S&P 500 ARIMA Plus GARCH Trading Strategy

19 February 2017, 17:56
Ahmad Hassam
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Can we use this ARIMA Plus GARCH Trading Strategy for trading EUR/USD?

You can read this post in which I explain this S&P 500 ARIMA Plus GARCH Stock Trading Strategy.

You can trade this trading strategy for EUR/USD as well as other currency pairs like GBP/USD, AUD/USD, NZD/USD etc.

I have used R language to model this trading strategy.

When it comes to time series analysis, Python cannot match the power of R.

The basic idea is to predict one step ahead return and volatility.

If the predicted return is positive, we can open a long trade.

On the other hand, if predicted return is negative, we can open a short trade.

This trading strategy should work for both daily as well as weekly time frames.
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