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High Frequency Statistical Pair Trading Model In msec & nsec - risk-free
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1 ML K-Means Clustering
2 Correlation
3 Co-integration
4 auto-correlation (optional)
5 partial auto-correlation (optional)
6 band selection for entries
7 deep Q-learning for maximizing rewards
8https://abs.twimg.com/emoji/v2/... draggable="false" alt="💰" title="Money bag" aria-label="Emoji: Money bag">https://abs.twimg.com/emoji/v2/... draggable="false" alt="💰" title="Money bag" aria-label="Emoji: Money bag">https://abs.twimg.com/emoji/v2/... draggable="false" alt="👍" title="Thumbs up" aria-label="Emoji: Thumbs up"> https://twitter.com/kerberos007/status/1228379802480103424">https://twitter.com/kerberos0...
1 ML K-Means Clustering
2 Correlation
3 Co-integration
4 auto-correlation (optional)
5 partial auto-correlation (optional)
6 band selection for entries
7 deep Q-learning for maximizing rewards
8
Two good articles:
With the advancing technology in re-inforcement deep Q-learning & Quantum computing, risk-free for hedge funds
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http://stanford.edu/class/msande448/2019/Midterm/gr1.pdf
Risk-free">https://stanford.edu/class/msa... with tax cut moneyhttps://abs.twimg.com/emoji/v2/... draggable="false" alt="😎" title="Smiling face with sunglasses" aria-label="Emoji: Smiling face with sunglasses">https://abs.twimg.com/emoji/v2/... draggable="false" alt="💰" title="Money bag" aria-label="Emoji: Money bag">https://abs.twimg.com/emoji/v2/... draggable="false" alt="💰" title="Money bag" aria-label="Emoji: Money bag">https://abs.twimg.com/emoji/v2/... draggable="false" alt="😎" title="Smiling face with sunglasses" aria-label="Emoji: Smiling face with sunglasses">
Kudlow would pay us taxhttps://abs.twimg.com/emoji/v2/... draggable="false" alt="💰" title="Money bag" aria-label="Emoji: Money bag"> to buy stocks.https://abs.twimg.com/emoji/v2/... draggable="false" alt="🤓" title="Nerd face" aria-label="Emoji: Nerd face"> https://www.hindawi.com/journals/complexity/2019/3582516/">https://www.hindawi.com/journals/...
With the advancing technology in re-inforcement deep Q-learning & Quantum computing, risk-free for hedge funds
http://stanford.edu/class/msande448/2019/Midterm/gr1.pdf
Risk-free">https://stanford.edu/class/msa... with tax cut money
Kudlow would pay us tax
Something more productive
For retail traders
Statistical arbitrage swing trading using Index & Sector ETFs. long one asset; short the other
Tons of highly correlated ETF pairs, but the most important criteria is co-integration, meaning the SPREAD should be mean-reverting >95%
For retail traders
Statistical arbitrage swing trading using Index & Sector ETFs. long one asset; short the other
Tons of highly correlated ETF pairs, but the most important criteria is co-integration, meaning the SPREAD should be mean-reverting >95%
Simplest swing pair trading:
1 the "spread" time series of the correlated ETF pairs must satisfy the ADF co-integration test with p-value < 0.05
2 using the Bollinger %B (20, 2) mean-reversion on the "spread" series for entry & exit as explained for the $VIX strategy w/ hi R/R
1 the "spread" time series of the correlated ETF pairs must satisfy the ADF co-integration test with p-value < 0.05
2 using the Bollinger %B (20, 2) mean-reversion on the "spread" series for entry & exit as explained for the $VIX strategy w/ hi R/R
Secret of my machine deep learning model revealed:
Similar modes predicted tons of other stuff that I posted.
Not perfect yet, but improving as more data feeding into the deep learning recurrent Neurons.. They& #39;re learning like a 5-year old kid slowly https://twitter.com/kerberos007/status/1229875054411952135">https://twitter.com/kerberos0...
Similar modes predicted tons of other stuff that I posted.
Not perfect yet, but improving as more data feeding into the deep learning recurrent Neurons.. They& #39;re learning like a 5-year old kid slowly https://twitter.com/kerberos007/status/1229875054411952135">https://twitter.com/kerberos0...
