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From the previous article, we’ve learned several indicators that we can calculate and use to evaluate the performances of your algorithm trading strategies. Given these indicators, we’re able to see how we can further polish our strategy and make it more seemingly profitable. Therefore, let’s work on our features to see how we can improve our machine learning trading strategy.
Grid trading strategy is famous for its simplicity and ease of execution, and you don’t even have to guess where the market is going. No technical analysis and indicators are needed or recognize any patterns among endless candlesticks. It was once known as the ‘no-loss strategy’.
But, is this true that there is a strategy that causes you no risk?
Today we’re going to look at what grid trading strategy is about, and we will conduct a series of backtesting against the Forex market to see whether it is the holy grail of our trading strategies.
I have to admit that my attention was drawn by the name of this indicator at the first glance. Therefore my interest in implementing a series of backtesting against this indicator was unavoidable. In today’s article, we’re going to introduce what Supertrend indicator is about and how to produce one yourself. After that, I will show you a series of backtest that I have performed and see what we can get out of them.
Phew! With all the hard work of fetching data, processing factors, splitting training and testing datasets, selecting the right model to train, you finally have your machine learning model trained and be able to test how powerful it is. You’re very excited to feed a bunch of test data and got a 100%+ rate of return. What a success! But be careful, rate of return is not the sole factor to evaluate the quality of your trading strategy. There are other metrics that help you to understand the strengths and weaknesses of your trading strategy, and you can improve your trading behavior based on these metrics.
Value investing is an investing strategy that has been popular for decades. The main idea involves picking quality stocks among distressed companies, buying and holding them for the long-term (over several years), and expecting the good quality stocks to remain good and rebound from the valley. In short, value investing is to buy good companies at a good price. In this post, we’re going to go through the framework that some of the value investors use to evaluate the company value.
We talked about how to use MACD indicator and other secondary indicators to tell when to long certain stocks in the previous articles. If you haven’t read them yet, below are the links to catch up on where we left. But, is this the end of the optimization of our trading strategy? In this article, we’re going to demonstrate the power of RSI indicators and see how this indicator can be a help to our current trading strategy.
After reading the post How to Improve Investment Portfolio with Rebalancing Strategy in Python by Bee Guan Teo, I was thrilled to know that this trading strategy can be that powerful and the portfolio return is greater than any of my existing trading strategies. Therefore I decided to give it a try and backtest this strategy to verify the profitability it claimed.
Previous reading:
In the previous post 【Pair Trading】In-depth analysis of 5 distance approach strategies in pair trading, we have conducted various research against each variation of distance approaches in pair trading strategy. Despite the research has given us probable insights whether there is an $\alpha$ exists in the strategy we constructed, we still haven’t established our portfolio construction strategy. Here we introduce a concept called the “long-short equity (LSE)” strategy.
Therefore, the objectives of this post are consists of three:
| Previous readings |
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| 【Pair Trading】Introduction to pair trading strategy |
After knowing what the pair trading strategy is about from the previous post, we’re going to use the QuantConnect platform to research and validate each variation of the distance method. The agenda of this post would be:
Let’s get it started!
Pair trading is just like a man leashing a dog. They never apart too far away.
New Column started! In this new column, we’re going to start by introducing the idea and principle behind this famous strategy. In the later posts, we’ll do research using different famous methods in pair trading. Hopefully, we’ll cover the fundamental knowledge of pair trading as much as possible.
Pairs trading is among the most popular trading strategies in many markets. This particular strategy involves simultaneous taking two correlated assets in different directions, using one asset in the pair to hedge the risk of the other one. Essentially, it is a market-neutral strategy.
