How to define sub-optimal parameters of the trading strategy if the number of the combination is extremely huge — Today we talk about a technique that allows searching a good set of parameters for a limited time, also we will consider one trading strategy as a bonus. Have a good read! Table of Contents Gentle Introduction to Particle Swarm Optimization Trading Strategy Algorithm Let’s Code It! Experiment

You will get know how to model the market behavior using Hidden Markov Model. This article includes a trading strategy using this approach. — Introduction The market data is a sequence called time series. Usually, researchers use only price data (or asset returns) to create a model that forecasts the next price value, movement direction, or other output. I think the better way is to use more data for that. The idea is try to…

Creating an ML model that forecasts the price movement in the order book. This article contains a full-cycle of research. — Today we are going to create an ML model that forecasts the price movement in the order book. This article contains a full-cycle of research: getting data, visualization, feature engineering, modeling, fine-tuning of the algorithm, quality estimation, and so on. What is an Order Book?

Today, I’m going to show how to apply Bayesian optimization to tuning trading strategy hyperparameters. — Algorithmic trading has similar problems to those in machine learning. Today, I’m going to show how to apply Bayesian optimization for tuning trading strategy hyperparameters. Let’s suppose you created a trading strategy with a few hyperparameters. This strategy is profitable on a backtesting. …

The article describes a brief introduction to pairs trading including concept, basic math, strategy algorithm, trading robot development… — The article describes a brief introduction to pairs trading including concept, basic math, strategy algorithm, trading robot development, backtesting and forwarding tests evaluation, and future problems discussion. As a practical example, the robot will trade on cryptocurrencies.

Algorithmic trading strategy based on Renko brick size optimization approach. The article contains: concept, algorithm, code, backtesting. — Today I’m going to show how to create an algorithmic trading strategy on Python. This strategy uses my original research from one previous article. This current article consists of these parts: Concept Algorithm description Trading strategy development Backtesting and analyzing the result

I’ve been developing once an analytical tool for analyzing the Russian stock market. The purpose was building CAPM for stocks that are… — I’ve been developing once an analytical tool for analyzing the Russian stock market. The purpose was building CAPM for stocks that are included in RTSI. I carried out this analytical pipeline in R: data recieving, CAPM calculation, and chart drawing. It was implemented as R script. I periodically launched this…

Hi everyone! — Hi everyone! I carry out research on financial time series at Quantroom. We work on algorithmic strategies problems in stock and crypto markets. Today, I’m going to overview a research about how to do a noise reduction in financial time series using Renko chart. The purpose of the article is…