Category Archives: Quant Analytics

Quant Analytics

Trading Fibonacci retracement of 50 percent level example

Trading Fibonacci retracement of 50 percent level example

A good video on how to use 50% retracement on Fibonacci levels. Use it

https://www.xm.com/technical-analysis-usdcad-struggles-below-50-0-fibonacci-bearish-correction-mode-in-progress-72567

 

This is helps in my analytics for automated trading

Deep dive analysis of close to 100 Dukascopy trading instrument with Bitcoin

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Cryptocurrency and Algo Trading Infrastructure with Python webinar video playback

Cryptocurrency and Algo Trading Infrastructure with Python webinar video playback

Cryptocurrency and Algo Trading Infrastructure with Python webinar tonite

 

 

First this is a reminder about our next social Meetup on April 2 at 7 PM EDT in Toronto

 

 

 

Tonight is reminder about talking about the upcoming new course. There are recently posted videos below.

 

Here is the description:

 

 

 

 

COURSE NAME – Cryptocurrency and Algo Trading Infrastructure with Python: A Practical tutorial for Python developers

 

Discover the secrets behind trading infrastructure components, high speed in-memory NOSQL database options, cryptocurrency exchanges and simple technical indicators, and more. And use the same techniques in your Python code.

 

OVERVIEW – As Bitcoin ruled the financial news cycle in recent times, many have had a peak interest in cyrpto currency along with systematic trading. There are many advanced trading research techniques including machine learning, AI, or quant.   It is very hopeful any student will become more confident in their capabilities to complete this without the unnecessary complexities that usually hold back their success.

I will be holding a live Q&A/Presentation tonight at 7PM EDT (same as NYC).

You are invited to a Zoom webinar.

Topic: Python algo trading system with Bitcoin an crypto currency overview

Please click the link below to join the webinar:

https://zoom.us/j/574479815

Or iPhone one-tap :

US: +16699006833,,574479815# or +16465588656,,574479815#

Or Telephone:

Dial(for higher quality, dial a number based on your current location):

US: +1 669 900 6833 or +1 646 558 8656

Webinar ID: 574 479 815

International numbers available: https://zoom.us/zoomconference?m=zrBXTaEby6bD81Q2hevDPAIpZlwB6X8G

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Webinar: Python algo trading system with Bitcoin an crypto currency overview

Webinar: Python algo trading system with Bitcoin an crypto currency overview

Let’s chit chat about this course I have created.

Here is where you can find the outline.

This can be found here with a detailed video below
http://quantlabs.net/blog/2018/03/new-course-building-python-algo-trading-system-with-bitcoin-an-crypto-currency-focus/

Zoom.US info details below. I am thinking of streaming this on my Youtube channel at Youtube.com/quantlabs at this time instead of the Facebook group.

 

You are invited to a Zoom webinar.
When: Mar 26, 2018 7:00 PM Eastern Time (US and Canada)
Topic: Python algo trading system with Bitcoin an crypto currency overview

Please click the link below to join the webinar:
https://zoom.us/j/574479815

Or iPhone one-tap :
US: +16699006833,,574479815# or +16465588656,,574479815#
Or Telephone:
Dial(for higher quality, dial a number based on your current location):
US: +1 669 900 6833 or +1 646 558 8656
Webinar ID: 574 479 815
International numbers available: https://zoom.us/zoomconference?m=zrBXTaEby6bD81Q2hevDPAIpZlwB6X8G

 

Thanks

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Deep dive analysis of close to 100 Dukascopy trading instrument with Bitcoin

Deep dive analysis of close to 100 Dukascopy trading instrument with Bitcoin

Here I put together a 2 + hour video to focus on REAL WORLD market deep dive analysis. I cover asset classes including commodity (with Bitcoin), forex, and equity of indices/ETF. I go through all instruments covered to show breadth of how diverse these are. There are a total of nearly 100 instruments to watch.

Most instruments which have been trending over the years clearly demonstrate they are getting tired.

There are some other instruments showing potential using all the indicators I have talked about recently. Here is where the video is.

Dukascopy instrument list being watched

These are named as according how they are found in the Dukascopy Jforex trading platform. The non forex are always CFD product as explained in the video.

Major commodity

BRENT.CMD/USD,

BTC/USD,

COPPER.CMD/USD,

XAG/USD,

XAU/USD,

GAS.CMD/USD,

TLT.US/USD,

JNK.US/USD,

Indices and ETFs (Equity)

CME.US/USD,

DEU.IDX/EUR,

DB1.DE/EUR,

DIA.US/USD,

EEM.US/USD,

EFA.US/USD,

EMB.US/USD,

ESP.IDX/EUR,

EUS.IDX/EUR,

EWH.US/USD,

EWJ.US/USD,

EWW.US/USD,

EWZ.US/USD,

FRA.IDX/EUR,

GBR.IDX/GBP,

IBB.US/USD,

IJR.US/USD,

 

IVW.US/USD,

IWM.US/USD,

IYR.US/USD,

JPN.IDX/JPY,

LSE.GB/GBX,

SPY.US/USD,

USA30.IDX/USD,

USA500.IDX/USD,

USATECH.IDX/USD,

VEA.US/USD,

XLE.US/USD,

XLF.US/USD,

XLI.US/USD,

XLK.US/USD,

XLP.US/USD,

XLU.US/USD,

XLV.US/USD,

XLY.US/USD,

XOP.US/USD,

 

Forex

AUDJPY

AUDCAD

AUDCHF

AUDNZD

CADCHF

CADHKD

CADJPY

CHFJPY

EURAUD

EURCAD

EURCHF

EURDKK

EURGBP

EURHKD

EURJPY

EURNOK

EURNZD

EURSEK

EURSGD

EURUSD

GBPAUD

GBPCAD

GBPCHF

GBPJPY

GBPUSD

NZDUSD

USDCAD

USDCHF

USDDKK

USDJPY

USDMXN

USDNOK

USDSEK

USDSGD

USDZAR

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

New tutorial videos for my new technical analysis system

New tutorial videos for my new trend following system

I have decided to put up a new consolidated page of how my trend following / technical analysis system works. This will be part of the new foundation for all up Quant Analytic members. Full access to all of 8 tutorials are available for my Analytics and Elite Course members to explain how to interpret these various charts.

Details of each video is below which can be found in my Analytic Video Tutorial section. If you are a member, just login in here.

If you are not a member, do respond to this email to set up details on how to get acesss, I will also mention this is not free since it is a monthly cost. I am preparing new videos and marketing material to introduce the new services.

New LIVE intensive workshops coming for Saturdays

Note that in coming weeks, expect new marketing and ajustments to the website to reflect these feature additions. I will also be detailing on the upcoming courseware which appears to be for Saturdays. Thanks to all who participated in my survey I posted yesterday.

Real world market LIVE 2 hour assessment video

This is just a sampling of a real world assessment of the nearly 100 instruments including forex, stock, and commodity. This include Bitcoin as well. Note that these are CFDs which are most people except living in the USA. Also remember that the market data is from Dukascopy out of Switzerland.

Here are the video tutorial headlines:

 

Intro to trend following technical analysis system with tutorial videos

Please watch each in the order presented for max learning

(Helpful links from the various videos below)

Intro to trend following technical analysis system

Overview of detailed techncial analytics tools and history

Trendline guage high level instrument selection for trading opportunity

Fiboanacci Retracement levels to price for entry or find historical value

How use moving average cross to confirm market entry exit condition

Can stats be useful in helping determine trading potential

How to use Excel data to confirm your trading opportunity

How portfolio optimization can help in determining expect return

Thanks Bryan

Updated statistical analysis on many forex pairs

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

quant and machine learning useful after this trading backtest

 

 

Is quant and machine learning useful after the test? I made a 35 minute video to showcase my latest results of this forex trading strategy. It uses the combo indicators of moving average cross, statistic number of positive daily returns, and trend. This combo of indicators can be helpful as explained in the video.

NOTE: I have scheduled a webinar to be discussed about this topic. Please find the details below. 

It seems that there is a heavy reliance on these for ‘bottoming’ process or testing of flat lining for breakout potential.

Trade like the Pros

I tried to simulate someone like NicTrades later in my video to showcase potential moves with lower trending currency pairs. In short, it seems everything is about perfect timing. You would use all the mentioned indicators as a set of tools to measure timing and historical value of the price. The idea is obviously to capture breakout opportunities for escape volatility return.

It is time to get into the mind of an institutional pro to see how they decide and filter out the trading opportunities. So the struggle continues….. I find NicTrade is a good analyst to watch to see how it is done.

Overlay with fundamentals?

Some will say the fundamentals are not useful. For instance, you could use central bank guidance and trading/econometrics forward looking date to get currency bias on certain countries. I have many scripts ready to overlay. I just need to get a predictable methodology using the technical analysis.

Is Quant and Machine Learning helpful at this point

Some may argue that quant and machine learning techniques may help in this area. I agree but when you do not have a solid foundation, you will even harder times to forecast the markets. I really don’t want to go down these paths of quant or ML is much harder to figure out.

 

 

Scheduled webinar info

Hi there,

You are invited to a Zoom webinar.
When: Mar 19, 2018 7:00 PM Eastern Time (US and Canada)
Topic: quant and machine learning useful after this trading backtest

Please click the link below to join the webinar:
https://zoom.us/j/556419907

Or iPhone one-tap :
US: +16699006833,,556419907# or +16465588656,,556419907#
Or Telephone:
Dial(for higher quality, dial a number based on your current location):
US: +1 669 900 6833 or +1 646 558 8656
Webinar ID: 556 419 907
International numbers available: https://zoom.us/zoomconference?m=qWa8YsDmCbVsahKNI0p7Ejnd9JYqUR_a

Add OHLC Bar Data To Your Algo Strategy

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Stock market show how to deploy capital daily for max return with each your asset class selection

Stock market show how to deploy capital daily for max return with each your asset class selection

Proceed with caution

Note that the results could be bug ridden. I just want showcase how deploying capital is important for potential max return. This is all driven by the analysis in order to get these type of returns.  The scripts that generate this data are still under development.

 

Combining best performing forex pair should hugely increase your expected return and Sharpe Ratio

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

tensorflow machine learning standard option for algo trading but there is simpler options

tensorflow machine learning standard option for algo trading but there is simpler options

 

Various links below show simple ways to use linear regression with R Squared. It then evolves into using SciKitLean Python Package which is relatively simple but could be effective if you are just after R Square to measure strength of the trend.

towardsdatascience.com/simple-and-multiple-linear-regression-in-python-c928425168f9

blastchart.com/Community/IndicatorGuide/Indicators/LinearRegressionRSquared.aspx

premium.working-money.com/wm/display.asp?art=340

This next link offers a look the complicated TensorFlow Model Library from Google. This is the definite standard defacto in the financial industry. I know this when I saw samples used by high end HFT shops with their workshops for the Newsweek AI conference in NYC last Nov.

Set stock data target with https://medium.com/mlreview/a-simple-deep-learning-model-for-stock-price-prediction-using-tensorflow-30505541d877 <– TensorFlow complex but offers many options

I will also say that TensorFlow offer the most choice. See below a tip below from someone in my private Telegram group. This could save you loads of time instead of wasting time by going down rabbit holes.

For crypto use, https://dashee87.github.io/deep%20learning/python/predicting-cryptocurrency-prices-with-deep-learning/

Note that this uses Keras which obviously simpler than TensorFlow. I would probably move towards TF as I get deeper into this.

Here is that useful tip:

My quick-fire tips: in general I’ve had more success constantly-retraining the ML models (every day in your case) as opposed to the usual train/test/validate method. Either that, or use ML models that are specifically designed to capture the time-varying properties of time series (these models can usually be updated in an online fashion). Never used raw prices as inputs—there is so much autocorrelation in the features that the predicted price will just end up being the last close. Instead use returns (I prefer logarithmic returns over simple returns, but it doesn’t make much difference).

Try to use a target that is directly related to the outcome of a potential trade. If that is too complicated, try having separate targets for direction and volatility. I prefer regression algos to classifiers. If possible, require that your model predicts opposite scenarios for both a long and short trade; e.g. it predicts a long trade will make money *AND* a short trade will lose money, and vice-versa. Avoid neural networks when you’re just starting out – there are too many hyperparameters to tune. Ensemble methods are fantastic, and can be very profitable

Here is my conclusion:

If you are like me just trying to figure out general trend through LSR and R-square, I tend to use these for now. As a result, I may use the SciKitLearn example for simplicity but stop there. I really don’t want to go down the various rabbit holes to experiment with more complex ML libraries. I see no reason compared to the recent sub minute study/reseach/playing around experiment at the sub minute level I started back in Dec which became a time waster with no results.

 

For those keeping track, if you don’t want to use Python with TensorFlow there is a simpler C++ option

https://tebesu.github.io/posts/Training-a-TensorFlow-graph-in-C++-API

 

This is the simplest so far but which started this whole level of research

https://stackoverflow.com/questions/893657/how-do-i-calculate-r-squared-using-python-and-numpy

You can see how simple stuff turns complex

 

Williams % and Stochastics most reliable Matlab technical indicator

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Combining best performing forex pair should hugely increase your expected return and Sharpe Ratio

Combining best performing forex pair should hugely increase your expected return and Sharpe Ratio

Proper metrics under proper conditions

The first little bit talks about the combination. I have tested this on multiple time frames but usually find these 2 best performing currency pairs historically will give you highest expected rate of return and expected Sharpe as well.

Note that there is a gap of blackness in video so just wait to see the detailed analysis.

Do realize that this technique can be applied to any asset class universally.

If you are interested in how the Portfolio Optimization, I have various videos that showcase this 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

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

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!