Algorithmic Quant Trading (Machine Learning plus Stat-Arb) -
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thread: Algorithmic Quant Trading (Machine Learning plus Stat-Arb)

  1. #21
    Hmmm... I'd ditch the Hedge and reevaluate algo to one pair ONLY. 1500 to 1.8M in one year... potential, but is it likely? I am trying to perform similar (using a sort of statistical arbitrage) here: https://www.cliqforex.com/trading-sy...o-support.html Starting capital is 100, goal is 1M within 1-2 decades, but using this brexit fx war going around I might have to reduce expectations Good fortune!!
    Yes I have eliminated EUR GBP, I will be closing that commerce sunday or monday since the pound will likely be rising then when traders choose profit. Following this trade I shall no more be doing EURGBP trading, I eliminating CAD MXN becoming CAD and EM becoming G10 exposure and will be incorporating SEK DKK.

    But for co-integrated pairs investing in a hedge is required, but for my other USDJPY alpha, hedge isn't used.

  2. #22
    1500 to 1.8M in one year... possible, but is it probable?
    NONO 1.8M was my expected volume, not expected account balance...

    My expected balance is between 1,875 and also 2,250

  3. #23
    UPDATE: I AM REMOVING EURGBP on account of the flash accident revealing that GBP won't work for mean reversion, I will be closing the trade when on monday, I am expecting to still have a favorable p/l in my account, though not expecting this trade to close a profit.

  4. #24
    Junior Member Vitali0n's Avatar
    16
    Hi aroxalot,
    Indeed very interesting. In all my machine learning projects I have been targeting asset yields utilizing difference of logged price.Can I ask youwhwther that you coud shed some light onto you target volatility? Additionally I have never found correlation usable as it 's determined by random window (no of bars) my experiments using correlation wind up with selling almost bottom and buying almost top. How did you pick the amount of bars for overcom or significance picking on bottoms or tops?
    Thanks

  5. #25
    Junior Member Solniepkroberpk's Avatar
    23
    Are you still running this egy?

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