Tag Archives: option

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

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Option Trading for Extreme SPX index Volatility Environments Meetup

Option Trading for Extreme SPX Volatility Environments Meetup

This Monday Sep 18 at 7PM EDT 

Presenter is Sholom Benzev

Option Trading for Extreme SPX Volatility Environments

1) Long Term VIX and SPX Behavior.

2) Why a High Volatility Environment could be coming soon.

2) Low Volatility Option Trading Strategy with SPX Spreads.

3) High Volatility Option Trading Strategy with VIX Puts.

4) When not to trade Options / When alternatives (Long Stock/Long XIV) make sense.

5) 2016 P&L Results and Equity Curve.

6) What you need to know to succeed in Extreme Volatility Option Trading.

Get Login Details here
You can also preview videos on my video series for both programmers and NON programmers who want to get into automated Forex Trading.
Here is a new course available for those NON programmers who want to do algo forex trading with Dukascopy.
NOTE that this is for NON programmers/technical folks details from the READ ME Doc here: http://quantlabs.net/blog/2017/09/new-course-on-dukascopy-visual-jforex-for-non-programming-to-do-algo-forex-trading/
Dukascopy Visual JForex for NON programming to do algo forex trading
Dukascopy Visual JForex for NON programming to do algo forex trading
$47.00
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For programmers

Dukascopy Tools and API development for Algo forex trading Here is the 6 video descriptions of this video series. I am moving towards this retail forex broker so I learned this toolset and API. This is the results in this README file with video time lengths. http://quantlabs.net/blog/2017/09/new-course-on-dukascopy-tools-and-api-development-for-algo-forex-trading-2/
Dukascopy Tools and API development for Algo forex trading
Dukascopy Tools and API development for Algo forex trading
$47.00
View
Also I’d like to thank all the recent folks that have joined my free Quant Analytic Life service. I will be releasing more promotional material in coming weeks on this new membership.
Register for the FREE Quant Analytics Lite Membership

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Option Trading for Extreme SPX Volatility Environments Meetup

Option Trading for Extreme SPX Volatility Environments Meetup

This Monday Sep 18 at 7PM EDT 

Presenter is Sholom Benzev

Option Trading for Extreme SPX Volatility Environments
1) Long Term VIX and SPX Behavior.
2) Why a High Volatility Environment could be coming soon.
2) Low Volatility Option Trading Strategy with SPX Spreads.
3) High Volatility Option Trading Strategy with VIX Puts.
4) When not to trade Options / When alternatives (Long Stock/Long XIV) make sense.
5) 2016 P&L Results and Equity Curve.
6) What you need to know to succeed in Extreme Volatility Option Trading.

Hi there,

Bryan Downing is inviting you to a scheduled Zoom meeting.

Topic: Option Trading for Extreme SPX Volatility Environments
Time: Sep 18, 2017 2:00 PM America/Toronto

Join from PC, Mac, Linux, iOS or Android: https://zoom.us/j/270765367

Or iPhone one-tap :
US: +16465588656,,270765367# or +16699006833,,270765367#
Or Telephone:
Dial(for higher quality, dial a number based on your current location):
US: +1 646 558 8656 or +1 669 900 6833
Meeting ID: 270 765 367
International numbers available: https://zoom.us/zoomconference?m=Jj0mKJxCnP-SRpAvPcyZqMn3ozepN21M

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Manage Complex Option Portfolios Simplifying Option Greeks

Manage Complex Option Portfolios Simplifying Option Greeks

Umm…this is a strange combination but i have seen stranger

 

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Which days work better for our make up workshop for our option futures trading course ?

Which days work better for our make up workshop for our option futures trading course ?

Here is the survey to poll for which days work for you

Go here https://www.surveymonkey.com/r/X85X2BF

I would also like to mention I am thinking of doing a variety of ‘make up classes’ to make up for the missed tutorials in my Future/Options strategy. This includes critical topics of:
Optimal Hedging
Options on futures    
Options examples continue
Additional Options concepts with comparison to Futures    
Option pricing more examples    
Call put parity
Options trades

Coding samples will be offered in a combination of Python and C++.

I will need to do this on a Saturday only so I am trying to find out if those want it on Jan 14 or Jan 21. This will need to start early 9AM EDT.  Let me know what works for you.

This will be available to all my Quant ELITE members.

Not a member, join now!

Thanks Bryan

P.S. If you are interested in this mini workshop, I would strongly recommend to jump on this AS SOON AS POSSIBLE to properly prepare for these topics if you are unfamiliar with them.

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 nuclear open source HFT option

My nuclear open source HFT option

I must say this new open source Open HFT framework is pretty impressive where i can get it running out of the box. That is an accomplishment in itself as many other frameworks cannot cleanly build most of the time. I hope to extend this into my own infrastructure. As I go through the code base, I found this reference in how my NOSQL option of Redis is considered ‘slow.’ To be honest, that baffles me.

See my video on why I think this frameworks is like nuclear option for doing HFT like analysis

I also took a look at how my trading ideas and strategies are quite simple. They should fit nicely in to this framework. When I look at ATR to measure my exits out of trading pairs, these projects have many options to ensure to make it really fast. Just go through the project’s source as I am doing lately.

Saturday was the day I pulled my Interactive Brokers API workshop.  This will disappear for a while but will come back as a standalone expensive course that I will release which coincides with the release of my new Analytics service in a couple of months.

I will be eventually  be pulling my Python Infrastructure Building Blocks course as well. This focuses on introducing you to how to build a primitive algo  trading system. I am not sure on the hard date yet I will be removing this as well. As for now, it is part of my Quant Elite service which will also get closed down permanently as I move everything into the new Analytics service for 2017.

Thanks Bryan

P.S. Are you part of my Facebook programming group? There is lots of action going on it where we can all learn about software development in this exciting field.
Join here https://www.facebook.com/groups/quantlabsnet/

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!

My nuclear open source HFT option

My nuclear open source HFT option

I go over this open source HFT project

This line baffles me:

Replacing slower key-value stores, like Redis and Memcached, when used within a single server.

https://github.com/OpenHFT/Chronicle-Map

Ever use this Open HFT open source Java project?

Join my FREE newsletter to learn more about if I use this framework for automated trading

 

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Option valuation with stochastic stats book

Option valuation with stochastic stats book

Pretty good content in this book but with the amount of math, you definitely need to automate this at scale. As for stats, it is agreed to use for just 1 of many ways to confirm your entry or exit. They will not generate trading ideas. so use this as one of many ways to confirm trading ideas but not generate them.

Thanks to Sholom for sending

Latest Book

http://financepress.com/wp-content/uploads/2016/06/Lewis.Vol2_.TOC_.pdf

Join my FREE newsletter to see how you can code up these ideas into your automated trading

 

 

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#LinkedIn Iron condor #Option #Trade involves one put spread and one call spread

Iron condor involves one put spread and one call spread

[igp-video src=”http://quantlabs.net/blog/wp-content/uploads/2016/06/LinkedIn-Iron-condor-Option-Trade-involves-one-put-spread-and-one-call-spread.mp4″ poster=”http://quantlabs.net/blog/wp-content/uploads/2016/06/LinkedIn-Iron-condor-Option-Trade-involves-one-put-spread-and-one-call-spread.jpg” size=”large”]
#LinkedIn Iron condor #Option #Trade involves one put spread and one call spread

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Option for front end HFT trading design: what would you do it in?

Option for front end HFT trading design: what would you do it in?

This was posted in my Facebook group so pay attention is this will be the only place you most likely will be able to interact with myself:

 

https://www.facebook.com/groups/quantlabsnet/

 

Answer this survey below at the above Facebook group.

Hey all, i have dumped MonkeySurvey which is getting bad so this is the only area I will do a valid survey. Questions is: As an option for front end HFT trading design, what would you do it in?

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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!