Model Building Methodology<br />As Designed By Hareesh N. Jayanthi<br />
What will be covered?<br />2 Models<br />Where did the Sensitivitymodel idea come from? <br />Mechanics of the first model...
Origin of the first model<br />IT’S ALL ABOUT SENSITIVITY*<br />The question to be answered here is what is the effect (ie...
Download ETF prices & create spreads<br />Calculate % Change for spreads & futures<br />Set a minimum % change for futures...
Origin of the Second model<br />IT’S ALL ABOUT SIMPLICITY<br />Utilizing KISS.  A simple weekly moving average(s) model wi...
Calculate  10 week & 20 week moving averages<br />Identify buy/short signals from MA cross over<br />If applicable, ensure...
QUOTES THAT CAN BE APPLIED  TO TRADING<br />“Those who say that I will lose and am finished will have to run over my body ...
Model Building Methodology
Model Building Methodology
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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.

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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!
  • Model Building Methodology

    1. 1. Model Building Methodology<br />As Designed By Hareesh N. Jayanthi<br />
    2. 2. What will be covered?<br />2 Models<br />Where did the Sensitivitymodel idea come from? <br />Mechanics of the first model<br />The actual model in excel<br />Where did the second model idea come from?<br />Mechanics of the second model<br />The actual model in excel<br />Questions<br />
    3. 3. Origin of the first model<br />IT’S ALL ABOUT SENSITIVITY*<br />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?<br />* 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.<br />
    4. 4. Download ETF prices & create spreads<br />Calculate % Change for spreads & futures<br />Set a minimum % change for futures to determine p&l for spreads<br />Identify outperforming pairs<br />Download futures prices<br />
    5. 5. Origin of the Second model<br />IT’S ALL ABOUT SIMPLICITY<br />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?<br />
    6. 6. Calculate 10 week & 20 week moving averages<br />Identify buy/short signals from MA cross over<br />If applicable, ensure that minimums for price & trend are met<br />Download ADR Prices <br />
    7. 7.
    8. 8. QUOTES THAT CAN BE APPLIED TO TRADING<br />“Those who say that I will lose and am finished will have to run over my body to beat me”<br /> - Said Auoita<br />“Somewhere in the world, someone is training when you are not. When you race him, he will win.”<br /> - Anonymous<br />"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."<br /> – Unknown<br />

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