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Search found 21 matches

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by milano
February 9th, 2015, 5:55 am
Forum: Student Forum
Topic: returns autocorrelated but not normal distributed.
Replies: 3
Views: 3424

returns autocorrelated but not normal distributed.

good morning everyoneI would like to know what kind of conclusions i can come up with when i find returns that are autocorrelated but not normal distributed.thank you very much for your cooperation.regards
by milano
February 9th, 2015, 5:50 am
Forum: Economics Forum
Topic: principal component analysis
Replies: 0
Views: 7096

principal component analysis

<t>good morning everyoneI'm doing a principal components analysis of the US market, Canadian market and Italian market. financial services sector, oil and gas sector and technology sector.I would like to know if you can kindly suggest me what can be the market movers of these areas (also in general)...
by milano
November 16th, 2014, 3:53 am
Forum: Trading Forum
Topic: transaction costs
Replies: 1
Views: 3531

transaction costs

good morning everyoneI would like to know what types of transaction costs should I consider for pairs trading strategy and what their percentages are.Thanks to all for the helpregards
by milano
November 16th, 2014, 3:36 am
Forum: Programming and Software Forum
Topic: stop loss and a take profit algorithm
Replies: 2
Views: 3973

stop loss and a take profit algorithm

<t>Thank you again for your cooperation, you always help me.I've attached the graph of my strategythe black line is my entry signal or the output signal of the position and the others are the thresholds.I set six different thresholds and I obtain a decent profit, but I don?t want my profit to decrea...
by milano
November 15th, 2014, 4:42 am
Forum: Trading Forum
Topic: Pairs trading threshold
Replies: 11
Views: 4492

Pairs trading threshold

<t>Good morning everyoneI would ask you another little help.I would like to know what types of transaction costs should I consider for pairs trading strategy and what their percentages are.I also could not understand how the final return is Calculated in this part of the code. r4 is the total return...
by milano
November 15th, 2014, 4:41 am
Forum: Programming and Software Forum
Topic: stop loss and a take profit algorithm
Replies: 2
Views: 3973

stop loss and a take profit algorithm

good morning everyonecan you advise me how I can implement a stop loss and a take profit algorithm for pairs trading strategy ?thanks for your cooperationregards
by milano
November 14th, 2014, 2:41 am
Forum: Trading Forum
Topic: pairs trading strategy !
Replies: 0
Views: 3359

pairs trading strategy !

<t>Good morning everyoneI'm Implementing a pairs trading strategy.i don't understand how the final return is Calculated in this part of the code. r4 is the total return vector'series' Represents the prices of companies.Specifically I'd like to learn the reason of the division of the sum (r4) to the ...
by milano
November 11th, 2014, 1:56 pm
Forum: Programming and Software Forum
Topic: calculation of the returns matlab code
Replies: 0
Views: 3194

calculation of the returns matlab code

<t>Good morning everyoneI could not understand how the final return is calculated in this part of the code. r4 is the total return vector'series' represents the prices of companies.title(['Final Return = ',num2str(sum(r4),3),' (',num2str(sum(r4)/mean(series2(1,:))*100,3),'%)'])specifically I'd like ...
by milano
October 18th, 2014, 2:20 am
Forum: Trading Forum
Topic: Pairs trading threshold
Replies: 11
Views: 4492

Pairs trading threshold

thanks so much for your explanation, now everything is clearer
by milano
October 16th, 2014, 2:15 pm
Forum: Trading Forum
Topic: Pairs trading threshold
Replies: 11
Views: 4492

Pairs trading threshold

<t>Good morning everyonethank you very much for your help.I'm documenting the subject Ornstein Uhlenbeck pairs trading.I ask you another little help.I can not understand how they are calculated returns in this part of the code.s (i: i + N-1, 1) = -reg1.coeff (2). * s (i: i + N-1, 2); return = sum ([...
by milano
October 13th, 2014, 7:07 pm
Forum: Numerical Methods Forum
Topic: Pairs trading threshold
Replies: 3
Views: 3978

Pairs trading threshold

hellodo you have any other valuable advice that you can give on my other problem?thanks again for your cooperation
by milano
October 13th, 2014, 7:07 pm
Forum: Trading Forum
Topic: Pairs trading threshold
Replies: 11
Views: 4492

Pairs trading threshold

<t>helloIn the webinar I saw the usage of constant threshold to determine when a stock will be sold or bought. I'd like to implement this strategy, for an university research and it is a complex topic. The ultimate goal is to obtain a reasonable gain by using appropriate thresholds.For this I would ...
by milano
October 12th, 2014, 12:52 pm
Forum: Trading Forum
Topic: Pairs trading threshold
Replies: 11
Views: 4492

Pairs trading threshold

hello in the matlab code that I found on a webinar they used this type of fixed threshold +1 and -1. no logic. that's why I wanted to get some advice on other types of threshold. thanks regards
by milano
October 12th, 2014, 12:50 pm
Forum: Numerical Methods Forum
Topic: Pairs trading threshold
Replies: 3
Views: 3978

Pairs trading threshold

I'm sorry, I edited the question. now that I know I'll be more careful
by milano
October 12th, 2014, 1:48 am
Forum: Numerical Methods Forum
Topic: Pairs trading threshold
Replies: 3
Views: 3978

Pairs trading threshold

<t>Good morning everyoneI'm implementing, step by step, a pairs trading strategy in matlab and I'm using a fixed threshold (constant + 1 and -1), but I think it's not the best solution.if I were to use the standard deviation, I have to calculate for a couple of titles?that the threshold of entry int...
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