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Model Building Methodology

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A presentation of my methodology for a couple of trading models I had developed previously.

A presentation of my methodology for a couple of trading models I had developed previously.


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  • First model is a derivative of Victor Niederhoffer thinking
  • Very Simplified version; There are other factors involved in the process not shown above!
  • Very Simplified version; There are other factors involved in the process not shown above!
  • Transcript

    • 1. Model Building Methodology
      As Designed By Hareesh N. Jayanthi
    • 2. What will be covered?
      2 Models
      Where did the Sensitivitymodel idea come from?
      Mechanics of the first model
      The actual model in excel
      Where did the second model idea come from?
      Mechanics of the second model
      The actual model in excel
      Questions
    • 3. Origin of the first model
      IT’S ALL ABOUT SENSITIVITY*
      The question to be answered here is what is the effect (ie sensitivity) of a spread between 2 random (or selected) ETFs to minimum % changes in a futures price?
      * Sensitivity: Given Assets A & B; The change in price of Asset B given a statistically significant change in price of Asset A over a time period specified by the user.
    • 4. Download ETF prices & create spreads
      Calculate % Change for spreads & futures
      Set a minimum % change for futures to determine p&l for spreads
      Identify outperforming pairs
      Download futures prices
    • 5. Origin of the Second model
      IT’S ALL ABOUT SIMPLICITY
      Utilizing KISS. A simple weekly moving average(s) model with additional filters (price, trend). Is there any validity to the idea that keeping it simple can be profitable?
    • 6. Calculate 10 week & 20 week moving averages
      Identify buy/short signals from MA cross over
      If applicable, ensure that minimums for price & trend are met
      Download ADR Prices
    • 7.
    • 8. QUOTES THAT CAN BE APPLIED TO TRADING
      “Those who say that I will lose and am finished will have to run over my body to beat me”
      - Said Auoita
      “Somewhere in the world, someone is training when you are not. When you race him, he will win.”
      - Anonymous
      "Every morning in Africa a gazelle wakes up. It knows it must run faster than the fastest lion or it will be killed. Every morning a lion wakes up. It knows it must outrun the slowest gazelle or it will starve to death. It doesn’t matter whether you are a lion or a gazelle – when the sun comes up, you’d better be running."
      – Unknown