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

This article describes the technique that forecasts the market behavior. The second part demonstrates the application of the approach in a trading strategy. — 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. …

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? An order book is an electronic list of buy and…

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, backtesting and forwarding tests evaluation, and future problems discussion. As a practical example, the robot will trade on cryptocurrencies. Concept Pairs trading is a market-neutral trading strategy that employs a long position with…

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 Further problems discussion Conclusions Concept Financial time-series have a…

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! I carry out research on financial time series. We work on algorithmic strategies problems in stock and crypto markets. The Renko chart is very popular with my clients as a tool for representing financial price data. Today, I’m going to overview a research about how to do a…