Tag Archives: daily return

DASH crypto coin was big mover for 19% daily return

 

DASH was the clear mover to make this double digit happen. XMR (Monero) and the usual suspects helped

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News items posted

https://ambcrypto.com/monero-xmr-surges-by-8-following-tokenomy-integration-51-attack-defense/

https://www.fxstreet.com/cryptocurrencies/news/neo-upward-movement-here-for-now-201903310746

https://ambcrypto.com/dash-dash-protocol-update-triggers-13-price-rise-dashes-past-iota-and-monero/

DASH Price Pumps 12% As Bulls Eye $125 and $130

 

 

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Getting the daily return from a Pairs Trading Strategy using Matlab

Getting the daily return from a Pairs Trading Strategy using Matlab

Guys, I am developing a pairs trading strategy in Matlab for my thesis. My problem is the following. I modelled the system in order to buy or sell just 1 quantity of a pair of stocks. Considering that I can short sell, possible negative initial investment are possible. How can I calculate the return in this case?

 

Prudent version: cash received from shorts is a liability and serves as collateral against the borrowed shares. The return calculation should divide any profit by these short proceeds. Necessarily the max return would be capped at 100%.

Less prudent version: divide the return by only the margin required to support the short sale.

 

I think you can do it in the same way as done for futures.

You short sell at 100, price rises to 102, you made a loss of 2%, similarly, if it falls to 98, you made a profit of 2%. In futures, since you don’t actually own anything, based on your prediction, you either pay the 2% loss to exchange, or you receive the 2% profit from them.

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!