Category Archives: HFT High Frequency Trading

Coaching and LIVE trading signal service survey

Help us tweak this new service if you are interested in get coaching or live signals

https://www.surveymonkey.com/r/YRXTRVB

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!

HFT Renaissance Technologies legend James Simons now on Wikipedia

Facebook comments about this person who runs one of the most successfully technologies driven algorithmic based hedge funds

The benchmark of all quants

God of Quantitative Finance

https://en.m.wikipedia.org/wiki/Jim_Simons_(mathematician)

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!

Where to bet in your asset algo trading video playback

Here is an 1.5+ hour video I hosted earlier today. It seem I covered many topics ranging how CFDs can help you see value in other asset classes to detailing long/short and bid/ask deep analysis for crypto and forex asset classes. It is quite a set of wide ranging topics that cover all product/services I promote.

Do realize I do this live pretty well every week which very few educators do for their customers. This is a typical live session I keep private for all my paying customers. I hope you get some benefit from it.

These are made available for my Quant Elite folks

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!

Do pivots work for forex trading. How about cryptocurrency?

I will testting out pivots to see if this works as trading timing indicator. Do you think this will work with these red and green dots? Once a position is put, it will wait it out of for red dots after the entry. It will also be combined with the usual rate of change percentage moves and long vs short position on the particular pairs. This will be able to able confirm down moves with all 3 indicators. Do realize these pivots are not 100% accurate but may be useful combined with the other indicators. I may report back to see how this works. If it does, I will apply to the crypto currency bot as well.

Update: You need to ensure the up and down threshholds need to be accurate. One way to do this is use the min and max of rate of change of your time series. This is before calculating your pivots.

 

 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!

Bob Pardo Returns LIVE Apr 2 10:30

IMPORTANT NOTE:

NOTE: BOB PARDO WILL NOT BE PRESENTING TOMORROW! Please note I will still be available showcasing if anyone is interested with the same Zoom.us login info!

 

Tuesday, April 2, 2019 at 10:30 AM – 12 PM
Bob Pardo Returns LIVE

ONline via Zoom.us
Hosted by QuantLabsNet

Bob Pardo will return with some demos of his software Ranger. This will be live only on my Zoom.us link I will provide here in the comments.

Login in details will be posted here

https://www.facebook.com/events/1137846456377230/

Zoom.US Login info

Bryan Downing is inviting you to a scheduled Zoom meeting.

Topic: Bob Pardo
Time: Apr 2, 2019 10:30 AM Eastern Time (US and Canada)

Join Zoom Meeting
https://zoom.us/j/390440539

One tap mobile
+16699006833,,390440539# US (San Jose)
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Dial by your location
+1 669 900 6833 US (San Jose)
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Meeting ID: 390 440 539
Find your local number: https://zoom.us/u/ac8lNIa1uaNOTE 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!

probability of a loss secret sauce tricks of Renaissance Technologies HFT masters

 

Sweet Mama. This is the closest I have gotten to this secret sauce eof Ren Tech black swan risk and probability of a loss tricks

From someone who knew all the founders of Ren Tech:

I have known Jim Simons, Bob Mercer and Peter Brown since 1965, 1974, and 1979, respectively.  Renaissance has also hired senior researchers who had formerly worked for me for years.  None of these people has ever told me anything about Renaissance’s investment strategies.  My observations below have been obtained entirely from publicly available records.

In particular, the core strategy is publicly known.  It’s the details that are proprietary.  There are millions of details, and they are essential to the performance.  However, the question was about strategy, so that is what I will try to answer.

The core strategy is portfolio-level statistical arbitrage carried to the limit and executed extremely well.  Basically, portfolios of long and short positions are created that hedge out market risk, sector risk and any other kind of risk that Renaissance can statistically predict.  The extreme degree of hedging reduces that net rate of return but the volatility of the portfolio is reduced by an even greater factor.  The standard deviation of the value of the portfolio at a future date is much lower than its expected value.  Therefore, with a large number of trades the law of large numbers assures that the probability of a loss is very small.  In such a situation, leverage multiplies both the expected return and the volatility by the same multiple, so even with a high leverage the probability of a loss remains very small.

The general properties of the strategy can be deduced from the statement of Renaissance for the Hearing of the Senate Permanent Subcommittee on Investigations, dated July 22, 2014.  [https://www.google.com/url?sa=t&…

Renaissance collects “all publicly available data [they] can that [they] believe might bear on the movement of prices of tradable instruments–news stories, analysts’ reports, energy reports, crop reports, weather reports, regulatory findings, accounting data, and, of course, quotes and trades from markets around the world.”

Their models “use this data to make predictions about future price changes.”

The hearing was specifically about the Medallion fund, about which the statement says “The model developed by Renaissance for Medallion makes predictions that are profitable only slightly more often than not.”

With these properties, there were two reasons that Renaissance would like to have a call option on the portfolio that it has designed: leverage and protection against Black Swan events.

Leverage is needed because, unleveraged, the rate of return of the portfolio is low.  However, because the volatility is much less than the expected return there is no limit to how high the leverage could be without increasing the probability of a loss, at least according to the models.  Through years of use and refinement, Renaissance knows that its models are very reliable.  However, they also know that there is always the risk of something happening that is not covered by the models, in particular something that is outside prior experience, which is called a “Black Swan” event.

Thus, a call option is ideal: it can provide high leverage and can provide protection both against the very low probability of a loss greater than the option premium and also against the unknown probability of a possibly catastrophic loss due to a Black Swan event.

We know all this because these are the business reasons for Renaissance accepting Deutsche Bank’s proposal of barrier options.  Basically, Deutsche Bank, and later Barclays,  sold the equivalent of a call option to Renaissance on the reference portfolio that Renaissance designed.

Of course, writing an uncovered call on the Renaissance portfolio would be equivalent to betting against Renaissance at high leverage, which would seem to be a foolish thing to do.  The banks covered these options by buying all of the securities in the portfolio.  Thus the bank’s position was equivalent to a covered call.  In other words, the banks’ profits and risks were essentially equivalent to writing a put option, which is a bullish position.  Because the volatility was very low the probability of a loss for the bank was low and the probability of a loss greater than the option premium was even lower.

Except for the Black Swan risk.  The probability of a Black Swan risk is unknown.  Part of the premium paid by Renaissance and earned by the banks was equivalent to insurance against Black Swan risk.  I don’t know if the amounts of the premiums were publicly disclosed.

There were many more details in the statements and the testimony at the hearings.  However, discussion of further details would detract from the important points that I have made above.  In particular, the hearings themselves were about tax issues not about investment strategies.  Renaissance explicitly asserted, under oath, that its “models do not factor in tax rates when making trading decisions.”  Therefore, tax issues, although they might be very important, are not part of the “investment strategy” at least as reflected in the models, so they are outside the scope of this particular discussion.

[Edit (added in answer to a comment):  The reference portfolio was highly dynamic.  There were thousands of  trades per day.  To accomplish this, the banks gave RenTech’s computers  direct access to execute trades through the banks’ trading desks.

This  arrangement was part of what created controversy about what should  be the proper tax treatment for this particular case. However, I am not a  tax lawyer and will not try to analyze those issues.  However, if you  want to hear more details on the automatic execution of the trades, and  questions about how much human interaction was present, that is all  discussed in the live testimony before the subcommittee: [Hearings| Homeland Security & Governmental Affairs]

I have copied this in case the Quora link disappears which is from

https://www.quora.com/What-are-the-investment-strategies-of-James-Simons-Renaissance-Technologies-I-understand-he-employs-complex-mathematical-models-along-with-statistical-analyses-to-predict-non-equilibrium-changes

Notes from Senate hearings include:

https://www.hsgac.senate.gov/subcommittees/investigations/hearings/abuse-of-structured-financial-products_misusing-basket-options-to-avoid-taxes-and-leverage-limits

https://www.hsgac.senate.gov/imo/media/doc/STMT%20-%20Renaissance%20(July%2022%202014)2.pdf

Copy attached just in case that disappears

STMT – Renaissance (July 22 2014)2

Latest videos from the legend Jim Simmons

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!

Anyone use Sentosa HFT C++ project?

Anyone use HFT C++ project?

Some dude sent this to mistaking me for the author. Anyone ever use or try it?

http://www.quant365.com/post/58/#sthash.kaP7SI1J.dpbs

Some video links

http://www.quant365.com/blog#sthash.xa7V1UTT.dpbs

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!