Category Archives: Quant Analytics

Quant Analytics

Do you use anti Martingale money management for trading

Do you use anti Martingale money management for trading

This is how Sholom B does his money management. Anyone out there use the same?

http://www.investopedia.com/terms/a/antimartingale.asp

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Option Trading for Extreme SPX index Volatility Environments Meetup playback

Option Trading for Extreme SPX index Volatility Environments Meetup playback

From Sholom B

Details

Option Trading for Extreme SPX Volatility Environments Meetup

 

 

 

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NEW FREE access to Quant Analytics

NEW FREE access to Quant Analytics

Get your access to this new daily service by Registering here 

http://quantlabs.net/academy/index.php?/register/QuantAnalyticsLiteRegistration

 

 

 

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Ffear gauge VIX creator says people don’t understand it as well as they should

Ffear gauge VIX creator says people don’t understand it as well as they should

This came in from Sholom B. I always was told VIS is an aggregate of present moment of average stocks. Implied volatility of any asset class is better since is always forward looking. This is how I would measure any future volatility. Let me know what you think.

https://finance.yahoo.com/news/creator-wall-streets-fear-gauge-101000833.html

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Introducing my Course on Dukascopy Tools and API development for algo forex trading

Description of ReadMe.txt file here

 

Video 1 intro watch me first

7 minute video on introduction of this series

NOTE: Non programmers should skip directly to video 4

Next 2 videos assume you are comfortable with concepts of Java,Python, and Redis NOSQL setup

Video 2 Finally a way to integrate Dukacopy JForex Java with Redis with Python scripting

20 minute video on demonstrating Redis with Java and your potential Python scripts

Video 3 Demo of Dukacopy Jforex with Redis and Python Order Management System potential

90 minute video.

Video 4 Detailed walkthru of Visual Jforex scalping webinar strategy

45 minute walkthrough of Dukascopy webinar. Details for it found here

Video 5 Detailed walkthru of Visual Jforex supply and demand webinar strategy

20 minute video on supply and demand Dukascopy webinar

Video 6 Detailed backtesting demo of Visual Jforex supply and demand webinar strategy

17 minutes long. I will assume non customers will not have access to real time data but you will have access to 10 years of Dukascopy historical data

 

 

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Meet new quant v2 with impact of machine learning and quantum computing

Meet new quant v2 with impact of machine learning and quantum computing

Helpful links from video

https://developer.apple.com/documentation/coreml

http://www.kdnuggets.com/

https://www.youtube.com/channel/UCWN3xxRkmTPmbKwht9FuE5A/search?query=quantum+

https://www.youtube.com/channel/UCdnzT5Tl6pAkATOiDsPhqcg/search?query=burt

 

 

 

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What are various forex trading exit strategies exist

What are various forex trading exit strategies exist

This was posted on my various Facebook outlets

Who is interested in sharing their exit position strategy? What technical analysis indicators do you use? I hear MACD and RSI is most popular combo. I know there is a possibility of using a standard deviation in normal distribution stats as well some form of correlation between convergence/divergence of 2 asset relationship. Let me know if you can with your parameters well. Big thanks

Here are the various answers:

In my experience, using indicators only delays your entry and exits. Personally, I use only Bollinger Bands and that’s all you need but I’ll keep the rest of my strategy a secret if I may!! (still finalising it actually).
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Can use a ATR stop loss. 1.5 -2 ATR. Some use SAR too.
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Can also consider to use swing lows to exit
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Hey Bryan, in my experience , RSI and MACDs (I only use those 2) are only supplementary. I use the best indicator of all: price. Price action is the best . The rest are price’s derivatives. In a nutshell, I use price patterns, trend-lines, horizontal and diagonals. And if it applies I use Fibonacci levels (0.618 and 0.382, +1) . I hope it helps
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As Collin says ATR are good for stop loss or profit taking if you r a day trader . Trading in general depends on your trader’s profile
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I use stochastics if I believe it is a “range market” and if price is forming a range
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This is the Crude chart: https://stocktwits.com/IsaacFigueroa/message/92924489

 

$USOIL Crude is playing with us again (overfollowed) $DWT $UWT $ERX. TA can save you headaches $USO
STOCKTWITS.COM
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And this is a simple strategy for swing trading https://stocktwits.com/IsaacFigueroa/message/92939592

IsaacFigueroa shared an idea on StockTwits
@bertrandmth Bullish: 51.5 -52 . Bearish: 43.5 – 44. I have no position, I will wait for tomorrow @10:30 am
STOCKTWITS.COM
For stop loss standard deviation or ATR. Profit target depends on the strategy objective.
RSI + price and rumours/facts seems to work OK with Crypto…. For an amateur.
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I would be very sceptical about RSI used as an exit strategy because the RSI is a momentum indicator, and why to exit when the market gains a momentum? On the other hand exiting when RSI losses the momentum could be a way to go, BUT RSI is logarithmically scaled indicator so any small retracement in price will look as a huge slowing down of a RSI momentum -> and why to exit just because of a small retracement in price? big nono.

I did exactly what your second paragraph says in my Bachelors work. StdDev and two currency pairs correlation. The problem is that the returns are not normally distributed and so during the summer holidays, a 2 sigma worked best, but during U.S. election the 3 sigma performed best at backtests. If you can predict the volatility, you can then adjust those parameters, but I can’t predict that :/ I tried to use the Hurst Coefficient as it seemed most reasonable to adjust the x-sigma exit strategy and the results were a way better.

Anyway, always the best exit strategy was the ISSL which stands for Industry Standard Stop Loss, for more information visit http://www.forexmospherians.com, it is all there 🙂 Hope it helps man.
http://www.forexmospherians.com/

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Why you are not a quant video

Why you are not a quant video

I just had my video get a comment from this fine person

THANK YOU! I always have to explain to people what an actual quant is but no one ever listens. You might get a laugh out of a video on my channel called, “Why You’re Not A Quant.”

This is my video below but he created this video. Description is:

The word “quant” is now being thrown around casually, but what does it actually mean?

The word ‘quant’ was initially a derogatory term for people in finance that do the in depth analysis of financial products that were considered less valuable than the business people. While the term has become more mainstream, it is still used as an offensive way to stereotype people into buckets and put them down.

It has become somewhat of a buzzword for all industries when looking to hire new employees. These industries are really only looking for someone with basic skills and a very minimal statistical background, however they think what they are doing is incredibly complex. Because companies have started using the term quant more it has lead to many people claiming to be quants when they do not have the statistical background or knowledge.

I suggest everyone stops using the term quant to escribe themselves or positions they are hiring for unless they are looking for a true quant with a very high statistical background and ho works in the financial markets.

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What defines strength of forex trading in real time

What defines strength of forex trading in real time

This was a question i asked online to my groups

What does the phrase a particular CURRNECY strengthen? What sort of indicator or math are at work here? Give me the details.

Here are 2 highly valuable responses I got: (BIG THANKS TO THEM FOR ANSWERING)

Hi Bryan,

You asked about individual currency strengths in the FX market and how they are calculated. There are different types (relative and absolute) and many different ways to calculate them, but I’ll give you a very simple example of absolute currency strength.

I’m sure you’re aware that rate-of-change (ROC) is essentially just the percentage move. Let’s say we are trying to calculate the absolute strength of USD:

  • First we decide on a basket of currency pairs that include USD. For example; EURUSD, GBPUSD and USDCHF. In reality you would consider more than 3 pairs, but I’ll keep it simple for the sake of illustration.
  • Then measure the ROC over some time period, e.g. the past week. That is, take each of our 3 currency pairs and calculate the percentage move over the last week. This could yield 1.1%, -0.4% and 0.9%. Note however that USD is the quote currency in EURUSD and GBPUSD, but is the base currency in USDCHF. This means that we have to invert the ROC values for EURUSD and GBPUSD (since an increase EURUSD or GBPUSD implies a devaluation in USD relative to EUR or GBP, respectively). So the final values are -1.1%, 0.4% and 0.9%.
  • Then take the average: (-1.1+0.4+0.9) / 3 = 0.066%.
  • There we have it, the absolute strength of USD. It can be interpreted as the average move for the past week compared to the other currencies in the basket (EUR, GBP and CHF). So in this example, USD slightly outperformed.

As I said above, this is just a very simple example. In reality you’ll use many more pairs in the basket, you’d calculate the absolute strength for each currency (not just USD) so that you can compare them, you could repeat the analysis for a variety of time periods and you may want to plot the strengths as time series in order to analyse the relationships between the individual currencies. You can also use bounded oscillators such as RSI in order to compute relative strength, and some people advocate the use of the geometric average as opposed to the arithmetic average, or even weighting each currency according to the daily traded volume (a 2% increase in EURGBP is more significant than a 2% increase in EURMXN, for example).

There’s a huge amount of information regarding this topic online, but here’s how it might look once everything has been computed:


As you can see, it offers great insight into how the individual currencies have been/are behaving, something that is not immediately obvious when examining the data of single currency pairs in isolation. In this image, you can see that EUR has been the best performing currency during the past year, and that JPY has been the worst. Hence if you’re a momentum trader you should be looking to go long EURJPY, and if you’re a mean-reversion trader you should be looking to short EURJPY. 

Happy trading!

 

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Hi B, you can use an index for a particular currency to see whether it strengthen or not. E.g. for USD it is DXY. And as all indexes, it is calculated from a basket of assests. In this case it is the basket of currency pairs which is weighted according to its daily traded turnover. You can create your own for every currency out there and to weight it with data from either Bank for International Settlements’ FX Survey 2016 or by a turnover on futures currency market on CME. Then you can play with these values and e.g. add it to 100% scale.

I like to watch the past month particular currency strength and its strength developmnet in this period. U can see the most weakest and the most strength currencies. So you can trade them this way weakest/strength. But as I said it is good to look at the development and as you can see on the pic e.g. USD it is the 3rd most strength currency over the last month, but it is slowly loosing the steam of breaking the highest high point here.

 

 

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New Breed of Super Quant Prep for Wall Street

New Breed of Super Quants Prep for Wall Street

This is just another way of way saying data science is the new quant

https://www.bloomberg.com/news/articles/2017-08-22/wall-street-s-hunger-for-data-scientists-fed-by-new-nyu-ph-ds

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