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Menampilkan postingan dari September, 2021

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

Welcome to Our Feature Zoo with 600+ features!

  By Akshay Nautiyal and Ernest Chan This has been a summer of feature engineering for First, we launched the US stock cross-sectional features and the time-series market-wide features. Now we have launched the features based on options activities, ETFs, futures, and macroeconomic indicators. In total, we are now offering 616 ready-made features to our subscribers.  There is a lot to read here. If you would rather join our October 1, 12pm EST webinar where Ernie and I will discuss these factors / features and answer your questions, please sign up here . NOPE - Net options pricing effect - is a normalized measure of the net delta imbalance between the put and call options of a traded instrument across its entire option chain, calculated at the market close for contracts of all maturities. This indicator was invented by Lily Francus (Twitter: @nope_its_lily) and is normalized with the total traded volume of the underlying instrument. The imbalance estimates the amount