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Category Archives: Quantitative trading
DLPAL software offers capability of generating high quality features for use in algorithmic and machine learning trading strategies. In this article we include an example of how features engineered from ensembles of securities can be used to develop a long/short … Continue reading
After receiving numerous requests for it, we are pleased to announce DLPAL S. This software offers quantitative trading functionality at very low cost.
These frequent posts in social media involving backtest results reflect a growing problem that is more serious than it appears and it makes it economically difficult for genuine services to survive in this game.
Buy the rumor, sell the fact. If facts are delayed, then investors will continue buying the rumors. It works; the evidence is all around you.
The strategy trades all Dow30 stocks in short-term mean-reversion mode using as a score a formula from a probability theory textbook.
We use the ensemble feature generation of DLPL PRO with weekly data of Dow-30 stocks to forecast weekly returns. The strategy based on the ensemble features has less drawdown but the same MAR ratio as buy and hold.