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Menampilkan postingan dari November, 2011

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

Trading platform and EC2 revisited

Recently I opened a  discussion on the various software platforms which allow the programmers among us to build trading strategies easily. Here is one other addition: Quantopian . It is only in alpha stage, but I did get a preview of its features: 1) You can code in Python, which is an easier language to learn than Java, but no less powerful. In fact, I know of a superb programmer who uses Python to backtest HF strategies. 2) It is web-based, which means you can take advantage of collocation on a server much more stable than your own desktops. (For those who worry about the confidentiality of your strategies, the founder indicated to me that they can run an image of the software on an Amazon EC2 account that you owned so they won't have access to your codes. As for the confidentiality of codes residing on EC2 itself, please see below*.) 3) It is event-driven (or for those who like the latest jargon: CEP-enabled), like all the Java API's that I discussed in the previous article