Creating Algorithmic Trading Portfolios with Quantopian (PART I)

Catching up My goals for this summer are to firstly, keep studying portfolio management and start reading Meucci Risk and Allocation; secondly, develop trading strategies and find some cheap way to implement them.  My current focus is on FX, due to its cheap spreads, however that seems to be changing as I realize a lot of the limitations of Metatrader. Moving onto API-based systems also present itself a problem since Questrade is currently stocks and options only... Side objective this summer is to casually read sports analytics cause it's extremely interesting (Did you know that the inferred probability of England […]

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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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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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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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