Questions tagged [strategy]
80 questions
22
votes
8 answers
Why is there no "meta-model"?
If I design a trading model, I might want to know the model's half life. Unfortunately, it doesn't seem possible to predict alpha longevity without a meta-model of the market. Intuitively, such a meta-model does not exist, but has that ever been…
chrisaycock
- 9,817
- 3
- 39
- 110
6
votes
1 answer
How to choose a rolling window type and size?
I'm developing a trading strategy which takes into account certain parameters (e.g. avg spread, weighted price, etc). Of course, these parameters can be calculated over different window types (i.e. last X minutes/ticks/trades) and sizes.
Obviously,…
Michael
- 61
- 2
5
votes
2 answers
Why should a self-financing strategy be previsible?
There is an amazing answer on mathematics stackexchange which defines what a self-financing strategy is—both in the discrete and continuous sense. Please check out this short answer to better understand my question.
I have a short follow-up…
Dhruv Gupta
- 613
- 4
- 12
0
votes
0 answers
What is the buyandsell strategy?
I have read such codes as below in buyandsell strategy
from backtesting import Backtest, Strategy
class BuyAndSellSwitch(Strategy):
def init(self):
pass
def next(self):
if self.position.size == 0:
…
showkey
- 95
- 3
0
votes
1 answer
how to measure a event driven strategy?
How to measure an event driven investment strategy?
Say I have a strategy which I assume that if a firm has positive momentum and it has a refinance corporate action, it's value will increase.
For strategies like this? How do I measure it?
JOHN
- 423
- 3
- 9