This HTML5 document contains 40 embedded RDF statements represented using HTML+Microdata notation.

The embedded RDF content will be recognized by any processor of HTML5 Microdata.

Namespace Prefixes

PrefixIRI
dctermshttp://purl.org/dc/terms/
dbohttp://dbpedia.org/ontology/
foafhttp://xmlns.com/foaf/0.1/
n4https://global.dbpedia.org/id/
dbthttp://dbpedia.org/resource/Template:
rdfshttp://www.w3.org/2000/01/rdf-schema#
freebasehttp://rdf.freebase.com/ns/
rdfhttp://www.w3.org/1999/02/22-rdf-syntax-ns#
owlhttp://www.w3.org/2002/07/owl#
wikipedia-enhttp://en.wikipedia.org/wiki/
dbphttp://dbpedia.org/property/
dbchttp://dbpedia.org/resource/Category:
provhttp://www.w3.org/ns/prov#
xsdhhttp://www.w3.org/2001/XMLSchema#
wikidatahttp://www.wikidata.org/entity/
dbrhttp://dbpedia.org/resource/

Statements

Subject Item
dbr:Trading_strategy_index
rdfs:label
Trading strategy index
rdfs:comment
Strategy indices are indices that track the performance of an algorithmic trading strategy. The algorithm clearly and transparently specifies all the actions that must be taken.The following are examples of algorithms that strategies can be based on.
dcterms:subject
dbc:Share_trading
dbo:wikiPageID
19786329
dbo:wikiPageRevisionID
979872192
dbo:wikiPageWikiLink
dbr:Stock_trader dbr:Trading_strategy dbr:Commodities dbr:Derivative_(finance) dbr:Data_snooping_bias dbr:Conventional_wisdom dbr:Federal_Reserve_System dbc:Share_trading dbr:Corporate dbr:Bond_(finance) dbr:Transparency_(behavior) dbr:Index_(economics) dbr:Kaupthing dbr:ExxonMobil dbr:Hedge_fund dbr:Equities dbr:Variance_swap dbr:Pension_fund dbr:Short_(finance) dbr:Landsbanki dbr:Royal_Dutch_Shell dbr:Interest_rate_swap dbr:Algorithm
owl:sameAs
n4:4w8W1 freebase:m.04q7n4_ wikidata:Q7832246
dbp:wikiPageUsesTemplate
dbt:Reflist dbt:Multiple_issues dbt:Unreferenced dbt:Expert-subject dbt:Technical
dbo:abstract
Strategy indices are indices that track the performance of an algorithmic trading strategy. The algorithm clearly and transparently specifies all the actions that must be taken.The following are examples of algorithms that strategies can be based on. 1. * Pairs trading strategy. This strategy examines pairs of instruments that are known to be statistically correlated. For example, consider Shell and Exxon. Both are oil stocks and are likely to move together. Knowledge of this trend creates an opportunity for profit, as on the occasions when these stocks break correlation for an instant, the trader may buy one and short sell the other at a premium. 2. * Fed funds curve strategy This strategy takes a view on the shape of the curve based on the actions of the Fed. In this strategy, one puts on a steepener or flattener, based on whether the Federal Reserve has cut the benchmark rate or raised it. This is based on the conventional wisdom that the curve steepens when the rate is expected to be cut, and vice versa. 3. * Implied volatility against realized volatility . In a number of markets such as commodities and rates, the implied volatility, as implied by straddle prices is higher than the realized volatility of the underlying forward. One way to 'exploit' this is to sell a short expiry (e.g. 1 month) straddle and delta-hedging it until it is alive. The strategy makes money if at expiry, the sum of the premium received (and accrued at money market), the (negative) final value of the straddle and the (positive/negative) value of the forwards (entered into to delta-hedge the straddle) is greater than zero. A variation of this, and more common solution in equity, is to sell either a one-month or three-month variance swap – usually on the Eurostoxx 50E or S&P500 index – that pays a positive performance if the implied volatility (strike of the swap) is above the realised volatility at expiry; in this case there is no need to delta-hedging the underlying movements.
prov:wasDerivedFrom
wikipedia-en:Trading_strategy_index?oldid=979872192&ns=0
dbo:wikiPageLength
6181
foaf:isPrimaryTopicOf
wikipedia-en:Trading_strategy_index