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

  1. #1

    Algorithmic Quant Trading (Machine Learning plus Stat-Arb)

    What I am doing:
    I am currently developing intra day stat arb models used to estimate the fair value of a exchange rate utilizing statistics. In order to maximize the parameters of my units machine learning can be employed, as this allows the model to adapt to the market. Because I am involved in reversion which is famed for draw before profits, I hedge of my knots, involving a sort of pairs trading. While pairs trading involves beta and volatility hedging that will help reduce draw down, it also carries a second benefit being that you are not forecasting trends but rather correlations and return and therefore it does not matter if commodities or regional economies financing the pair fall or increase, only that the spread acts as desired. This makes pairs trading better viewed as a contrived advantage of its own. This is similar to how tri-arb does not predict the direction of this market but just the gap between the bid offer spread of three currencies hence constructing an asset.

    Forex trading is based often on small postings often 10bps or less in order to profit, and because of hedging of volatility and beta, high leverage is secure to use. The Strategy turns over 1k dollars in trading volume per year per dollar in the portfolio, and therefore over 1.5m USD in volume will probably be turnt over every year. Risk management is very unique to my model, instead of devoting a lot size, a volatility is alloed. Volatility targeting allows a equal amount of volatility exist for every single transaction. This is a portion of what is called the risk parity portfolio, which I talk about on my own youtube and will incorporate a video explaining it. A risk parity portfolio will have a sharpe ratio on average than a alloion method employed by investors.

    My current expected return is 50 percent on investment and also my targeted volatility is 25% however the volatility might potentially be greater as I just estimate vol of assets. I am currently benchmarking my ratio to the DBCR Dynamic FX index, which I will incorporate a video of me explaining in detail. The DBCR Dynamic is a FX alpha index for actve managers to benchmark their ratio, and in many ways is very similar to the SP500 in the event that you utilyze the SP500 within an alpha index rather than a beta index. Historically the DBCR Dynamic has achieved a sharpe ratio of a single. If you have any queries feel free to ask!


    Benchmarking Method:


    Risk Parity:

  2. #2
    I've made a modifiion that was substantial to my algo that should double returns while decreasing time thus market exposure for returns. I believe it is fair I need to reset my explorer after this update.

  3. #3
    No trades made yet today, hoping for You over

  4. #4
    Today has been good trading one, 2 trades, and shrewd to win. I am ending the day really happy

  5. #5
    There was a small strain event on the peso, in which the value fell sharply, my UPL got as poor as -7 USD nevertheless it has since recovered to -3.75 USD as the pair converged, and with greater volatility I anticipate a rapid convergence on the EURO session. Now is a huge success! I will head to bed but wishcliqforexa night!

  6. #6
    Junior Member diegovedo's Avatar
    18
    Following with interest.. I conduct a stat arb on demographics using egy but have always been fascinated about the method on FX. Do keep it coming Best of luck on your trading !!

  7. #7
    Following with interest.. A stat arb runs on equities using co-integration approach but have always been curious about the technique on FX. Do keep it coming Best of luck
    Ahhh thank you for the reinforcement, best of luck to you too!

  8. #8
    An upgrade on my trade nightly, MXN needed a shock event when Donald Trump made a few comments on Mexico, none the less I managed to close a profit.

  9. #9
    Trade was filled and UPL is Currently positive :^)

  10. #10
    Together with all the news events that occurred I must manage to ride the drawdown on emerging market changes.

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