Policy Change in Derivatives Expiration – Possibility of Developing Median Regression Algorithm
The mean reversion investment strategy may utilize the changes in derivative's expiration price updated rules
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Information Ratio
In 2023, VNINDEX rallied 12.2%. As a smart beta strategy on the equity market, achieving a return below this benchmark should be considered a failure. It’s because it falls short of the passive investing strategy. Surprisingly, under Sharpe ratio, an
Sortino Ratio
Sortino ratio, developed by Frank A. Sortino in the 1980s, is a risk-adjusted performance measure of a portfolio. It’s similar to Sharpe Ratio, which was named after William Sharpe. The key difference is that the Sortino ratio differentiates harmful
Fundamental Analysis and Technical Analysis
Fundamental analysis and technical analysis are two popular methods used in stock investment. They are to evaluate the potential of financial instruments and make investment decisions. However, these two methods have key differences in their approach
Biases in Algorithmic Trading
Investment decisions often appear dry and precise. Investing in the real world, however, is far more nuanced. Classical research studied psychological factors influencing investment decisions, drawing connections between finance and psychology since
Stock Price Prediction – A Discipline Branch Within Social Science
Purely based on data such as financial statements, price, volume, macro reports with sound modeling utilizing artificial intelligence, machine learning. Every single argument leads to the same conclusion: stock price prediction, if not purely random
Popular Technical Analysis Indicators
Technical indicators are mathematical calculations used in financial markets to analyze trading data on prices and volumes. The general purpose is to predict price trends, identify potential entry and exit points, and assess trading risks.
Challenges in Economic Forecasting
Economic forecasting is vital for businesses and policymakers. It informs investment decisions, resource allocation, and economic interventions. However, economic forecasting is a complex endeavor. Despite advanced models and big data, analysts often
Five Personal Factors Influencing Investment Strategy
Each individual has unique investment objectives, whether it is saving capital for retirement, growing capital, or generating a steady income for short-term needs. Clearly defining investment objectives is the foundation for building an effective inv
Feature Improvement Procedure for Live Algorithms
Over time, new ideas for enhancing a live algorithm will inevitably emerge. This arises from the limitation that backtesting and forward testing alone cannot fully reflect the algorithm’s real performance. In essence, new ideas that can be developed
Head and Shoulders Pattern
The head and shoulders pattern is one of the popular technical analysis patterns in stock trading. This pattern helps to identify price trend reversals and is often used to predict the end of an uptrend or downtrend. In algorithmic trading, the head
Moving Average
Moving average (MA) is the average price of a security over a specific number of periods. Moving average smoothes out short-term price fluctuations, giving technical analysts a clearer view of market trends
How to Integrate Expert Input
In the context of algorithmic trading, one often encounters situations where end users have additional information that could influence decisions regarding the capital allocation to specific financial instruments in their portfolios. For instance, co
Equity Segmentation
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Weighting Methods Used in Smart-Beta Strategy
In smart beta strategies, defining the set of rules to filter a list of potential stocks is just the first step. To optimize portfolio performance, selecting an appropriate weighting method also plays a crucial role.
Key Insights From Career Development of “Quant King” - Jim Simons
James Harris Simons (April 25, 1938 – May 10, 2024) was an American hedge fund manager, investor, mathematician, and philanthropist. He was the founder of Renaissance Technologies and the Medallion Fund and also known as the “Quant King”. He was very
Action Bias in Algorithmic Trading
Millions of years ago, humans recognized that taking action is essential for survival. This instinct had been deeply hardwired and ingrained in human evolutionary development. In modern worlds, some things have changed that we may have to adapt acco
Quantitative Hedge Funds and Algorithms
The stock market has undergone significant evolution over the centuries. The first official stock exchange was established in Amsterdam in 1602. In 1688, Joseph Penso de la Vega, a stock operator and writer, published “Confusion of Confusions,”
04 Strategies for Closing Positions in Algorithmic Trading
Position-closing strategies, or exit strategies, are an essential component in the development of trading algorithms. These are pre-defined plans by investors to exit a trading position with the aim of protecting achieved profits or limiting losses.
Hedging in Algorithmic Trading
Hedging is an act of risk management deployed to mitigate losses in some instruments by opening the opposite position in a related asset.
Variations of Statistical Arbitrage
Statistical arbitrage is a powerful trading strategy. It capitalizes on temporary price discrepancies in financial markets.
What Algorithmic Trading Can and Can’t Offer for a Typical Hedge Fund
It had always been a misconception, especially for hedge funds in Vietnam, to equate algorithmic trading with superior return. In fact, this is not true. In finance, if it is not about return then what is it about?
After The 9 Steps
The 9 Steps to Develop Algorithms is mandatory to achieve the first live algorithm. Soon after, there will be a need to improve a system with multiple live algorithms.
Risk Management in Algorithmic Trading
Algorithmic trading leverages computer algorithms to execute trades at high speed and in large volumes. It also carries out various trading strategies, including high-frequency trading and other approaches derived from backtesting historical data.