Trading USDCHF filtered by Gold dynamics via HMM coupling
Abstract
We devise a USDCHF trading strategy using the dynamics of gold as a filter. Our strategy involves modelling both USDCHF and gold using a coupled hidden Markov model (CHMM). The observations will be indicators, RSI and CCI, which will be used as triggers for our trading signals. Upon decoding the model in each iteration, we can get the next most probable state and the next most probable observation. Hopefully by taking advantage of intermarket analysis and the Markov property implicit in the model, trading with these most probable values will produce profitable results.
Cite
@article{arxiv.1308.0900,
title = {Trading USDCHF filtered by Gold dynamics via HMM coupling},
author = {Donny Lee},
journal= {arXiv preprint arXiv:1308.0900},
year = {2013}
}
Comments
Abridge version titled "The profitable, hidden and Markovian couple of Swiss and gold" in Nov '13 issue of Futures. Read it online at http://www.futuresmag.com/2013/10/21/the-profitable-hidden-and-markovian-couple-of-swi