Time Series Analysis for Stocks

O

Oadmani

If anyone is using time series analysis for stocks, how many instruments are you trading? And, how do you decide how much capital to allocate to each instrument?
 
All liquid stocks.

Portfolio / 2 at any given time, no leverage. My algo generates ~7 signals every day, so most of the time they don't overlap.
 
How about this time series analysis. lol I know this isn't the same thing but I couldn't resist.

RTY high today was made 3:13am EDT and low at 2:19pm EDT

So you say?

11 hours and 6 minutes.

Again so?

666 minutes.

I track such minutia, for other purposes, is how I know. Jumped out at me from Excel page during market close so didn't do me a bit of good today.
 
Last edited:
Oadmani said:
If anyone is using time series analysis for stocks, how many instruments are you trading? And, how do you decide how much capital to allocate to each instrument?
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For choosing potential assets, I pick ETFs as in this post where each ETF is correlated to any of the other ETFs below a threshold. A similar idea could be used for individual stocks.

For position sizing, I use the method from this book:
upload_2022-4-6_21-49-41.png
 
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