# fx

Posted on Nov 24, 2020 by
0 Views

I'm a big fan of Ernie Chan's quant trading books: Quantitative Trading, Algorithmic Trading, and Machine Trading. There are some great insights in there, but the thing I like most is the simple but thorough treatment of various edges and the quant tools you might use to research and trade them. Ernie explicitly states that the examples in the books won't be tradable, but they've certainly provided fertile ground for ideas. In Machine Trading, there is an FX strategy based on an autoregressive model of intraday price data. It has a remarkably attractive pre-cost equity curve, and since I am attracted to shiny objects, I thought I'd take a closer look. Autoregressive Models 101 An autoregressive (AR) model is a time-series multiple regression where: the predictors are past values of the time series the target is the next realisation of the time series If we used a single prior value as the only predictor, the AR model would be called an $AR(1)$ and it would look like: $y_t = \beta_0 + \beta_1 y_{t-1} + \epsilon_t$ (the $\beta$'s are...

Posted on Jun 01, 2020 by
1 Comment.
0 Views

Anyone that's been around the markets knows that the monthly release of the United States Department of Labor's Non-Farm Payrolls (NFP) data can have a tremendous impact, especially in the short term. NFP is a snapshot of the state of the employment situation in the US, representing the total number of paid workers, excluding farm employees and public servants. We know your barn is hiding a giant mining station, Rick The release of the monthly NFP data typically causes large swings in the currency markets, even when the results are in line with estimates. Here, we are interested in exploring potential seasonal effects around the release of this data. For example, does price tend to drift prior to the release? If so, which way?   For this analysis, we'll explore the EUR/USD exchange rate. To set up this research problem, we need to know that NFP is released on the first Friday of the month at 8:30am ET - usually. If the first Friday is a holiday, NFP is released the following Friday. These sorts of details can make seasonal analysis...

Posted on May 31, 2019 by
1 Comment.
0 Views