This talk was given by Max Margenot at the Quantopian Meetup in Santa Clara on July 17th, 2017.
To learn more about Quantopian, visit: https://www.quantopian.com.
Video work was done by Matt Fisher, http://www.precipitate.media/.
Max’s background is in applied mathematics, statistics, and quantitative finance. He runs the online lecture series at Quantopian and is responsible for workshop curriculums and educational content. In addition to having experimented with algorithmic trading of cryptocurrencies and Bayesian estimation of covariance matrices, Max has published work in theoretical mathematics. He works with top universities including Columbia, U Chicago, and Cornell and holds a MS in Mathematical Finance from Boston University.
"Basic Statistical Arbitrage: Understanding the Math Behind Pairs Trading"
In algorithmic trading, information is king. You can tease out an edge to trade on even by using only the most basic properties of time series. In this lecture, we will cover the statistics that ground the trading logic when conducting pairs trades and discuss how to find pairs.
This talk is based on the following lectures from the Quantopian Lecture Series:
• Pairs Trading
• Integration, Cointegration, and Stationarity
All lectures can be found here:
https://www.quantopian.com/lectures
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Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Forex traders can develop strategies based on various technical analysis tools including market trend, volume, range, support and resistance levels, chart patterns and indicators, as well as conduct a Multiple Time Frame Analysis using different time frame charts. Forex traders can develop strategies based on various technical analysis tools including market trend, volume, range, support and resistance levels, chart patterns and indicators, as well as conduct a Multiple Time Frame Analysis using different time-frame charts. Fading strategy is extremely risky since it means trading against the prevailing market trend However, it can be advantageous as well - fade traders can make profit from any price reversal because after a sharp rise or decline the currency it is expected to show some reversals. Trend following forex strategy traders will exploit these changes by buying into markets once they have broken through the previous resistance and will sell those markets when they have fallen below the support levels.
Day traders will generally identify current market trends and prevailing sentiment and trade in the same direction until a support or resistance level is reached. One of the things that many traders will look for, whether they are trading short-term for just a few minutes, or longer term over hours and days, is how the forex market reacts near important support and resistance levels. Strategies such as trading specific currency pairs that are at play during the times of day you can trade, looking at longer timeframes, implementing price action methods and employing technology will contribute to the success of part-time forex traders.
Trend-following strategies encourage traders to buy on the markets once they have broken through resistance and sell markets, and when they have fallen through support levels. While many forex traders prefer intraday trading, because market volatility provides more opportunities for profits in narrower time-frames, forex weekly trading strategies can provide more flexibility and stability. This can make things extremely difficult in a fast moving market like the currency markets, but there are some strategies you can follow to help you have a better chance at success when trading forex, even if you're a part-time trader.
Breakout trading strategies are very popular among day traders, since the market tends to have a strong momentum after an important technical level breaks. Technical Forex market strategies rely on the analysis of price charts and historic price data and are based on the three basic tenets of technical analysis, which state that (1) price discounts all information, (2) markets like to trend, and (3) history repeats itself. If in technical analysis traders mainly deal with different charts and technical tools to reveal the past, present and future state of currency prices, in fundamental analysis the importance is given to the macroeconomic and political factors which can directly influence the foreign exchange market.
The most successful traders are those who devote a lot of time to learning about the markets and developing a strong sense of risk management through proper use of trading strategies.
