Cointegration for forex using ARMA model to forecast the spread
Cointegration for forex using ARMA model to forecast the spread
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David Hoareau · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: David Hoareau
Original post: https://quant.stackexchange.com/questions/26277
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
I am working on an automatized quantitative strategy that use cointegration in Forex. I am backtesting this strategy in Python.
Please see below the python file:
https://drive.google.com/file/d/0B1AEYFPAAAE6eW5XeHlkTXprVUU/view?usp=sharing
See below the data that I used to backtest:
https://drive.google.com/file/d/0B1AEYFPAAAE6amx0RWI1MGh3SW8/view?usp=sharing
My Algorithm is:
Read File
Transform the data with the log return
Treat Outliers
Realize the linear regression
Test for cointegration with ADF test
If the spread is stationary then apply the best ARMA model
Forecast and using beta calculation to control the risk
The equity curve of this strategy is:
Could you please help to understand how can I improve this algo?
Thanks
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: David Hoareau Source score (net votes, not local likes): 1 Original post: https://quant.stackexchange.com/questions/26277 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I am working on an automatized quantitative strategy that use cointegration in Forex. I am backtesting this strategy in Python. Please see below the python file: https://drive.google.com/file/d/0B1AEYFPAAAE6eW5XeHlkTXprVUU/view?usp=sharing See below the data that I used to backtest: https://drive.google.com/file/d/0B1AEYFPAAAE6amx0RWI1MGh3SW8/view?usp=sharing My Algorithm is: Read File Transform the data with the log return Treat Outliers Realize the linear regression Test for cointegration with ADF test If the spread is stationary then apply the best ARMA model Forecast and using beta calculation to control the risk The equity curve of this strategy is: Could you please help to understand how can I improve this algo? Thanks
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