About forecast prices and signals generation with ARIMA

Installations & Python Packages
1

Course Name: Financial Time Series Analysis for Trading, Section No: 18, Unit No: 15, Unit type: Notebook



Couple of question:

  1. Why here we don't shift predicted prices like we did in previous models?





    Also, for this notebook we're generating signals comparing today's closing vs prediction while in other notebooks we generated signals comparing current prediction vs previous prediction. Am I missing something?



2

Hi Daniel,



These are two different strategies. In this strategy, we are taking a position by comparing the current close price with the current predicted price, while in the previous strategy, we were comparing two consecutive predicted prices. 

 

3

Got it, thanks!