Strategy notes on the quant math behind this Deutsche Bank Forex FX and commodity trading strategy

(Last Updated On: September 12, 2014)
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strategy notes

Strategy notes on the quant math behind this Deutsche Bank Forex FX and commodity trading strategy

Here are ny strategy ‘special’ notes thus far on this strategy:

These are just introductory as I dig deeper understanding the relationship of all this data. A lot of it is based on ‘measurement theory’ which is something I have never seen before but could be useful for market forecasting. It is a form schochastic calculus where some say it is useless. I cannot judge as I am new to this.  This stuff is based around my the Deutsche Bank FX strategy listed here:

Note that these notes are a running list as I learn how to implement and could be wrong as I proceed.


Is sigmav not the same as traditional theta found in trigonmetry? I assume yes so need to calculate as curve is generated. If so, calculate theta angle no different as explained in

NOTE: Tau is defined as the switch point/change point where the regime STATE switches between up, down, and sideways. See figure 2 pg 13.

s is also the time point between 0 and t that decides the switching regime


Girsanov theory explained here with measurement theory:


To remove the mean, µ, of a Brownian motion, we define

***This is best explained in the link above. As referred to the image of, we are calculating different paths of the random processes,

Note relationsship of

For a 0 drift process, hence no increment, the expectation of the future value of the process is the same as the current value (a laymen way of saying that the process is a martingale.)

Also refer to


For Ito’s theory process (Theory 4),

Martingdale as Stochastic process in which the expected value of an observation (which is conditional on all previous observations) at any stage is equal to the last of the previous observations.

Read more:


–> Use crossvalind Generate cross-validation indice

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!
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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