Capital allocation with Convex Optimization, Kelly’s Criterion & Markowitz Efficient Frontier — https://sarit-maitra.medium.com/membership Trend-following which also termed as momentum trading strategies which buys the past winners (stocks with the highest returns in the recent past) and sells the losers (stocks with the lowest past returns). To better understand the nature of trend-following trading strategies and discover the corresponding optimality conditions, let us…

How momentum trading strategy can yield sustainable return — https://sarit-maitra.medium.com/membership Relative Strength Index (RSI) introduced by J. Welles Wilder Jr. in his classic book “New Concepts in Technical Trading”. He used RSI as a momentum oscillator to identify reversals in security prices. Momentum strategy basically bets on the continuation of an existing market trend. …

Mean-variance Convex portfolio optimization model — https://sarit-maitra.medium.com/membership Modeling real-world problem is rather an art than science and this has been agreed by many scholars. Nevertheless, despite of we need to incorporate scientific elements and rules but there is still some consensus that certain models are elegant and beautiful while others lacking aesthetic appeal. Here, we are…

Optimize time-series with Walk-Forward Validation — https://sarit-maitra.medium.com/membership Predictions over time tend to become error prone in the case of time-series modeling; thus a realistic approach would be to re-train the model with actual data as and when available for future predictions and validate simultaneously. Unless we have a robust optimization process, our modeling exercise will remain…

Support & resistance levels thresholds for trading signal generation — https://sarit-maitra.medium.com/membership Mean reversion actually is originated from regression toward the mean. We always tend to apply our intuition for devising a trading strategy and that is perfectly all right. Considering if markets have been on roller-coaster ride, moving up/down all the time, the first thing our intuition will guide us…

Difficult task of solving Imbalance Class distribution — https://sarit-maitra.medium.com/membership Class distribution in general comprises of either skewed or imbalance classes and somewhat balanced classes. Either of these have their own set of challenges and metrics to evaluate classifier’s performance. The effective classification with skewed which is imbalanced data here, is an important area of research. High class imbalance…

AdaBoost, RUSBoost & SMOTEBoost to improve the classification performance — Adaptive Boosting (AdaBoost) has popular use as an Ensemble Learning Method in Supervised Machine Learning and was formulated by Yoav Freund and Robert Schapire, 2003. It is a meta-estimator and begins by fitting a classifier on the original dataset and then fits additional copies of the classifier on the same…

Which accuracy metrics to use for imbalanced class use case? — https://sarit-maitra.medium.com/membership Accuracy and F1 score computed on confusion matrices have been among the most popular adopted metrics in binary classification tasks and a lot of businesses are still relying on these when dealing with imbalance data set. Imbalanced distribution of data is a big challenge for standard learning algorithms and…

Intraday high frequency trading using EMA’s — https://sarit-maitra.medium.com/membership Exponential Moving Average is a kind of weighted moving average which gives more weightage to recent price data compared to simple moving averages. To simplify, exponential moving average reacts faster to the recent changes in the underlying data. Here, we will use EMAs crossover to time buy/entry and sell/exit…