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ARMA Models for Trading
In this tutorial I am going to share my R&D and trading experience using the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a lot written about these models,...
View ArticleTrading at the Close – the Mechanics
When investing strategies are back tested, the prevailing approach is to use daily closing prices both for the signal and for the entry point. This is all well in theory, but implementing such a system...
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Back-testing Rules
Nowadays there are many trading strategies shared online with reproducible, decent, results. Have you asked yourself, if the strategies are so profitable, why the author bother even sharing them, when...
View ArticleParallelized Back Testing
As mentioned earlier, currently I am playing with trading strategies based on Support Vector Machines. At a high level, the approach is quite similar to what I have implemented for my ARMA+GARCH...
View ArticleOn-Close Trading with LOC & MOC Orders
In a previous post I discussed how to implement in real trading a strategy back-tested on the close (the signal is generated on the close and the trading is performed on the close too). The main tool...
View ArticleSimulating On-Close Orders with Interactive Brokers (IB)
Previously (here and here) on this blog, I have demonstrated how to implemented an end-of-day trading strategy in real life. The common problem mentioned is that one cannot possibly get the signal and...
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