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thoriuchi0531
Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.
Option volume data appears to be from DTCC which is publicly available. Should be testable in theory. https://bankunderground.co.uk/2022/04/12/predicting-exchange-rates/ https://www.bankofengland.co.uk/-/media/boe/files/working-paper/2022/fx-option-volume.pdf?la=en&hash=F536F25AB38F948BBB18D59A2448B594BC904C7D
Use the same time series momentum signal but with a much shorter lookback window (e.g., 3 days) https://twitter.com/ReformedTrader/status/1227824871863799808
A potential new backtest. Take positions around the end of month https://quantpedia.com/strategies/turn-of-the-month-in-equity-indexes/
I wonder PredictiveAnalysisTS fuction is rollingOLS or OLS? Can you provide PredictiveAnalysisTS function code reference？
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Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.