Team member: WING LAM CHEUNG, XINYAN LIU, LI WEN TAN, DIANA YAKOBSSON

Our Trading Strategy is based on two main ideas: (1) ARRA Trading Robot and (2) Moment Trading

(1) ARRA Trading Robot ARRA is a Volatility & Trend reactive robot: Uses ATR volatility indicator & SMA(10) & SMA(40). The robot is exactly 50% profitable. It is possible to generate different Return and Risk Relationships using one single underlying asset using different (ARRA, for instance) Trading Strategies: E.g. Applying a trading strategy on the S&P500 index, we can create an asset class with Return and Risk different from the underlying (S&P500 index)

(2) Moment Trading It is a Portfolio Rebalancing Strategy using Adjusted VaR (Value at Risk). If we assume asset returns are normally distributed, then for Portfolio A (Lower Risk) and Portfolio B (Higher Risk) If Expected (Return) A > Expected (Return) B Volatility A > Volatility B VaR A > VaR B However, if we relax the conditions of normal distribution (as in real world), especially: Skewness (3rd moment) Kurtosis (4th moment) Then the difference between VaR A and VaR B will reduce. This means VaR B (the larger VaR) will be overestimated. This creates an opportunity to increase the portfolio weight to Portfolio B (Higher Risk B)

Team member contributions: WING LAM CHEUNG: Strategy(1) coding, Strategy(2) strategy thinking and ppt XINYAN LIU: Strategy(2) strategy thinking, coding, and ppt LI WEN TAN: Strategy(1) coding, Strategy(2) strategy thinking and ppt DIANA YAKOBSSON: Strategy(1) strategy thinking, and ppt

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