Category Archives: Quant Analytics

Quant Analytics

Williams % and Stochastics most reliable Matlab technical indicator

 

Williams % and Stochastics is most reliable Matlab technical indicator as picked by this pro software company

Williams % and Stochastics most reliable indicator for low time frame forex trading

I refer to the Matlab Technical Analysis for best indicators they would recommend

There are other ones with references found here.

http://quantlabs.net/blog/2018/02/williams-stochastics-reliable-indicator-low-time-frame-forex-trading/

I decided to refer to the Matlab Technical Analysis toolbox for which might be considered some of the really reliable indicators. As revealed in the video, it was shown how the one I was relying on (regression) was just too choppy which threw off my strategy closing on exit. As this video shows, I try a variety of indicators to see which ones ‘visually’ made sense with no latency on the pricing direction. In other words, could the indicator keep up with fast moving price changes at low time frames? The video shows what I found.

As a result, I may scrap this strategy to try another approach starting next week. Yes, nearly 2 months were wasted but I have definitely found my techniques to properly assess a trading strategy potential under development. This means no time was ever wasted at all as I gathered some precious skills that I am sure any unprofitable retail traders will argue.

As always, you kind my two courses listed below that helped me get to this point using Dukascopy Jforex.

Thanks Bryan

P.S. More technical indicators will be used testing with results to come soon!

Big whale profit algo automated forex trading lesson

Bollinger Bands usage vs moving average for forex trading

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How to read a research paper is critical

 

 

How to read a research paper is critical

This guys is pure awesome breaking down the simplicity of algos, machine learning, and the like. He is quite good but this particular video is a very important and critical skill to break your self out from the pack of wannabe ‘quant’ and newbies. if you are challenged in this skill, you will never be successful with n the quant space. I can tell you I am somewhat still challenged at it as well so don’t feel bad.

Quant fund investment and financial near 1 trillion under management

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Gold Price Forecasting Using Python Machine Learning

Gold Price Prediction Using Python Machine Learning

This is a basic way to apply machine learning Python packages like SciKit Learn. As gold is now becoming the number 1 asset of interest, here is a way to analyze movements on various gold ETFs. This is nothing revolutionary but it gives you the high level on how to implement these type of analysis and forecasting on popular market assets of the time

Links here

http://quantlabs.net/blog/2018/01/gold-price-prediction-using-python-machine-learning/

 

Also, I have posted a crucial item on understanding the bid and ask spread. If you never get the fundamentals on this, you will pretty well be failing with no knowledge why. Knowing this will help my forex strategy analysis much more. I will be posting a new video on this pointing back to this article. Let me know if you are interested in this by responding.

Thanks Bryan

Gold Price Prediction Using Python Machine Learning

http://quantlabs.net/blog/2018/01/bitcoin-price-forecasting-using-monte-carlo-simulation-forex-analysis/

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Gold Price Prediction Using Python Machine Learning

 

A deep learning framework for financial time series using stacked autoencoders and long-short term memory

Gold Price Prediction Using Python Machine Learning

This is a basic way to apply machine learning Python packages like SciKit Learn. As gold is now becoming the number asset of interest, here is a way to analyze movements on various gold ETFs. This is nothing revolutionary but it gives you the high level on how to implement these type of analysis and forecasting on popular market assets of the time.

Gold Price Prediction Using Machine Learning In Python

Bitcoin and Doge crypto currency the joke or still serious ?

A deep learning framework for financial time series using stacked autoencoders and long-short term memory

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A deep learning framework for financial time series using stacked autoencoders and long-short term memory

A deep learning framework for financial time series using stacked autoencoders and long-short term memory

Most accurate machine deep learning model type?

This appears to use LSAM and SAE (long short term memory and stacked auto encoders) which appears to be more accurate than recurrent neural network (RNN).  Do I sound like a machine learning experience here? Haha. I am way off it. This does show that this technique could be most accurate when it comes to forecasting financial time series.

Here are the links

http://journals.plos.org/plosone/article?id=10.1371/journal.pone.0180944

Python code example https://github.com/dzitkowskik/StockPredictionRNN

https://en.wikipedia.org/wiki/Long_short-term_memory

 

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Zero-Math Intro Reference to Markov Chain Monte Carlo Machine Learning Approximating Methods

Zero-Math Intro Reference to Markov Chain Monte Carlo Machine Learning Approximating Methods

Non complicated formulas to look at in this article

https://towardsdatascience.com/a-zero-math-introduction-to-markov-chain-monte-carlo-methods-dcba889e0c50

 

 

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How Much Math Does an IT Engineer Need to Learn for Data Science?

 

This was from a self study IT engineer but read the comments in this article

https://www.kdnuggets.com/2017/12/mathematics-needed-learn-data-science-machine-learning.html

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Trading Strategy Debate High Win-rate or High Reward-Risk Ratio

Trading Strategy Debate High Win-rate or High Reward-Risk Ratio

Interesting how you need to change your think on systematic trading

Facebook comment:

Very nice blog, thanks for sharing. Just one sentence I don’t agree with.

“there is room for mistakes and unexpected events, which by the way do happen from time to time”

It actually does not happen from time to time, it happens often, several times a day. That’s why positive RRR aiming is a must.

https://hacked.com/trading-strategies-high-win-rate-high-rewardrisk-ratio/amp/

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17 Equations That Changed The Course of History

17 Equations That Changed The Course of History

These are important as well for quant trading as well

https://www.sciencealert.com/the-17-equations-that-changed-the-course-of-history

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Award – Best Quant Paper 2017

 

Savvy Investor curates the best pensions and investment white papers from around the world. Having uploaded more than 20,000 papers since launch, they have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to their institutional investor audience.

 

To view the full awards announcement, across 15 categories, visit the Savvy Investor Awards page.

WINNER: AQR Capital Management

Embracing Downside Risk

Equity index option pricing is examined in detail in this paper. The authors conclude that most of the empirical equity risk premium relates to compensation for taking on downside risk; therefore, downside risk is something to be embraced.

HIGHLY COMMENDED

Adding Alpha by Subtracting Beta: A Case Study on how Quant Tools can Improve a Portfolio’s Returns by Axioma

A ‘real world’ portfolio is used to illustrate how fundamental managers can use quantitative tools to identify and lessen potential issues in their portfolio, thereby improving their realized returns.

An Asset Allocation Primer: Connecting Markowitz, Kelly and Risk Parity by PIMCO

Standard asset allocation model mechanics, including the utility based, Kelly, Markowitz, fixed allocation, and risk parity approaches, are described and contrasted in this PIMCO article.

 

Managing equity portfolio volatility by harnessing the volatility risk premium by Eaton Vance

Option-based strategies that attempt to harness the Volatility Risk Premium comprise a new type of solution that investors are currently exploring in order to achieve equity-like returns with less risk.

Start of Something Big: Demystifying the Source of Large Alpha in Small Caps by QMA

Active small-cap managers continue to outperform. QMA posits that capturing alpha in small caps is largely the result of inefficiencies that create pronounced mispricings that diligent managers can exploit on a regular basis.

 

About Savvy Investor

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 23,000 members from across the globe have registered for the site, with 150-200 new members joining every week.

To find out how you can partner with Savvy Investor this year to enhance your thought leadership credentials in the institutional investor marketplace, please contact our Business Development Manager, Stuart Blake, stuart.blake@savvyinvestor.net.

 

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