Category Archives: HFT High Frequency Trading

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)
+16465588656,,390440539# US (New York)

Dial by your location
+1 669 900 6833 US (San Jose)
+1 646 558 8656 US (New York)
Meeting ID: 390 440 539
Find your local number: https://zoom.us/u/ac8lNIa1ua

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!

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!

C source code and research paper from rentech

No joke. C source code from a employee in 2001 in Rentech. I also found a bunch of research papers from another researcher at the firm. This is of James Simmons fame

As a tip, just follow these research names of RenTech via Linked In. This shows what kind of projects they worked on before joining the hedge fund.

Some RenTech employees come MIT, Harvard, Yale, and Stanford. Just so you know. See some these links here:

https://quantlabs.net/blog/2019/02/c-source-code-and-research-papers-from-renaissance-technologies/

Python Infrastructure GOING UP in the next few days

 

Consider this a warning a the course was completed Monday night. I am speaking about the Python Infrastructure Building Block for Algo Trading! As a result with the juicy content, I have decided to retail this course at $1197 within the next few days. If you want to take advantage of the $250, now is the time.

Go here if interested in learning

https://quantlabs.net/academy/python-algo-trading-infrastructure-with-crypto-currency/

 

This will be utter last chance to learn at this rate!

Quant Analytics Goes up as well

I am also working on the Analytics service as well. It will be increasing in price from $97 to $125 per month with new annual and semi annual discounted bundles. Crypto payments are accepted as well for the bundles as well

Go here if you want optimize your trading for Cryptocurrency, Forex, and CFD

https://quantlabs.net/academy/quant-analytics/

Thanks Bryan

 

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!

Battling AI algorithm tested on a quantum computer for first time

Battling AI algorithm tested on a quantum computer for first time

Someone even stated that Renaissance Technologies has been testing this for 2 years. What do you think? Here is the article. Is this reading for algo or high frequency trading?

https://www.newscientist.com/article/2191929-battling-ai-algorithm-tested-on-a-quantum-computer-for-first-time/amp/

Crypto Currency Real Time Trading Signals Risk Taking

I got this email from someone:

Is it a Paid trial? or will you be sending test signals first and then charging subscription fees?

The thing is I am interested in the service but depending on the price as the dollar prices have been fluctuating a lot lately in my country. The price of $ went 30% up and that is why I only spend money on software and services which I am certain will be a good investment.

I made a video response here

 

 

Signals are still working quite nicely. Over 22 hrous, 22 positions had a 82% win ration and trading return of 2.029%. Not bad for this strategy. All the big crypto coins are still negative with the exception of Litecoin.

Just remember I will be releasing these trading sigals in coming days. If interested, get the details here

https://quantlabs.net/blog/2019/01/crypto-currency-real-time-trading-signals-now-working/

Thanks Bryan

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 makes a fascinating research observation and offers an opportunity

 

Hello Fellow Traders,

We are currently developing trading models for various trading programs with our new product Ranger. By the way, we use the same version of Ranger that we license to our clients.

Our development process starts with the most simple strategy variant and then proceeds through various layers of complexity.

At its most basic, Ranger can be configured as a basic range breakout strategy. Consider the following results. We tested this range breakout variant through our proprietary walk-forward analysis (WFA) matrix on NASDAQ futures from 1-1-2007 through 12-31-2017. The performance for the Walk-Forward Analyses produced the following results – the total for all WFAs was a loss of $385,410 with an average WFA loss of $35,037. Not terribly inspiring to say the least.

However, having confidence in our trading technology and research methods we “slogged on.”

Next step. Consider, then, the same strategy and variable range with the application of one of
our proprietary filters. That same WFA matrix produced a profit of $629,850 and an average gain of $57,259.

What a difference a filter can make! That particular filter is our proprietary Trend Indicator. This indicator can tell us, among other things, when a market is quiet. The results above are the difference between an unfiltered range breakout and a range breakout from a quiet state.

Ranger is an EasyLanguage program which runs in TradeStation. Locked it is $2,500 and unlocked $5,000. Trend Indicator is one of three proprietary indicators which are included with the unprotected version.

If you would like to put Ranger to work for your own trading email me at rangerql@pardocapital.com for further information. The included Tutorial will have you up and producing trading strategies immediately. Ranger also includes six finished and tradable stock index strategies which can get you started. They are actually quite good and more than just “starters!”

Wishing you a prosperous and fulfilling 2019!


Warm Regards,

Bob Pardo

p.s. Be sure to ask about the limited time discount for QuantLabs.net clients.

p.s.s. Also be sure to check out my YouTube interview with Bryan Downing.

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!

Get Real time Trading signals for highly lucrative Bitcoin cryptocurrency bot

Hi

I have put together a new announcement for those who are wanting to get real time trading signals to this lucrative crypto currency bot. This is an experiment for the risk taking few. It will not be cheap nor free. This will only be for those that are serious about being successful in the future of money. We call it crypto currency and alternative coins.

You will get access to the new private/anonymous/secure trading secure chat as well for LIFE!

Interested in this? Click here to get put on the waiting list when I announce when ready\

CLICK ME AS I AM INTERESTED IN YOUR BOT TRADING SIGNALS

I have a 4 minute Facebook live describing this here.

For this price, you will get access to 1 month of the ELITE service which include ALL my courses. You also get access to the current course underway for Python Algo trading. This ends third week of Feb.

More and more….

Watch the video here.

I think I need to stay away from posting these kind of returns since Thursday and yesterday, Sunday. Yes, it added a lot more today.

SEE THE LATEST TRADING RESULTS

As you can imagine, I am getting skittish on posting any more of these so I may just focus on winning ratios from here on out. Yes, I will building out an equity curve and tear sheet for the performance.

I wonder why the capital allocators are coming to me now. I wonder. Hmm….

Could this be the near ending of the line for my educating y’all over the last near ten years? I wonder ? (I don’t think so but it does cross my mind over the last few weeks)

 

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!

MOTIVEWAVE trading custom build can connect to Redis NOSQL with IQFeed

Man, this is a dream come true for an Apple Mac user. Actually this is huge.

As we can use:

1. IQFeed market data provider to pretty well anything in the markets

2. Motive Wave custom built sent out by the vendor team to make this happen. It can talk to Redis NO SQL as your data hub.

3. New Redis 5 has streaming capaibilities.

This combo is now deadly to give you amazing algo trading edge !! This is why I am starting to believe 2019 is going be a very exciting and innovative year with crypto currency. Are you ready to jump aboard ?

Here is a 20 minute to explain all this

Here is the ELITE service I speak of towards the end of this video

Introduction to Quant Elite Membership

https://www.motivewave.com/

http://iqfeed.net/

https://redis.io/topics/streams-intro

 

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!