VaR stands for Value-at-Risk. It’s a hugely important component of any form of trade because it is a straightforward method to quantify the risk of a single asset or entire portfolio at any point in time. Using VaR modeling, we can define the likelihood of losses in a portfolio and…

I’ve never found much success solely using technical analysis. It doesn’t answer the why and if you want to replicate your success over a period of time, the why is essential. When it comes to tracking any errant trades that you make, or incorrect decisions that you make, knowing why…

This article is an extension of a previous one, in which I attempt to validate the theoretical understanding of Non Farm Payrolls against historical data. I’m looking at the performance of a chart for an entire month after the NFP announcement, analysing movements until the next announcement rolls around. …

When it comes to trading the forex market, most traditional investment banks rely on fundamental analysis, an understanding of the “bigger picture.” These banks don’t believe in purely technical analysis, because this doesn’t give enough significance to what is expected to drive these markets in the future-> supply and demand…

VaR stands for Value-at-Risk. It’s a hugely important component of any form of trade because it is a straightforward method to quantify the risk of a single asset or entire portfolio at any point in time. Using VaR modelling, we can define the likelihood of losses in a portfolio and…

The broad goal for time series analysis is to be able to build a model that identifies all autocorrelation in a time series and uses this to create trend forecasts. We want to be able to use all the information from past behaviour that we believe is relevant to future…

If you are interested in the following content, I’m launching a new algorithmic finance newsletter, called Algo Fin that publishes work similar to this. This newsletter will explore the connection between data science and finance, with an initial focus on the currency markets, but I hope to build many more…

Introduction Stocktwits is advertised as a social media channel for traders. On their website, you can search by ticker to see comments from different accounts along with an associated direction Bullish, Bearish or Neutral. Just above each chart is a sentiment value, which takes the number of bullish and bearish messages…

Timing is key to making trades in the markets. You might know that overall sentiment is low, but once you have the fundamentals, you need to back this up with technical analysis to make sure you catch an asset the end of its pullback as opposed to the start of…