This is a summary of links featured on Quantocracy on Monday, 12/27/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Primer on Grid Trading Strategy [Quantpedia]Grid trading is an automated currency trading strategy where an investor creates a so-called price grid. The basic idea of the strategy is to repeatedly buy at the pre-specified price and then wait for the price to rise above that level and then sell the position (and vice versa with shorting and covering). We will explore the basics and show favorable and unfavorable scenarios in the first
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Classifying market regimes [SR SV]Market regimes are clusters of persistent market conditions. They affect the relevance of investment factors and the success of trading strategies. The practical challenge is to detect market regime changes quickly and to backtest methods that may do the job. Machine learning offers a range of approaches to that end. Recent proposals include [1] supervised ensemble learning with random forests,