I think you are gonna need some rules for holding some trades overnight into the next day....probably based on the current open position profit or some other measure.
Trading Strategy based on ARMA Model
- Thread starter David Hoareau
- Start date
Depends. With a strat like that, you MUST use tick or x-minute data for backtesting.
Otherwise, daily data will never tell you which came first, the high or the low.
Plus, you've gotta have in place at least profit targets.....stop losses may not be needed for that short time frame.
Hi Syswizard,
In fact my first idea was to close my trade every day and I will open a new trade position at the beginning of the next day with the new forecast. What do you think?
Thanks
David
Hi tradingComputer, thanks you very much for your suggestion. I am sure that if I include an other indicator into the algorithm, the model will be better. But in fact, my question was about how interpret residuals from ARMA model. If we consider that the residuals distribution is normal (Shapiro Test or QQPlot), can we use the cumulative distribution in order to take decision on trading opportunity. What do you think?
Can't speak for Baron, but I understand he prefers fresh content, rather than re-posts from other fora. Regardless, it's always good form to clearly indicate cross-posted content.