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- davidleyabe replied May 28, 2016
I tested on the dataset that you shared with me. See below the equity curve: image The results for this strategy is: Profit factor : 1.10 Winning Rate: 52.76 % Sharpe Ratio: 0.03 Max Drawdown: -44.36 % In fact I would like to apply this strategy ...
- davidleyabe replied May 26, 2016
I am working on an automatized quantitative strategy that use cointegration in Forex. I am backtesting this strategy in Python. Please see below the python file: url See below the data that I used to backtest: url My Algorithm is: Read File ...
- davidleyabe replied Dec 22, 2015
Hi to all, I would like to share with you what I am doing using ARMA model and the residuals analysis of the model. I am working on EURUSD, and I am trying to find a way to place order based on ARMA modelling. Collecting Data, Data transformation, ...
- Posts by Member Search: 'davidleyabe'