interpreting huge jumps
interpreting huge jumps
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abhay taneja · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: abhay taneja
Original post: https://quant.stackexchange.com/questions/9413
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
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i have been working on this trading system that uses digital filters to generate signals. the system works fine during normal market hours. but it goes haywire when there is news release. i have specifically ensured that all signals generated within 2 hours of a news release be rejected. the problem is how to interpret the signals coming a few minutes after a news release. i was just wondering if there is a way of treating the huge spikes caused due to news release. any insight would be helpful.
PS: the system trades spot forex.
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htrahdis · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: htrahdis
Original post: https://quant.stackexchange.com/a/9421
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
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You have to
mention more details
as in what are your assumptions when you fit the digital filter. Also whether
is it linear or not
. If not then what non-linearities have you taken into account. The answer depends on that.
Because you can either look at it as
a form of non-stationarity or a different process altogether
. Also how much time behind are you looking at to model the current situation, That will decide how long should you switch off the system after news has come. Finally you can make your
parameters adaptable to some external variable
to try and adjust for the news.
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: abhay taneja Source score (net votes, not local likes): -1 Original post: https://quant.stackexchange.com/questions/9413 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 have been working on this trading system that uses digital filters to generate signals. the system works fine during normal market hours. but it goes haywire when there is news release. i have specifically ensured that all signals generated within 2 hours of a news release be rejected. the problem is how to interpret the signals coming a few minutes after a news release. i was just wondering if there is a way of treating the huge spikes caused due to news release. any insight would be helpful. PS: the system trades spot forex.
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