A Forex News Trader called "Newspaper"

School is continuing as usual and I have been doing a lot of reading in portfolio optimization/management as part of my position in The Fund.   Recently, I've been coding on the side for an automated forex trader that trades off of economic indicator releases.  The other algorithmic pursuits I have been working on such as AREMA, etc hasn't been working well.  I spent a lot of time on debugging it but when it comes to backtesting, it is very difficult to churn a positive profit.  I haven't bothered with the machine learning aspect of it either but it might be […]

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Autoregressive Exponential Moving Average Forecasting

I've recently been looking into an automated strategy to implement to my forex trading. School has been real busy and I haven't gotten much time to do technical analysis so I think it'd be better to explore robot trading. In this post I'll be discussing my strategy, it's properties and an example with a simple out-of-sample forecasting benchmarking against an ARMA(2,2) and Random-Walk naive prediction. In the next article, I'll write about implementing it in MetaTrader (MQL4).   An exponential moving average is an extension of a simple moving average where more of the weight is being placed upon the […]

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Cointegration and Statistical arbitrage

Recently, I was introduced to the concept of Cointegration analysis in time-series.  I first read this in a HFT blog at Alphaticks and then the concept came up again when I was looking into Spurious Regressions and why they occur.  Lot's of Quants have blogged about this idea and how it can be applied to the premise of Statistical Arbitrage.  I will do the same and apply this to the not-so-recent Google stock split, however, I will also try to add some math into the mix, briefly touch on Error-correction mechanism and spurious regression.  Finally, I will also give a few criticisms against […]

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U.S Unemployment Time-Series Modelling (Part 1)

One of the many benefits of improving economic forecasts is being able to trade releases with better information through forex and stocks.  Certain sites such as Forexfactory provide a forecast parameter and I was able to play around and figure out some just use standard ARIMA models.  In Part 1, I will show how to estimate unemployment rate log changes and Part 2, I will implement this through a modified BP neural network (if i can get it to work...).  I will be benchmarking my residuals with a standard ARIMA model along with an exogenous regressor (initial claims).  The data was obtained […]

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Bootstrapping Portfolio Risk

Bootstrapping, originally proposed by Bradley Efron, is a statistic technique to approximate the sampling distribution of a parameter .  The term bootstrap was coined from the phrase "to pick oneself up from his own bootstraps".  Something seemingly impossible for a person, just like the bootstrap technique of obtaining more information from the sample.  The prominent use of the Bootstrap  rose when computing power and speed became faster as well as cheaper.  The bootstrap (certain usages) often outperform other mathematical measures because it makes less assumptions such the pop. distribution, relevant parameters, etc.  Furthermore, the bootstrap can approximate most measures whereas analytically deriving […]

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New Features, New functions, Lower errors

This will probably be the last post I have regarding PAM.  All the project files can be found on my github page.   I don't think I'll be working with her anymore as I don't think theres anymore methodologies to drastically improve her error with JUST price action.  It's not worth my time and I need to move on.  I introduced some new features such as Gap, Previous ratios, etc.  They did lower the errors again. I have come a long way from validation errors of approx 0.6938 to 0.4955.  Out-of-sample pairs forecasting is still inconclusive as the model did […]

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Implementing Trader into PAM

As a follow up from the previous post, I made quite a few errors designing Pam's feature input and have now fixed them.  In addition I introduced Pam two new features: Body Length ratio between current candle and last candle Body Length to Wick Ratio of current candle I retrained Pam with a very high lambda and less amount of nodes () .  The model overall had a better Validation and Testing fit.  I also skipped out on adding polynomial features for now and only relational (ex: ) features. I decided to bring it to the test set of EUR/USD […]

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Meet Pam

Project files repo Pamela, you can call her Pam, recently started Forex trading.  She is a complete beginner but she is extremely hard working so I believe she can be profitable soon. Pam, unlike most forex trader, is not human.  PAM's name derives from Price Action Machine, an artificial neural network that currently learns from candlestick patterns on currency pairs.  She has a simple neural network structure as such: With number of independent (feature) variables and number of nodes in the hidden layer.  The connections between input to hidden and to output consists of two matrix of weights.  We can call them […]

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Skewtosis - An investment strategy

The strategy is NOT a feasible strategy as I've recently deduced and tested.   If you are still interested in my idea process then read below.  If you are interested in why it doesn't work what so ever then press Recently, I've came up with a strategy that have shown to consistently beat the market when applied. It is a quantitative method that involves two very simple statistical measures: Skewness and Kurtosis.   Skewness is the measure of asymmetry in the distribution of a random variable. It is calculated by taking the third standardized moment. I don't know much more about […]

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Random Walk Hypothesis with friends

I came upon this experiment while learning some Octave modelling language.  There was a research done before to see how well an analyst can distinguish a true market price chart from a randomly generated one.  The question was whether an experienced chartist can truly see market patterns or his insight was good as a monkey throwing a dart. I wanted to experiment this with some friends of mine that are big into stocks and technical analysis and thought what they like to say about a randomly generated chart.  I made sure to also ask how confident they were in the […]

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