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
Larry Connors and Cesar Alvarez (the guys behind tradingmarkets.com) 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.
, 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.
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