This is a summary of links featured on Quantocracy on Saturday, 10/26/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Build Mean Reversion Strategies in Currencies [Quantpedia]Our article explores a simple mean reversion trading strategy applied to FX futures, focusing on identifying undervalued and overvalued currencies to generate returns. Using FX futures rather than spot rates allows for the inclusion of interest rate differentials, simplifying the analysis. The strategy employs two position-sizing methodslinear and exponentialboth rebalanced monthly based on
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Lognormal Stochastic Volatility Youtube Seminar and Slides [Artur Sepp]I would like to share the youtube video of my online seminar at Minnesota Center for Financial and Actuarial Mathematics and presentation slides. I discuss the motivation behind introducing the log-norml stochastic volatility (SV) model in our IJATF paper with Parviz Rakhmonov. I briefly highlight the advantages of this model over exisiting SV models. Then I focus on new features of the model. For
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New YouTube Series Launched: Building Your AWS Trading Data Pipeline! [Black Arbs]I just published Part 1 of my new YouTube series, and I'm excited to share it with you all! After my recent post about automating trading strategies with AWS Cloud, many of you asked for a deeper dive into the technical implementation. Well, here it is! What's in Part 1? In this first video, we're tackling the foundation: configuring your AWS data pipeline and writing the Python
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Day 5: Trifactor [OSM]The day has finally arrived! Time to start backtesting! Weve always wanted to test how Fibonacci retracements with Bollinger Band breakouts filtered by Chaikin Volatility would perform while implementing rolling stop-loss updates based on the ATR scaled by the 7-day minus 5-day implied volatility rank.1 Maybe were getting ahead of ourselves. Expeditions are fun and its always thrilling to
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Day 4: First analysis [OSM]Were four days in and youre probably wondering when are we actually going to start backtesting?! The answer is that while it is natural to want to rush to the fun part the hope and elation of generating outsized returns and Sharpe Ratios greater than 2 the reality is getting the foundation right should serve us well in the future. Or so thats what we always hear from those longer
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Day 3: Metrics [OSM]Yesterday we investigated the effect of using the 200-day simple moving average (200SMA) as a proxy for a rules-based investing method. The idea was to approximate what a reasonably rational actor/agent might do in addition to the buy-and-hold approach. When folks talk about research, backtesting, and forecast comparisons, they usually use a naive model against which one compares performance. In