Tag Archives: Strategy Design

Order matching algorithms

In today’s markets dominated by High-Frequency algos, room for profits for non-HF (and more importantly, non-HF aware) guys is generally speaking reduced. The proportional performance impact of HF is likely to be bigger the smaller is your average trade and the shorter … Continue reading

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We don’t quite know what moving averages are

A couple of days ago I was reflecting on what the moving average of a price really is. The idea stemmed from the consideration that any price can be expressed as a starting price plus the sum of subsequent returns. … Continue reading

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Defining a market VS characterizing a market

When trying to analyse market data it is common practice to use techniques borrowed from different fields to transform the data. Examples of these are probability distributions of price returns, moving averages, autocorrelations, rolling volatility estimates,  data mining techniques and pretty … Continue reading

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The perils and rewards of Diversification: improve your system’s Sharpe Ratio

Without exaggeration, diversification is one of the most powerful tools of a trader, allowing to enhance many characteristics of a system with relatively little effort. However, as with many things, one has to be very careful on using it properly. … Continue reading

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