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There are just so many effective trading-signal combinations for Bitcoin, and here is another one! 6 signals are involved in entry conditions. Each is actually what traders commonly use in live trading, but, together they are not very effective until being optimized. …


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Special thanks to Prof.Leung for providing opportunities for me to try out new trading algorithms. This task was not possible if without guidance from Prof. Leung.

Introduction:

In this article, I want to share the backtesting results of trading using the Exponential Ornstein-Uhlenheck(XOU) Model.

Unlike Implementation of Optimal Mean-Reversion Pair Trading|Cryptocurrency…


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The trading-signal combination introduced in this article mainly focuses on the relative position of the price. It does not particularly make a lot of profit during the backtesting phase, but similar to Part 9 it does show a very high winning rate.


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This time, this trading-signal combination shows a high winning rate and consistently makes a profit in the backtesting phase regardless of initial portfolio cash value and size. There is no obvious weakness of this trading-signal combination so far at this point.

The key point in its entry conditions is that…


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The trading frequency of this trading-signal combination is a bit higher than most of the previous combinations. Its entry conditions are composed of three elements and a trend-following signal. On the other hand, the exit conditions also have three signals, one of which considers the relative position of price.

This…


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Special thanks to Prof.Leung for providing opportunities for me to try out new trading algorithms. This task was not possible without guidance from Prof. Leung.

Introduction:

Unlike the previous article, Implementation of Optimal Mean-Reversion Pairs Trading, which applied a general filter mechanism to all industries, this time, I use it to…


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The components to this trading-signal combination are a bit tricky and I want to call them trend-flow signals since they are extensions from a trending-following indicator. The entry signals and exit signals were both derived from the same source but with an extra trending signal added to entry signals.

Similar…


In this article, I want to share another very effective trading-signal combination. Its entry conditions are comprised of trend-following signals and an attack signal, which is derived from the same source as the exit signal.

Looking at backtesting results, one can easily observe that losing trading mostly occurred when the…


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The notion of this trading-signal combination is similar to When to go Long on Bitcoin | Algo Trading and Signals — Part 3. For this combination to make a profit, it requires the short-term stability of the Bitcoin market as well as the cross-sectional volatility in the market. Its major…


Algo Trading

Procedure and Examples

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Introduction

Mean-reversion pairs trading is popular in the financial industry due to its potential long-term stability and mathematical rigor. However, one drawback of mean-reversion pairs trading is that you never tell when the relation of a pair is going to end in advance.

In this article, I want to show the…

Jamie Keng

Graduate Student | CFRM program-UW | Writer on Quantitative Investing, Coinmonks || contact me:https://www.linkedin.com/in/jui-lin-jamie-keng-3883b6131/

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