Technical analysis and its dependency on volatility, the report

Some time ago I posted about the topic of my dissertation. There were some interest in getting access to the report when it was completed, and I’m glad to say that it’s finally done. So if you want to go straight to the details, here’s the link: The profitability of technical analysis in a high frequency… Continue reading Technical analysis and its dependency on volatility, the report

The profitability of technical analysis in a high frequency setting

UPDATE: The report has been completed, available here. One busy month behind me, and another one up next. Currently doing exam revisions and had some rather time consuming coursework so far, which has sadly prohibited me from doing anything here on this blog. So, to make up for a month of no blog activity I’ll set aside… Continue reading The profitability of technical analysis in a high frequency setting

Relative Sharpe ratio

I just read Irene Aldridge blog post titled “How Profitable Are High-Frequency Strategies?”. Although no hard facts about the overall profitability of high frequency trading strategies are given, it got me thinking about something else. As Irene does in her blog post, she takes historical data and calculates the Sharpe rato of the absolute optimal, 20/20… Continue reading Relative Sharpe ratio