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Menampilkan postingan dari Agustus, 2012

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

An options workshop and other miscellany

I confess I have always found it hard to trade options. This is despite having read some of the "bibles" of options trading, including Lawrence McMillan's Options as a Strategic Investment  and Euan Sinclair's Option Trading: Pricing and Volatility Strategies and Techniques . Partly that is because I prefer simple strategies, and options strategies are rarely simple. Partly that is because I was brought up on stocks, but stock options are depressingly illiquid. Most successful options traders that I know of prefer to trade index options instead, an area that I unfortunately have no intuition at all. Papers and books written by options professionals on this topic tend to be dense with equations, and worse, they seldom focus on the practical side of trading. That's why I am pleased to learn that Larry Connors, whose books I enjoy due to their simplicity of exposition, is presenting his first ever quantitative index options trading seminars. Interested traders can re