Tagindicators

Kalman and Laguerre signals

By quantish
In Systematic Trading
December 9, 2021
1 Min Read
K

It seems that the Kalman filter and Laguerre filter work well with EMAs for entries/exits. The attached algorithm trades Crypto (or any ‘trendy’ asset), using crossovers between the three. It has a 60% Win Rate and a 3.58 Sharpe, but don’t be fooled. This isn’t because it’s an amazing strategy, it’s because crypto assets went parabolic during the backtest period. So...

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Presenting. Crypto. Trend following.

By quantish
In Systematic Trading
November 2, 2021
1 Min Read
P

I gave a presentation to a small group of crypto traders and software engineers about strategy automation. The goal was to show what was possible using the tools and platforms available to retail traders, and possibly inspire them to give it a try. I think it worked. The slides are embedded below. I walk through a basic breakout strategy with a trailing stop, and on the last slides you can find...

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