Langsung ke konten utama


Menampilkan postingan dari Juni, 2009

Applying Corrective AI to Daily Seasonal Forex Trading

  By Sergei Belov, Ernest Chan, Nahid Jetha, and Akshay Nautiyal     ABSTRACT We applied Corrective AI (Chan, 2022) to a trading model that takes advantage of the intraday seasonality of forex returns. Breedon and Ranaldo (2012)   observed that foreign currencies depreciate vs. the US dollar during their local working hours and appreciate during the local working hours of the US dollar. We first backtested the results of Breedon and Ranaldo on recent EURUSD data from September 2021 to January 2023 and then applied Corrective AI to this trading strategy to achieve a significant increase in performance. Breedon and Ranaldo (2012) described a trading strategy that shorted EURUSD during European working hours (3 AM ET to 9 AM ET, where ET denotes the local time in New York, accounting for daylight savings) and bought EURUSD during US working hours (11 AM ET to 3 PM ET). The rationale is that large-scale institutional buying of the US dollar takes place during European working hours to pa

My interview, stop loss, and the Principle of Latest Information

You can find an interview of me in the July 2009 issue of Technical Analysis of Stocks & Commodities magazine . I mentioned in that interview and also in my book that I believe stop loss should only be applied to momentum strategies but not to mean-reverting strategies. I explained my reasoning better in my book than in the interview, and so I will paraphrase the explanation here. In algorithmic trading, it is reasonable and intuitive that we should always make use of the latest information in determining whether we should enter into a position, whether that information is price, news, or some analysis. Let's call this the Principle of Latest Information. (If someone can think of a better or sexier name, let me know!) So let's say we have a stock model based on price momentum, and we entered into a long position based on a recent positive return on price. A few minutes later, the price went down instead of up, causing a big loss on our position. If we now ran this momentum

A job opening for quants

Alphacet told me that they have a job opening for a quant who will be helping their clients backtest trading strategies, among other responsibilities. Given that Alphacet's clients include several major investment banks and hedge funds, this position should provide pretty good close-up view of how the major quantitative players operate.

A good book for quantitative traders

Larry Connors and Cesar Alvarez (the guys behind recently published Short Term Trading Strategies That Work , a nice collection of simple technical trading strategies that you can easily backtest and verify. As I have argued in my own book , simple strategies are often the ones that work best. As with any published strategies, you may find that their backtest performance may not be as high as advertised if you test them on a different time period or a different security, or with different transaction cost assumptions; but the main value of these strategies is that they serve as an inspiration to trigger your own imagination and motivate you to refine them further. (For e.g., though the book mainly covers long-only strategies, you can easily imagine the accompanying short strategies.) To be quite honest, this is one of the few books on trading strategies that I actually manage to finish reading from cover to cover.