Forex Books - page 122

[seekers]

absolute_momentum_-_a_simple_rule-based_strategy_and_universal_trend-following_overlay.pdf

There is a considerable body of research on relative strength price momentum but much less on absolute momentum, also known as time series momentum. In this paper, we explore the practical side of absolute momentum. We first explore its sole parameter - the formation, or look back, period. We then examine the reward, risk, and correlation characteristics of absolute momentum applied to stocks, bonds, and real assets. We finally apply absolute momentum to a 60/40 stock/bond portfolio and a simple risk parity portfolio. We show that absolute momentum can effectively identify regime change and add significant value as an easy-to-implement, rule-based approach with many potential uses as both a stand-alone program and trend-following overlay. Number of Pages in PDF File: 33

[seekers]

what_is_an_index.pdf

Technological advances in telecommunications, securities exchanges, and algorithmic trading have facilitated a host of new investment products that resemble theme-based passive indexes but which depart from traditional market-cap-weighted portfolios. I propose broadening the definition of an index using a functional perspective — any portfolio strategy that satisfies three properties should be considered an index: (1) it is completely transparent; (2) it is investable; and (3) it is systematic, i.e., it is entirely rules-based and contains no judgment or unique investment skill. Portfolios satisfying these properties that are not market-cap-weighted are given a new name: “dynamic indexes.” This functional definition widens the universe of possibilities and, most importantly, decouples risk management from alpha generation. Passive strategies can and should be actively risk managed, and I provide a simple example of how this can be achieved. Dynamic indexes also create new challenges of which the most significant is backtest bias, and I conclude with a proposal for managing this risk.

[Wayan]

Can i make a request book or pdf about Heiken Ashi

[Sixer]

Check the following link for Dan Valcu, the author of the Heikin Ashi charting:

https://duckduckgo.com/?q=Heikin+Ashi+Dan+Valcu&t=ffsb

Sixer

[seekers]

currency_carry_trades.pdf

One of the oldest and most frequently recurring questions in international finance concerns the efficiency of the foreign exchange market. Indeed it is one of the most durable and intriguing questions in the field of finance as a whole since the market for major currencies is one of the largest, most liquid, and most actively traded asset markets in existence. Thus, treated as a laboratory, this market more than any other may have the potential to reveal how close actual financial markets are to attaining their textbook idealized form: are asset returns essentially random or do they have systematically predictable elements? For several decades a long literature has sought to explore whether currency returns are forecastable, and the simple “carry trade” logic of trading based on the interest differential has been very widely studied. Here systematic ex post profits are widely observed, a phenomenon that is merely a manifestation of the long-studied forward discount puzzle (see, e.g., Frankel 1980; Fama 1984; Hodrick 1987; Froot and Thaler 1990; Bekaert and Hodrick 1993; Engel 1996). Notwithstanding this broadly accepted puzzle, a number of metrics have been used to evaluate the predictability and profitability of exchange rate forecasts, and the results have by no means created consensus. Researchers have asked whether such forecasting power delivers statistically significant fit relative to random walk and if the forecast can generate economically significant profits for a risk-neutral investor after transaction costs (Meese and Rogoff 1983; Kilian and Taylor 2003). Researchers have also sought to account for the possibility of time-varying risk premia—but they must then navigate between the inevitably circular reasoning that ex post risk premia could be found that in principle explain any ex post returns observed and the problem that observable so-called risk factors

[seekers]

the_retail_fx_trader_-_random_trading_and_the_negative_sum_game.pdf

With the internet boom of early 2000 making access to trading the Foreign Exchange (FX) market far simpler for members of the general public, the growth of ‘retail’ FX trading continues, with daily transaction volumes as high as $200 billion. Potential new entrants to the retail FX trading world may come from the recent UK pension deregulations, further increasing the volumes. The attraction of FX trading is that it offers high returns and whilst it has been understood that it is high-risk in nature, the rewards are seen as being commensurately high for the ‘skilled and knowledgeable’ trader who has an edge over other market participants. This paper analyses a number of independent sources of data and previous research, to examine the profitability of the Retail FX trader and compares the results with that of a simulated random trading models. This paper finds evidence to suggest that whilst approximately 20% of traders can expect to end up with a profitable account, around 40% might expect their account to be subject to a margin call. This paper finds a strong correlation between the overall profitability of traders and impact of the cost of the bid-ask spread, whilst finding little if any evidence that retail FX traders, when viewed as a group, are achieving results better than that from random trading.

[Wayan]

Check the following link for Dan Valcu, the author of the Heikin Ashi charting:

https://duckduckgo.com/?q=Heikin+Ashi+Dan+Valcu&t=ffsb

Sixer[/QUOTE

Thank you, I appreciate it

[myname]

seekers:
the_retail_fx_trader_-_random_trading_and_the_negative_sum_game.pdf

The "random trading" depicts it all

[seekers]

volatility_opportunity_and_reversal_strategies.pdf

In this research note we investigate whether short-horizon, statistical arbitrage style alpha factors perform differently in different environments. In particular it is often said that stat arb strategies are “long vol” in the sense that they profit when market level volatility measures are higher than average. We find that reversal strategies perform best in high-volatility environments, but that both reversal and other short-horizon technical trading strategies perform best when the opportunity set – as measured by the cross-sectional variance of returns – is highest. The opportunity set measure better distinguishes a priori between low- and high-performing periods for reversal, does so for the three other subcomponents of ExtractAlpha’s Tactical Model (TM1), and is a more stable measure than the VIX. Current opportunity set measures favor stat arb strategies.

[seekers]