yuanzihanowen / py_trading

Py_trading

This is the place where I learn how to write codes.

This project aims to use CCI to forecast the overbuy and oversell situations for those most liquid currency Pairs

Logics

CCI is deemed to fluctruate between 100 and -100. There are rare cases in which the CCI moves beyond these boundaries. Hence the periods in which abs(CCI)>100 are considered to be intermittent.

My research

Based on my research during my 2-month research project during 2012 summer, the croston's method is the most straight forward and best strategy to forecast a intermittent pattern.

The chart below is the backtested Pnl for this trading strategy.