I just kicked off my first open source project for this Deutsche Bank Forex Strategy on GitHub

(Last Updated On: September 11, 2014)

I just kicked off my first open source project for this Deutsche Bank Forex Strategy on GitHub not SourceForge. Details of this are at the end:

 

 

This history:

 

I have spent many years looking at various technical trading platforms and trading components as in charting, etc. Now is the time to actually code a real world trading strategy so I intend to use this as a roll model to generate these trading ideas. I am hoping these trading ideas will involve quant analysis.

To start:

Use the PDF from http://stats.lse.ac.uk/kalogeropoulos/LD_1103.pdf#sthash.zOxvHOUY.dpuf as a reference. No comments or further support will be provided once my workflow goal is complete. See below for these workflow details.

Rationale of this project:

There will be more wrong than right in this project as it is strictly for learning to reverse engineer a real world research paper from the banking industry. This is not to include items like charting or trading execution. I am not interested in the performance of this strategy either. As a result, I keep critics, haters, and trolls at bay. This is just to keep this process transparent no different than using an open source software project model. I just hope people will contribute to make this project/process better and even correct. If you fork this, please let me know so I can further learn from your work.

Why Mupad and Matlab for myself?

I find these tools make me more productive and get ideas coded faster as compared to open source language alternatives. This is not to be a technical flame war but this is just a personal preference. I can also extend Matlab scripts faster into other languages (i.e. Java, ..NET, Excel, C, C++, HDL) fastest via Simulink and Matlab Builder tools. Do searches for my research on these tools at https://quantlabs.net/blog/ or https://www.youtube.com/user/quantlabs

I am also using this project as a test to my trading idea research workflow of:

https://quantlabs.net/blog/2014/05/new-visual-and-rapid-workflow-from-db-forex-trading-strategy-to-matlab-to-c-c-or-fpga-for-lowerst-latency-hft-deployment/

As a result, I am trying to ‘rapidly’ generate an algorithm with Mupad, generate custom M scripts, and implement into a systematic model with Simulink and Stateflow tools. Once complete, further code can be generated to C++, C, or even HDL (for potential FPGA deployment e.g. Verilog)

Where do go from here ?

Once I can deploy a trading model/strategy into C++ or C, I can generate Dynamic Linked Libraries (DLLs) or libraries into my various trading components I have at http://quantlabs.net/academy/ via my courses and memberships.

The files

The initial file package version includes my experimental Mupad Notebooks with generated Matlab M functions. These are definitely incomplete but will be updated as I correct them. There are 5 subfolders based on the Theories explained in the reference PDF from Deutsche Bank. I have also included note files for each folder.

I hope this helps everyone and including myself,

Thanks Bryan

P.S. All my files are at this link:

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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs