Today is mean reversion trading model and and strategy developing day with new R source walkthroughFACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
The R and Hadoop for parallel processing presentation from last night is now posted here.
This brings me to my next point as I seem to be corrected on my view of Oracle TimesTen in memory database solution. As a great community Quantlabs.net has become, one highly experienced visitor has corrected me on my way stating this database might not be fast enough. After thorough digging into MongoDB and legacy Berkeley DB, it appears Redis appears still to be a top contender for any new HFT/automated trading system potential. More info on that here.
Now, I will deal with all the above in a month or so as my priority has been to provide my Premium Members a complete set of R script source walkthroughs with a private video for each. As you can imagine, this is pretty exhaustive but I have all the major model/strategy forecasting types ranging from moving average, pairs trading, ARMA, GARCH to MCMC. The latest set of source links have been posted but this is only available for my members. Many webinars will be presented on this in coming weeks.
Lastly, join me and other members on my first of these series on Oct 23. Join now to get the instant access this membership to have the privilege of what I learn but be the first to get working R scripts with a complete walkthrough video of it. Next up will be the popular GARCH methods.
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Tips for strategy development for a profitable trading model or algo automated trading and HFT Youtube video
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I am been working on various mean reverting or “inside tunnel” trading model for recent low vol market, however, none of them work nicely, any fresh idea to brain storm for discuss?
Take a look at thishttp://en.wikipedia.org/wiki/Ornstein%E2%80%93Uhlenbeck_process .
Hope it helps.
i guess esp in mean reverting in low vol it wont work and voltility is diff to gauge
mean reverting desnt work in low volatility as we take fixed period means and as day passes by we add new day price and take out the 1st price —–so it wont work in case of low volatility
Take a look at Perry Kaufman’s new book “Alpha Trading”.
Is anyone else aware of any other text ( or academic paper ) about mean reverting strategies ?
Before proceeding with the discussion/advice could you please give us a hint about the instruments and timeframes/resolution/scale you’re attempting to trade?
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!