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humtumiit
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Posts: 177
Joined: April 28th, 2007, 6:20 pm

DIrectional Long/SHort straegy

January 4th, 2012, 7:00 am

Hi Guys, I am developing a directional Long/Short trading strategy in High frequency domain. I am trying to implement momentum based trading strategy but it does not seem profitable in short time frame like 1second or 1 minute. It is profitable if I consider the holding period as like a month or quarter. Any idea how to make momentum based directional long/short strategy in high frequency domain. I have only the open, high, low, price data set. I don't have any other data information.Help would be appreciated.
 
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Stutch
Posts: 113
Joined: October 30th, 2006, 10:16 am

DIrectional Long/SHort straegy

January 4th, 2012, 9:01 am

When you say you have an OHLC data set what time frame is this?If it is something like 1 minute then you have lost a lot of sensitivity for your target timeframe and won't be able to detect the order of a tp or sl, ie which came first.If you move this out to 60 mins and use a pessimistic approach, take sl before tp you may spot something but it is more likely to be swamped with mean reversion in the short term.If you can't detect directional trades try MR ones.The key to this is volatility, kurtosis is confounded by volatility, the symmetry needs to be split.
 
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humtumiit
Topic Author
Posts: 177
Joined: April 28th, 2007, 6:20 pm

DIrectional Long/SHort straegy

January 4th, 2012, 9:14 am

I am having a one minutes data of two indices futures and want to construct something like momentum long/short directional strategy.
 
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Stutch
Posts: 113
Joined: October 30th, 2006, 10:16 am

DIrectional Long/SHort straegy

January 4th, 2012, 9:25 am

For your target timeframe you would need tick data. I can't see how you can use 1 min data to target strategies <1 min.
 
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humtumiit
Topic Author
Posts: 177
Joined: April 28th, 2007, 6:20 pm

DIrectional Long/SHort straegy

January 4th, 2012, 9:31 am

1 minutes data will be using for analyzing the data at every one time interval and would be used to generate a trading signal. Why can't I use the 1 minutes data?
 
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prfj
Posts: 19
Joined: December 11th, 2011, 10:36 am

DIrectional Long/SHort straegy

January 4th, 2012, 11:26 am

HFT one of the most important issues is to have bid ask quotes. A bid ask quote might be 25% of the entire 1 minute movement or more.
 
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RedEye
Posts: 35
Joined: July 10th, 2009, 12:22 am

DIrectional Long/SHort straegy

January 13th, 2012, 5:29 am

I agree one min is pretty fast. I execute directly from MatLab and I normally see about a 8 second round trip for data from the exchange - through process - order sent - confirmation of order receipt. And that's a significant improvement with new hardware, and code improvements.
 
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Marine
Posts: 395
Joined: July 17th, 2003, 7:56 am

DIrectional Long/SHort straegy

January 16th, 2012, 12:50 pm

Quote I normally see about a 8 second round trip for data from the exchange - through process - order sent - confirmation of order receiptBTW - That is a lifetime in our world ...
 
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humtumiit
Topic Author
Posts: 177
Joined: April 28th, 2007, 6:20 pm

DIrectional Long/SHort straegy

January 17th, 2012, 6:17 am

I would like to know how artificial intelligence can be applied in intraday (high frequency) directional trading strategy development? I found few papers which have been implemented on low frequency data like daily data. Can anyone send me few papers or suggest me some paper which talk about the AI implementation in high frequency trading?
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