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.

83 questions with no upvoted or accepted answers
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662 views

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 ...
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65 views

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 ...
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185 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)...
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245 views

Discrete Trading to reduce speculation

I recently read a paper by Terje Lensberg (2014) "Costs and benefits of financial regulation: Short-selling bans and transaction taxes" where he analyzed the effects of financial regulation (short ...
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88 views

Dealing with Inventory Risk - Paper

I am reading the paper - Dealing with Inventory Risk and I am having trouble understanding a point made in the paper. The author(s) say towards the end of section 2 that: and says that: $ \mathcal A ...
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341 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, ...
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103 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, ...
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1answer
76 views

Australian banks funding

"Typically, Australian banks pay a small premium to swap foreign currency into Australian dollars. This premium is also referred to as the basis, which is the difference between the implied cost ...
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248 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, ...
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195 views

Bond Hedging: PCA and regression based hedge ratios

This is my first question and I would very much appreciate any help. For a project I am trying to compare different hedging techniques for hedging a long portfolio of bonds. I have a history of ...
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699 views

Calculating % Return in Pairs Trading Strategy

Hi guys Could you help me here? I would like to calculate the return of a Pairs Trading strategy. For example: 18/11 - Open the Trade: I will go long on A and Short on B: Stock A : $ 32.24 Stock B ...
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213 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 ...
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66 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 ...
2
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1answer
1k views

Why “profit factor” is used to compare trading strategies?

A lot of books/articles/trading forums mention that "profit factor" is probably the most important measure and should be used to compare different trading strategies. They define profit ...
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134 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 ...
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228 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 proportional-integral-derivative ...
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92 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 ...
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115 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 ...
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109 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 ...
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125 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 ...
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192 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 ...
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102 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, ...
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155 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 ...
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35 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 ...
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74 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 ...
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168 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 ...
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291 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 ...
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121 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 ...
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2answers
2k views

Which Pivot Point Algorithm Does TradingView Use?

TradingView has an indicator in their standard/built-in library called "Pivot Points High Low." When combined with Renko, it gives a really clean signal and I'd like to use it in code. The problem is,...
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1answer
368 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 ...
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1answer
88 views

Hedging Renminbi with EUR

Hedging Renminbi with EUR. What is the reason why FX traders sometimes go long EUR to hedge shorts in RMB?
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35 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 ...
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39 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 ...
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63 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, ...
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1answer
116 views

How does a trader choose how to size his limit order?

Say Bob wants to buy \$30 million worth of APPL stock at a price of \$130. He decides to use a limit order. But posting a $30 million limit order would drive the price up and prevent him from being ...
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156 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, ...
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27 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 ...
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130 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 ...
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32 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: ...
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32 views

What can one do with cross-sectional relationships?

This is somewhat of a broad question, but I think we all would like to find signals that predict something in the future. However, often times, we are just left with cross-sectional relationships (...
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169 views

How do you formulate trading ideas and strategies?

I have access to some tick data and Bloomberg data. Outside of data mining and hoping to find an economic rationale after the fact, what do you usually do to generate ideas before you look at the ...
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80 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 ...
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54 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 ...
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128 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 ...
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65 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 ...
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318 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 ...
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75 views

Swaption pricing and strategies

I am looking for resources (books, papers, websites, etc.) that deal with Vanilla and Exotic swaptions from a more advanced and quantitative perspective. I am interested in both the pricing side (e.g. ...
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0answers
40 views

CFD broler spread as indicator for stock market

Retail trader on stock market has very limited ability to accomodate huge amount of information, it leds me to idea of using behavioir of more informed players - CFD brokers - spread of their CFD ...
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71 views

Is it Possible to replicate SPAN?

I currently trade intraday Options on the nearest term expiry and futures. Both E-mini S&P. I am trying to replicate the SPAN margin calculation for the entire portfolio of options and futures. So ...
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93 views

Rebalancing order on trading pairs

I'm working on a program to rebalance my portfolio among a set of crypto assets. Though I'm a bit confused on how to best order the buys in sells among the various pairs. Consider the following ...