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Momentum trading strategies are thoroughly described in the academic literature and used in many trading strategies by hedge funds, asset managers, and propriet
Jupyter Notebook Regression-based statistical learning helps build trading signals from multiple candidate constituents. The method optimizes models and hyperparameters sequentially and produces point-in-time signals for backtesting and live trading. This post applies regression-based learning to macro trading factors for developed market FX trading, using a novel cross-validation method for expanding panel data. Sequentially optimized models […]
To better control for risk, we construct a novel machine learning based value factor and find that it outperforms existing value factors while earning less from risk and more from mispricings.
signals as linear combinations of exogenous variables
But if for example, longs are paying an average of .0001% an hour but gaining an average of .002%? That's 20x their cost, they've no reason to close! Shorts will though, and this will push the premium (aka funding rate!) up, until eventually the equilibrium is reached.
“Either we team up with the Americans to try to shape the global agenda, or the Asian countries will do it instead,” he said.
"trade wars are good, and easy to win" 2018 March 2
"Never said China was going to be easy" 2019 August 15
