This is a summary of links featured on Quantocracy on Sunday, 07/30/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Realistic Backtester for Perpetual Futures (Part 1/2) (With Code) [Taiwan Quant]Introduction Simulator/backtester architecture Preparing the data Simulating a single market Simulating market orders Part 2: Simulating trading costs Simulating funding Simulating many markets Finish Subscriber materials (source code) Introduction In the last article, we looked at how markets work and at simulating them in theory. Today we will write a complete event-driven simulator/backtester
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Pure macro FX strategies: the benefits of double diversification [SR SV]Pure macro(economic) strategies are trading rules that are informed by macroeconomic indicators alone. They are rarer and require greater analytical resources than standard price-based strategies. However, they are also more suitable for pure alpha generation. This post investigates a pure macro strategy for FX forward trading across developed and emerging countries based on an external
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Quant And Machine Learning Links: 20230730 [Machine Learning Applied]Quantocracy: This is a curated mashup of quantitative trading links. Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling Masanori Hirano, Kentaro Minami, Kentaro Imajo Deep hedging is a deep-learning-based framework for derivative hedging in incomplete markets. The advantage of deep hedging lies in its ability to handle various realistic market conditions, such as market