Friday, February 20, 2009

Trading Strategies

Below is an abridged list of various "baseline" trading strategies.  I made this so I could organize the types currently in existence, select ones to backtest, and further select ones to optimize.

Momentum
  • Bollinger Band
  • Higher High / Lower Low
  • MACD
  • MA Crossover
  • Range Breakout
  • Stochastic
Mean Reversion
  • Bollinger Band
  • Fibonacci Retracement
  • Pairs
  • Spreads
  • Statistical Arbitrage
Other
  • Bid/Ask Analysis
  • Large Quotes
  • News
  • Volume Analysis
Now the next step is to code a select number of strategies and get to know the range of performance for them across different time scales and stocks.  From there, I will seek to improve the performance metrics of the strategy through optimization.  If the optimized algorithm is suitably consistent and robust, then I will move forward into using real money.

For Development, I will be using Esignal and programming in Java.  For Analysis and Optimization, I will be using Excel and possibly R.  I wish I could use professional-level programs such as Apama or Matlab, but I am not yet a professional strategy developer.
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Posted by Roger Yang at 5:31 PM
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1 comments:

  1. Roger,

    Thanks for introducing yourself on facebook. I'll be following your blog. Fyi I happen to be going to LA for my brother's birthday this weekend. If you'd like to grab coffee or lunch together I'd be happy to. Feel free to email me at maxdama@berkeley.edu.

    Regards,
    Max

    ReplyDelete

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