- May 22nd, 2017, 6:43 am
- Forum: Trading Forum
- Topic: How to trade open price in practice as in my backtest?
- Replies:
**10** - Views:
**1149**

Thank you. But which price should I use in back test? Should I use the first 5 minute price averaged by volume?

- May 21st, 2017, 6:14 am
- Forum: Trading Forum
- Topic: How to trade open price in practice as in my backtest?
- Replies:
**10** - Views:
**1149**

I have developed a strategy by trading open price. However, how should I make order in practice to make the return of my strategy as close as in backtest? There are some ways I can think of: 1) Send limit order with limit price in call auction period before market open. This way seems to able to get...

- July 11th, 2016, 3:13 am
- Forum: Numerical Methods Forum
- Topic: Is Bayesian Logistic Regression useful in predicting financial price change?
- Replies:
**0** - Views:
**421**

I am developing a factor model to predict price change. Bayesian Logistic Regression seems more advanced than the traditional Logistic Regression. However, as in this matlab example http://cn.mathworks.com/help/stats/examples/bayesian-analysis-for-a-logistic-regression-model.html Each feature vector...

- April 14th, 2016, 12:33 am
- Forum: Numerical Methods Forum
- Topic: How to calibrate a linear regression model to forecast asset return?
- Replies:
**5** - Views:
**1540**

Thank you Alan. What I can do is only suggestion one.Developing my model based on recent literatures and hope it works.

- April 13th, 2016, 12:25 am
- Forum: Numerical Methods Forum
- Topic: How to calibrate a linear regression model to forecast asset return?
- Replies:
**5** - Views:
**1540**

May be that's right, but as I know, factor model is still popular.

- April 12th, 2016, 2:54 am
- Forum: Numerical Methods Forum
- Topic: How to calibrate a linear regression model to forecast asset return?
- Replies:
**5** - Views:
**1540**

<t>I want to calibrate a mulitvariate linear regression model for forecasting asset return. Now I am doing the following procedure. Subjectively picking up observable factors, like interest rate, fx rate, equity index. Download the data from 2007 to 2016. Select a rolling window, with size 1 year, 2...

- April 6th, 2016, 7:30 am
- Forum: Numerical Methods Forum
- Topic: Is there any open-source robust optimization software for portfolio selection?
- Replies:
**1** - Views:
**1384**

<t>I am a beginner in robust optimization. I want to get a robust portfolio with a Worst-Case Conditional Value-at-Risk method. This requires a minimization of loss considering various scenarios with parametric uncertainty. Finally this leads to a problem like min_x(max_U(g(x,U))), where x is the po...

- March 27th, 2016, 4:50 am
- Forum: Trading Forum
- Topic: Does mean-variance allocation make sense in practice?
- Replies:
**6** - Views:
**2007**

<t>Thank you all for your suggestions.Alan, I have tried adding constrains to the mean-variance strategy. If there are n ETF, then each ETF's weight is in the range [0,1/n] if forecasted return is positive, or [-1/n,0] if forecasted return is negative. The after minimization, the weight of each ETF ...

- March 25th, 2016, 7:43 am
- Forum: Trading Forum
- Topic: Does mean-variance allocation make sense in practice?
- Replies:
**6** - Views:
**2007**

<t>There are about 10 ETF as assets. I am comparing the following strategiesA. mean-variance allocation strategy: 1. Forecast asset return; 2.Forecast asset covariance; 3 Minimize portfolio volatility ? portfolio return to calculate ETF weights. Result: portfolio return annual 5.5%, volatility 3.6%,...

- February 3rd, 2016, 12:25 am
- Forum: Trading Forum
- Topic: How to make order in practice when doing delta hedging?
- Replies:
**4** - Views:
**3108**

<t>Thank you DavidJN. I have implemented a simulation to test hedging strategies. However, I am not sure everything in the real trading environment can be easily simulated. Especially the market impact effect. Say I want to close a long position of 200 contracts, but on on the market there are only ...

- February 1st, 2016, 8:33 am
- Forum: Trading Forum
- Topic: How to make order in practice when doing delta hedging?
- Replies:
**4** - Views:
**3108**

<t>Dear all,I am doing a project that requires implementing delta hedging in practice. I have some question and don?t know how to begin:(1) If my plain vanilla option is deep in the money at its expiration. Then I must hold a large amount of the underlying future. If the option payoff at the future?...

- January 18th, 2016, 12:00 am
- Forum: Technical Forum
- Topic: Is there any industrial standard method to hedge option while need to roll future?
- Replies:
**4** - Views:
**2013**

The option is settled by cash, depending on the spot rate of dec future, say on its price of 15th , Sep.

- January 15th, 2016, 8:30 am
- Forum: Technical Forum
- Topic: Is there any industrial standard method to hedge option while need to roll future?
- Replies:
**4** - Views:
**2013**

<t>Thank you daveangel.I think that this can be cured by pricing with carrying cost theoretically. However, it seems that there is still an accounting issue. Say, we have sold a call option expiring on Sep and hedging it with June future. Suppose we hedged the option perfectly until May. On someday ...

- January 14th, 2016, 2:50 am
- Forum: Technical Forum
- Topic: Is there any industrial standard method to hedge option while need to roll future?
- Replies:
**4** - Views:
**2013**

<t>Suppose I sell a call option expiring on September on March. Active future contracts are on June and October. So I need to long June contract since March, then near the end of May, I need to switch to October contract. Usually at the end of May, October contract is 1-2% higher than the June contr...

- December 22nd, 2015, 9:21 am
- Forum: Student Forum
- Topic: Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio
- Replies:
**10** - Views:
**2554**

Thank you daveangel.Most people are directly using that formula on Hull's book for a long time. It is difficult to make a correction now.

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