Jin H. Jung @salbang

📈 Quant Focus 📈 Technical Analysis in Statistical Arbitrage II: Stochastic Oscillator by @salbang 📝 Key Takeaways ➡️ Technical analysis tools like the stochastic oscillator can be utilized in statistical arbitrage to identify mispricing in financial instruments, enabling traders to develop effective alphas for capturing mean-reversion opportunities. ➡️ This article explores two reversion alphas based on the stochastic oscillator, demonstrating their effectiveness through backtesting while highlighting the need for refinement in practical trading applications.

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Jin H. Jung @salbang

2 years ago

MakerDAO is now Sky! Get ready to upgrade to $USDS and $SKY on 18 Sept. Just signed up for the Early Bird Bonus on Sky.Money. Get double rewards for the first month after launch if you're eligible @SkyEcosystem

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Presto Research @Presto_Research

2 years ago

📈 Trading Focus 📈 Technical Analysis in Statistical Arbitrage I: Fibonacci Retracement by @salbang 📝 Key Takeaways ➡️ Fibonacci retracements are a technical analysis tool used to predict potential support and resistance levels in financial markets, aiding traders in timing market entries and exits. ➡️ This article examines their application in generating trading signals for cryptocurrencies, evaluating their effectiveness through simulations across various setups, from individual assets like BTC/USDT to broader portfolios of top liquid assets.

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Presto Research @Presto_Research

2 years ago

Struggling with the crypto market? Brought to you by @Presto_Labs, Presto Research combines TradFi and Tech expertise to lead the way. Follow us for more insights and the latest trends. linktr.ee/prestoresearch

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Presto Research @Presto_Research

2 years ago

1b) Long-Form Technical Analysis in Statistical Arbitrage I: Fibonacci Retracement by @salbang Fibonacci retracements are frequently used as a technical analysis tool in trading. Alphas based on a Fibonacci retracement level are tested across different universes in Binance USDⓈ-M perpetual futures market. Simulation results indicate that broader asset universes lead to reduced volatility and enhanced returns. The alpha targeting the top 50 most liquid assets outperforms the others, achieving an annualized return of 77.83% and a Sharpe ratio of 3.2.

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Jin H. Jung @salbang

2 years ago

Ways to construct a portfolio of alphas. prestolabs.io/research/optim…

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Presto @Presto_Labs

2 years ago

Ever wonder how well the common arbitrage strategies perform in real market? 👉 This month’s edition of Trading Focus discusses a set of arbitrage strategies on coin-margined markets. We also discuss optimizing risk for more stable return. Read the full article: prestolabs.io/research/evalu…

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Jin H. Jung @salbang

2 years ago

Following the previous article, arbitrage strategies are evaluated on USDⓈ-M Market. prestolabs.io/research/evalu…

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The Tie @TheTieIO

2 years ago

We’re excited to share that Presto Research (@presto_labs) is now available within The Tie Terminal research portal. Clients of The Tie Terminal can now access Presto Research’s institutional-grade insights and data-driven quantitative research.