Tag Archives: Machine learning

Three Long/Short Equity Strategies Based On Machine Learning

Three long/short strategies for trading Dow Jones component stocks in the daily timeframe are developed and analyzed based on features generated by DLPAL LS software. These strategies fulfill the objective of higher risk-adjusted returns as compared to S&P 500 total … Continue reading

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Markets Are Algo-Event Driven

Two days ago, equity markets worldwide were spooked by Italian political turmoil and possibility of a euroskeptic government that will drive Italy out of euro. The S&P 500 fell 1.2%. Next day, according to financial media, the market rallied 1.3% … Continue reading

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Market Neutral Long/Short Equity Strategies In High Demand

In this article, we present recent performance results of a market neutral long/short equity trading strategy executed in weekly timeframe for minimum transaction cost impact and lower risk in bear markets.

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Validating DLPAL S Trading Strategies On Comparable Securities

Validation of trading strategies is important for minimizing probability of Type-I error, or false discoveries. Below is an example of how to quickly validate strategies developed with DLPAL S on correlated but more importantly, anti-correlated securities.

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This is How the Alpha is Extracted

Engineering of features with economic value, also known as attributes, predictors or alpha factors, is the first step in the extraction of market alpha. The example in this article shows proper classification of DJIA stocks in the weekly timeframe has … Continue reading

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