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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Profit decay due to changes in underlying assumptions/relationships

All trading signals and trading strategies are built on top of certain underlying assumptions, such as assumptions about market participant behavior, and assumptions about interactions and relationships between different asset classes and different trading instruments. When we built basic trading strategies, we relied on the underlying assumptions that parameters such as 20 days and 40 days were correct for our trading instrument. With sophisticated trading strategies, such as volatility adjusted trading strategies, economic-release-based trading strategies, pair-trading strategies, and statistical arbitrage strategies, there are more underlying assumptions about the relationship ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content