Interesting. I followed Ernest Chan pretty closely too and he advocates using ADF tests (related to AR) for mean reversion strategies. However,...
@HobbyTrading I read your journal with great interest. Just curious, any updates on this?
Just curious, has anyone tried integrating econometrics related concepts into a trading system? e.g. ARIMA. As an ex-economist, I've employed them...
Ok thanks!
Hi @globalarbtrader From your systematic trading book, I understand that correlation matrix is required to calculate the forecast...
Could I check if anyone has experience developing Rob's system in Saxo using its API? I was looking at Saxo and it seems to be the only broker...
Thanks for your thoughtful replies!
Thanks Rob for your detailed reply. Indeed, the interest margin charged by most brokers are exorbitant. On the last 2 lines above, when you...
Hi Rob Thanks for your reply. Just curious, are you doing handcrafting even for deriving weights amongst your trading rules (e.g. exp MA...
Hi @globalarbtrader I'm an avid follower of your blog, books on trading and podcast. I've a question on the bootstrapping technique on...
Hey all I developed a simple fully automated framework based on IB insync for my systematic trading/ portfolio mgt purposes. Hope you find it...
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