...
JRobb's user avatar
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3 votes
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311 views

Is day-trading not a zero-sum game in practice?

I would consider day-trading (by which I mean people sitting in front of their screens, buying and selling assets when they find it appropriate based on (to me very mysterious) indicators such as ...
Maximilian Janisch's user avatar
3 votes
0 answers
379 views

OTC derivatives trade life cycle

Can someone please walk through a typical OTC derivative trade life cycle? Or could you please provide a good source on that topic? ( I mean things like negotiation - trade execution - trade capture, ...
JungleDiff's user avatar
3 votes
0 answers
126 views

Trading rules from automated search

I after talking to a research fellow, researched about trading rules from automated search. I found in the book Finding Alphas by Tulchinsky a general chapter, ...
Carol.Kar's user avatar
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3 votes
0 answers
149 views

Comparing Hedging Strategies

Say I am an American issuer, and I've issued some bond denominated in CAD. I've hedged the coupon by entering into an FX USD/CAD fixed for floating swap and I receive the fixed leg and pay floating, ...
beeba's user avatar
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3 votes
1 answer
562 views

Has work been done on PID controllers for optimal trading?

Commonly, stochastic control is the basis for optimal trading (either in execution or market-making). Has any research been done (or why not, if none) as to PID controllers for these applications?
Kch's user avatar
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2 votes
1 answer
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Market Making Card Sum Game

I am preparing for an interview with a prop trading firm and wanted to discuss potential strategies for the classic market making games. I have seen similar posts on the forum, but a lot of the ...
Anon's user avatar
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2 votes
0 answers
104 views

Free paper trading with api

Im currently using Alpaca but I want to switch the service since it had some major outages. Does anyone know a good reliable free broker with paper trading and api so I can test my trading bot. Thanks
luis's user avatar
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2 votes
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1k views

Can I use the Sharpe Ratio as an objective function in algorithmic trading?

I’m experimenting with custom loss functions for different trading rules and have come across a few articles citing success in directly using the (negative) Sharpe Ratio as a loss function, ...
MK23's user avatar
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2 votes
0 answers
460 views

Risk reversal basics and trading strategies

It it written in the book by Giles Jewitt: "If a currency pair had a completely flat volatility smile, the risk reversal strikes would be positioned approximately symmetrically around the ATM strike ...
Ussu's user avatar
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2 votes
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117 views

EMA with different resolutions

I am trying to understand something: If I calculate an EMA over 5 days, using the hourly close, I have to go over 5 * 24 points. If I calculate an EMA over 5 days, using the minutes close, I have to ...
Thomas's user avatar
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199 views

Yield Curve Trading Strategy Explaining Books

Recently I really enjoyed being here while getting great recommendations. Would like to thank you all. Could you please recommend some books/papers on trading strategies, lets say yield curve ...
TryingtobeQuant's user avatar
2 votes
0 answers
109 views

What does leverage lower than 1 means for ETFs

I've recently noticed in my IB terminal that many ETFs have leverage lower than 1. I understand that some ETFs have leverage higher than 1 for example TQQQ because ...
Michael Dz's user avatar
2 votes
0 answers
143 views

Monte Carlo Simulation of Spread Strategy. Two correlated assets vs One spread simulation?

I am trying to simulate paths of a certain spread strategy such as a calendar spread between two futures ( May Crude vs Aug Crude) using a Monte Carlo simulation. My questions is there a difference ...
bronson's user avatar
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2 votes
0 answers
179 views

Practical precision for Options Pricing

When pricing options, especially in the theoretical literature getting high precision, say up to 8 decimal places is always a competitive goal. Though realistically in a practical setting is such ...
Sam Palmer's user avatar
2 votes
0 answers
141 views

Are futures/forward contracts tradable in the middle of its life? If yes, how?

I think I'm having some trouble understanding what trading futures/forward contracts means. Assuming a market over the period $[0,T]$, for a European contingent claim $X_T$, my naive understanding is ...
Vim's user avatar
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2 votes
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210 views

Trading a large sum of bitcoin OTC

I was asked the following question at an interview: Suppose that you're an OTC trader for an exchange that trades bitcoin. What would you do in the following scenario? A large corporate investor ...
St Vincent's user avatar
2 votes
0 answers
178 views

Get list of all stocks ever listed on NASDAQ

I'm looking to compile a list of all stocks/symbols ever listed on the NASDAQ, not just the currently listed stocks. Alternatively, a list of all delisted stocks would also suffice. Preferably, I'm ...
bberak's user avatar
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2 votes
0 answers
37 views

How does risk attitude influence trading? (Bibliography seeking)

I wonder how risk-averse or risk-seeking investors behave in a stock market. Is there any bibliography that deals with that? For example, suppose that we have a risk-averse investor that buys a ...
Konstantinos's user avatar
2 votes
0 answers
81 views

What is the minimum price change required for a trading position increase of 1?

Suppose I have a trading system that calculates the daily risk adjusted position from the annualized risk, that is, the standard deviation of the returns of a stock over an arbitrary period of time. I ...
mesllo's user avatar
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2 votes
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199 views

Choosing Optimum Sampling Frequency

There was an interesting post made by Jonathan Kinlay where he discusses the use of a Fourier Transform to discover a potentially optimum bar frequency to choose as an input to a trading system. I am ...
Dave's user avatar
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2 votes
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299 views

trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?

Background: I want to compare two trading strategies in term of profitability. The red one is an active trading strategy, which involves many entry and exit to a specific market. The blue one is a ...
Daniel Ryback's user avatar
2 votes
0 answers
131 views

% Return on backtest with variable positions and notional amounts

I have a 14 year backtest for a systematic strategy that uses a static notional per each position. On any given day I could have multiple positions long and short and notional long and short. How do ...
Steeple's user avatar
  • 131
2 votes
1 answer
454 views

source for yahoo finance equities volume traded

I am looking at some academic studies regarding volume of stock traded. Yahoo Finance is used as the data source for volume. Does anyone know where the volume figure comes from? Is it a compilation ...
SCallan's user avatar
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1 vote
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50 views

Am I overcomplicating this approach to optimal actions based on a forecast?

I have been attempting to implement a simplified version of the model used in this paper which, given a forecast of future data, provides an optimal way of acting on it by choosing an optimal sequence ...
QMath's user avatar
  • 249
1 vote
0 answers
142 views

Implementing Queue Reactive Model using L2 data

I've been reading through the Queue Reactive Model paper, and wanted to implement it in Python. I have clean L2 data in the form below (over 450k events for one stock one day), with a timestamp, the ...
IGottaLearnMath's user avatar
1 vote
1 answer
296 views

How to test an orderbook using real data

I'm pretty new to all this but haven't found anything online on my issue (the answer may be very obvious since I'm a beginner) - I'm currently coding up a very generic orderbook in C++ for fun, just ...
cocode's user avatar
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1 vote
0 answers
61 views

Hedging large single asset positions

I recently came across an article that described how big market participants like GS, JPM, etc. take off large equity positions (block trades) of their clients, and putting that risk on their own ...
rekrob's user avatar
  • 11
1 vote
0 answers
165 views

How to optimize the finding of divergences between 2 signals

I am trying to create an indicator that will find all the divergences between 2 signals. (A divergence being defined as t1, t2 such that one signal increases between t1 and t2 while the other ...
Mircea's user avatar
  • 151
1 vote
0 answers
204 views

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
0 answers
40 views

Is there an Ops Risk in being short a bond on the redemption date?

I am trying to understand whether everyone needs to be long or flat when a bond is redeemed, or being short a bond at that time is also not an issue
acchan94's user avatar
1 vote
0 answers
3k views

What does it mean to be long the skew?

Consider an equity option such as SPY and I'm long the skew, do I make money if puts raise in price and calls decrease or the opposite?
Alex's user avatar
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1 vote
0 answers
142 views

Calculating performance decay of a strategy

Came across this thread which basically advises t-test for difference in means across periods to calculate whether our edge is deteriorating. The catch being that this test will probably not be ...
redpowertie's user avatar
1 vote
0 answers
90 views

probability on strategy expected return

I’ve been thinking about this for awhile and couldn’t figure it out myself. Assume you have a trading strategy, which return is normally distributed. strategy return has a mean of 1 basis point and a ...
OllyG's user avatar
  • 11
1 vote
0 answers
76 views

Cost of shorting currencies

I thought cost of hedging/going short on a currency with a forward was given by F/S-1 but it seems the author states 0.25% (see below). Am I missing anything (transaction costs, balance sheet costs, ...
Student's user avatar
  • 361
1 vote
0 answers
285 views

Machine Learning model forecasting on real time data in python

I’m building a Forex trading system based on machine learning with Python and brokers API. I get price time series data + fundamental data and then i train the model on that. Model means SVM, RF, ...
Federico Juvara's user avatar
1 vote
0 answers
47 views

How to use pivot points for a sell/buy order?

I have implemented some trading strategies like macd and sma. When the lines are crossing they give a sell or buy signal. Now I have calculated pivot points of one day ...
DenCowboy's user avatar
  • 111
1 vote
0 answers
191 views

Machine learning algorithms that generate trading models (literature)?

Is there any academic literature on machine learning algorithms that are able to generate functioning trading models? Would this even be feasible at all, now or in the future? Could you point me to ...
Yass44's user avatar
  • 11
1 vote
0 answers
39 views

Combining multiple securities' Net Asset Value time-series into one total NAV series

I have a number of individual securities that each have a Net Asset Value (NAV) time-series. For example: ...
Stacey's user avatar
  • 183
1 vote
0 answers
103 views

Trading options - real life vs. textbook?

I'm a Management with Finance student and we have recently learned about options. Because I find it easier to learn these things when I have some context to apply them to, I put $100 in my brokerage ...
Whazzup's user avatar
  • 13
1 vote
0 answers
62 views

Where do trades take place when the stock exchange is closed?

Some markets support pre-market and after-market trades. These trades take place outside the opening hours of the stock exchange. My questions are: If the stock exchange is closed, how and where do ...
Flux's user avatar
  • 531
1 vote
0 answers
361 views

Average daily move from implied volatility of risk reversal

I'm trying to understand an example in Euan Sinclair's Option Trading book. On page 239 he gives a risk slide and pnl from a long 30 delta put short 30 delta call position. He says the implied ...
roz's user avatar
  • 979
1 vote
0 answers
674 views

Literature and Intro to Dispersion Trading

I am familiar with the basic idea of the dispersion trade i.e. index vol vs constituent vol and implied correlation. I am wondering if there are any standard resources (pdfs, books, presentations) ...
roz's user avatar
  • 979
1 vote
0 answers
99 views

Extreme AUDJPY FX vols

I'm seeing levels of -12% of market strangle vol at 25 delta for AUDJPY at 20Y onward that is causing havoc with my pricing routines, the 10 delta market strangle is trading around -6% which is again ...
BrownianBread's user avatar
1 vote
0 answers
807 views

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