Yes, you are spot on, the correlation look back period would be a parameter. You've got to start somewhere! The key is to minimise the tweekable...
Parameterless signals could indicate a number of separate signals combined using weightings that minimise the correlation between each individual...
Buy and Hold.
You're looking for a programmer to implement a simple MA cross-over system for FX. I'm a developer with +22 years experience in multiple...
I too require an API solution for global intra-day data via an API. I currently use historical end-of-day data for over 13k assets from...
BMW have revealed details of new features available on all 2018 models. Press release from BMW (Munich, Germany)... "From 2018 all BMW models...
I completely agree, looking at fundamentals in your base currency presents challenges. For, example the depreciation of GBP in 2016 due to Brexit...
Yes - costs and data are real issues. Especially, if low cost alternatives like ETFs capture the majority of foreign factors. Some of these less...
@globalarbtrader Thank you so much for the feedback. From your perspective I guess it makes complete sense to follow assets in their quoted...
@globalarbtrader I completely agree with the position sizing, you'd want everything in a common unit of risk. Lets say I'm momentum trading...
I'm interested to hear if global traders and investors normalise the price of foreign assets (equity, future, etc.) from its quoted currency to...
Thanks for the responses guys. The position management in my strategies cause constant scaling in and out and thus potentially many fills for an...
I'm refactoring my backtesting engine in my software and adding additional functionality and thought I'd look into different methods of PnL...
@globalarbtrader - Thank you for the clarification. @jharmon - Thanks for the example. I don't look at micro-cap, instead I look at small cap...
@jharmon - Yes, I understand delisted securities and their impact. Can you please give me an example of a stock that has changed sector?
OK 2) it is then. Thanks @Zestilio and @globalarbtrader @globalarbtrader - To clarify, create a daily return series for each stock, for each day...
What I've found is that even if you plot trades for the spread chart, it actually shows the spread between the last trade for one leg and the mid...
I'm developing an trading strategy for global stocks and I need to construct a synthetic index from the prices of the constituent stocks. Note -...
Index Futures spreads or SoyBeans Futures spreads. There is no real difference. I trade Volatility futures spreads using IB TWS, I don't really...
In the UK ETFs are not subject to stamp duty tax on purchase like stocks. However, tax on dividends and capital gains from ETFs and stocks depends...
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