Category: Technical Analysis
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P/E Ratio Impact on Investment Returns: S&P 500 Analysis
So far on our algorithmic trading journey we have only looked at technical analysis. Essentially, we have been treating price as a time varying signal whose future movements can be forecast by examining past movements. Today, we will take a look at the Price-to-Earnings Ratio. I will start with looking at what the P/E ratio…
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Gradient Methods
The next step (long overdue) on our algorithmic trading journey is a dive into gradient methods. In a previous post I looked at optimizing the parameters of a moving average trade signal by brute force – visiting all possible combinations of short term and long term moving averages. Brute force methods are limited to small…
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Performance of MACD and RSI
We will continue our adventure through the algorithmic trading jungle by taking a look at two common technical indicators: Moving Average Convergence/Divergence (MACD) and Relative Strength Index (RSI). Disclaimer I am not licensed as a financial advisor by IIROC. The information provided on this website does not constitute investment advice, financial advice, trading advice, or…
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Parameter Optimization for Moving Average and Kalman Filters
We will pick up where the previous post left off, and continue our adventure through algorithmic trading by optimizing some of the parameters used by the Moving Average and Kalman Filter signals. Disclaimer I am not licensed as a financial advisor by IIROC. The information provided on this website does not constitute investment advice, financial…
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Turning Moving Averages into Trade Signals
Let’s pick up where the previous post left off. I’ll take those moving averages and turn them into a trade signal. First, the same disclaimer applies. Disclaimer I am not licensed as a financial advisor by IIROC. The information provided on this website does not constitute investment advice, financial advice, trading advice, or any other…
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Moving Averages & Kalman Filters for Time Series Analysis
Disclaimer The information provided on the website does not constitute investment advice, financial advice, trading advice, or any sort of other advice. Conduct your own due diligence before making any life altering or investment decisions. Moving Averages Moving averages are used in time series analysis to smooth a noisy signal and extract the long-term trend.…
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