Quant Mashup - Milton FMR Unlock the Secrets of Seasonal Trading [Milton FMR]Seasonal trading strategies are grounded in the belief that certain patterns repeat over specific periods due to predictable events and behaviors. These strategies can be a powerful tool for traders, helping them to capitalize on regular market trends. This article will delve deeper into the world(...) Pairs Trading An Advanced Strategy: CAD - Crude Oil [Milton FMR]Now before we dive into testing a strategy we must first define what makes a good pair to test in the first place. This is a question that has not one answer but several depending on the approach you want to take. We will discuss some of the possibilities and the weapons of choice if you want to(...) Pairs Trading - A Real-World Profitable Strategy [Milton FMR]Pairs trading is popular due to its simple approach and effectiveness. At the heart of the strategy is how the prices of two assets diverge and converge over time. Pairs trading algorithms profit from betting on the fact that spread deviations return to their mean. One of the more notable hedge(...) The Fibonacci Timing Pattern - Coding a Reversal Pattern to Trade the Markets [Milton FMR]I am always fascinated by patterns as I believe that our world contains some predictable outcomes even though it is extremely difficult to extract signals from noise, but all we can do to face the future is to be prepared, and what is preparing really about? It is anticipating (forecasting) the(...) How useful are Moving Averages - Backtest Results [Milton FMR]How can we know if moving averages are effective? Can a moving average tell us whether a trend will continue or not? Is the golden cross really useful in predicting trend reversals? What about predicting bear markets with a moving average crossover? First of we start by defining what a moving(...) Identifying Anomalies in Capital Markets: Accrual Anomaly [Milton FMR]Since the financial crisis in 2008 the number of anomaly related academic papers exploded and has grown so quickly that it is impossible to keep up with the full scope of research. To accommodate the need of an overview in this interesting research field we will summarize the most prominent market(...) The Complete Guide to Portfolio Optimization in R Part 2 [Milton FMR]Congratulations you made it to part2 of our tutorial. Give yourself a round of applause. If you stumbled upon part2 before reading part1 we advise you to start from the beginning and read part1 first. In Part2 we dive into mean variance portfolio optimization, mean CVar portfolios and backtesting.(...) The Complete Guide to Portfolio Optimization in R Part 1 [Milton FMR]The purpose of portfolio optimization is to minimize risk while maximizing the returns of a portfolio of assets. Knowing how much capital needs to be allocated to a particular asset can make or break an investors portfolio. In this article we will use R and the rmetrics fPortfolio package which(...) Curated list of libraries, packages and resources for Quants [Milton FMR]Numerical Libraries & Data Structures numpy — NumPy is the fundamental package for scientific computing with Python. scipy — SciPy (pronounced “Sigh Pie”) is a Python-based ecosystem of open-source software for mathematics, science, and engineering. pandas — pandas is an open source,(...) How to develop, test and optimize a trading strategy - complete guide [Milton FMR]Developing a trading strategy from start to finish is a complex process. The process follows the following steps: Formulation of the strategy Write Pseudo Code Transform into working code Start first backtests Optimize Evaluate test results Go live Monitor performance Evaluate and adjust(...) Range Bound Trading Strategy [Milton FMR]The following system helps you identify range bound formations and when to enter and exit such trades. Range bound formations occur when prices bounce back and forth establishing a nearly identical pattern of highs and lows. An upper resistance and lower support level is created. A key point to(...) Build a Trading System using Statistical Methods [Milton FMR]Most trading systems utilize indicators as a method of trading strategy design. But before building a trading system using indicators one should ask what do they indicate? The answer to that is that most of the time they are not indicating any information that can be advantageous in building a(...) Demystifying Bollinger Bands [Milton FMR]How do we know if a price is right and when do we enter the trade ? Is the S&P 500 Index trading at 2355 for that day to high or to low. Should I buy or sell ? Proponents of the Bollinger Band say that this indicator can greatly improve your odds in being on the right side of the market. The(...) Mean Reversion Volatility Strategy [Milton FMR]Ever wondered if you can design a profitable trading strategy by trading volatility ETFs ? Well, yes you can. Those ETFs are highly ineffective vehicles on a long term investment horizon. However short term strategies have shown to be a rewarding way to trade these ETFs. Before we move onto strategy(...) Mean Reversion Trading System [Milton FMR]Many traders who managed to design and implement a mean reversion system ‘correctly’ made a fortune. Fact is that financial markets move in patterns and especially in cycles. In simple words everything that goes up must come down and everything that goes down must come up. Nothing moves in one(...) Spot Price Patterns with the COT Report [Milton FMR]This post goes into an in depth analysis of the commitment of traders report and its usefulness for predicting price movements. The CFTC collects data on the daily positions of large participants in the commodity markets. The data is aggregated in the weekly COT report which is published every(...) Trading with different time frames [Milton FMR]Time frames are used in order to forecast future price trends. Many traders are missing out on this important aspect of trading by only looking at one time frame when trying to define a trend. Therefore its important to categorize trends as primary, intermediate and short-term trends. As a rule of(...) The Fine Art of Opening Range Breakout Trading [Milton FMR]The goal of this research is to find various set-ups and exit strategies that could be used for trading the opening range breakouts. The time frames we will be looking at are 10min, 15min and 30min opening range breakouts. We will focus our attention on the very liquid futures markets in particular(...) Optimum Asset Allocation using Correlation [Milton FMR]The concept of diversification is based on the concept that a trader can reduce his risk exposure by entering several positions at the same time. The success of a traders portfolio is therefore based on reducing risk rather than maximizing returns. A trader should be able to withstand a string of(...) Kaufman's Market Efficiency Model [Milton FMR]The trend following model by Kaufman says that trading by the direction of the trend is a conservative approach to the markets. Kaufman’s Market Efficient Model states that longer trends are the most reliable but they respond rather slowly to changing market conditions. The main argument of the(...)