Category Archives: Quant Analytics

Quant Analytics

unrealized pnl auto stop: Van Tharp R vs other lucrative portfolio techniques

 

This was an email on my opinion on trying to code this

This is pertaining to scenarios like this:

Correct it’s Van Tharp strategy. It’s an evaluation for risk to reward when taking a trade based on a return along with position sizing. Do you think this is something you can code in the system for Working with Interactive Brokers API? It’s basically getting interactive brokers to trail an unrealized PNL. So no matter how many positions I decide to buy it would mass sell on market if I lose -$150 but also trail the unrealized PNL by “R” increments to help for 
example:
1. Positions gain +$150 unrealized PNL auto stop  $0.00 for breakeven all trades closed on a market order then lock account for the day.
2. Positions gain +$300 unrealized PNL auto stop +$150 all trades closed on a market order then lock account for the day. 
3. Positions gain $450 unrealized PNL auto stop +$300 all trades closed on a market order the lock account for the day. 
So example 2 would be a 1R and example 3 would be a 2R. The reason for locking the account is to stop over trading and keep tighter restraints on picking the best entry. 
https://youtu.be/KbPt-7sNx2w

R is explained here:

https://www.stocktrader.com/2013/09/14/van-tharp-risk-r-multiples-successful-investing/

This is reference to this book:

https://www.amazon.com/gp/product/007147871X/ref=as_li_ss_tl?ie=UTF8&camp=1789&creative=390957&creativeASIN=007147871X&linkCode=as2&tag=falkininvesti-20

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!

Best Quant Papers of 2018 from Savvy Investor

The Best Quant Papers of 2018 from Savvy Investor

Quantlabs is pleased to be partnering with Savvy Investor, the world’s leading knowledge network for institutional investors. You may wish to consider joining their platform – it’s entirely free.

Find these financial industry paper resources here

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!

The Best Quant Papers of 2018 from Savvy Investor

Quantlabs is pleased to be partnering with Savvy Investor, the world’s leading knowledge network for institutional investors. You may wish to consider joining their platform – it’s entirely free.

Fama and French win “Best Quant Paper 2018”

Savvy Investor curates the best pensions and investment white papers from around the world. Having uploaded more than 25,000 papers since launch, they have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to their institutional investor audience.

Call us sentimental, but we’re delighted to be awarding the Savvy Investor trophy for the best quant paper of 2018 to Eugene Fama and Kenneth French. Unlike some earlier papers authored by this duo, the winning paper is in no way ground-breaking. However, it reminds us all of the nature of equity market volatility, and the implications for long-term investment returns. As the name suggests, it is a “volatility lesson” for professional investors, coming from two of the most respected names in the business.

See the winning papers below, or visit Savvy Investor for the full list of winners and short-listed papers across all 15 categories. 

Best Quant Paper 2018

Volatility Lessons (Financial Analysts Journal – CFA Institute)
In this paper, Fama and French examine the return distribution of equities versus cash over a variety of time periods, and show that the probability of negative equity returns over three and five-year periods is substantial. Interestingly, for longer-term horizons (say 10 or 20 years) there is a marked increase in right skewness and kurtosis. In other words, compared to a normal distribution of returns, the left tail almost disappears and the likelihood of negative equity returns versus cash diminishes substantially. Another key conclusion from the data relates to drawing inferences about future risk premia from observed returns over 3-, 5- or 10-year periods. The duo argue that, due to the high volatility, the evidence from such a “short” time period will be too “noisy” to be reliable.

Robust Asset Allocation for Robo-Advisors (Amundi Asset Management)
Quant researchers from Amundi Asset Management examine the challenges faced by robo-advisors attempting to automate the portfolio allocation and rebalancing process. This is a detailed, complex and formula-rich paper which will appeal primarily to quant managers and analysts involved in portfolio optimization, specifically using a mean-variance approach.

The Correlation See-Saw (Axioma)
The correlation of returns between different asset classes is critical to overall portfolio risk. However, these relationships are not necessarily stable over time. Axioma analyzes the way that shifts in cross-asset correlations impact overall portfolio risk, examining a case study of the first five months of 2018 when there was an unusual pattern of correlation reversals. How should this impact an investor’s approach to risk analytics?

Combining Investment Signals in Long/Short Strategies (Goldman Sachs Asset Management)
This paper examines the best way to combine quantitative investment signals in the context of managing a long-short portfolio. Is it better to create one combined signal, or is it preferable to consider the portfolio exposures indicated by each signal and combine the different exposures? The authors carry out their own empirical study and compare the results with other academic evidence.

If We Don’t Believe Markets are “Efficient”, What Do We Believe? (Winton)
Despite the well-known faults that are inherent in the efficient market hypothesis, it still underpins several prominent investment strategies. The authors of this paper examine an ecological theory that could be more applicable to financial markets.

The Current State of Quantitative Equity Investing (CFA Institute Research Foundation)
In this 74-page paper, CFA Institute Research Foundation reviews the concepts of risk and return, anomalies and the onset of factor investing, as well as the influence of big data on the quantitative equity field.

Pulling the Goalie: Hockey and Investment Implications (Cliff Asness/Aaron Brown)
Harkening back to the 1980 ‘Miracle on Ice,’ the authors build a model to determine the precise time that a hockey coach should choose to pull the goalie when behind. They then apply these lessons to a portfolio management environment.

About Savvy Investor

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 33,000 members from across the globe have registered for the site, with 200-250 new members joining every week.

Savvy Investor allows you to search and immediately find the top white papers on any investment topic, ranked by popularity.

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!

Not much to trade for eve of Dec 4 after US market clobbering

 

For Dec 4, the USA markets took a clobbering with a unknown of the US China trade talks at the recent G20 in Argentina. When you look at the 3 asset classes, it is hard to find what is decent working with. As it stands, Asia has held fairly trong including the indices for Hong Kong, India, and China. Do note that there is still some downside risk as either the charts show no upward momentum or higher probability of whipsaws to go against you.

As said, forex and crypto is just to random at this point to measure which to forecast as there is no form of predictability. I can say that 3-5 PM Eastern Standard Time seems to offer some opportunity in the New Zealand and Australian crosses leading in to those markets that will open. I have seen that for the last few days.

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!

Questions need to be answered for any algo trading coaching or mentoring

Questions need to be answered for any algo trading coaching or mentoring

Here are the questions for you

 
What is your portfolio size?
 
What your specific areas needing to be improved?
 
 
Where are you at so far?
 
What asset class are you interested in?
 
What technology are you using? (eg. software or programming language)
 
 
How far along are you?
I like serious and experienced traders.

Reach out to find more details

Let me know what you think via my social media contact

twitter.com/quantlabs

Or message via https://www.facebook.com/quantlabsnet/

This will be part of my Quant Elite service potentially if there is enough

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!

XLM BTC XRP bitcoin crypto currency pairs only movers among Forex and CFD

I have put up another analysis for the last few hours on the market of Nov 16. It seems crypto is the place to be. In fact, it is very quiet according a few hourly chart on some leading crypto currency pairs. It also shows the last few days, things back on the move for these pairs. As a result, I may rejig the crypto strategy to include all 300+ crypto currency pairs found on Binance instead of just the top 40.

You can join my Quant Analytics service to see how this works

Quant Analytics

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!

Needing one on one help ? Coaching or mentoring for your trading idea?

Needing one on one help ??? Coaching or mentoring for your trading idea?

I am also gauging gauging to see if you need one on one guidance for your trading idea, strategy implementation, or so on. Some called this coaching or mentoring. Let me know right away if interested. I have an offer you may interested in but it will be highly limited since my time is always crunched.

Reach out via social media

Let me know what you think via my social media contact

twitter.com/quantlabs

Or message via https://www.facebook.com/quantlabsnet/

Quant Analytics

 

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!

THIS IS TONIGHT LIVE ON MY YOUTUBE CHANNEL: online charting packages

On: Youtube.com/quantlabs

Starts at 7 PM EDT same as New York City!

I have been somewhat frustrated with these online charting packages found out there. This is for posting on my own WordPress based website. Check out experiences by attending my live session on a discussion on this topic. Here are the details found on my Facebook page event:

My experience with many online charting packages was not good. Find out why. One hint is that Javascript is a a pure pain to work with. This will be streamed live on my Youtube channel at Youtube.com/quantlabs

This is for Monday Nov 12 at 7 PM EDT

See what I am planning to use. I will also make this webinar playback as part of my Python algo trading course.

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

This Mailchimp account closes in 2 days !

Wednesday is the day I will be closing my MailChimp account for you all on this newletter list. I will send 2 more emails as we approach this day.

If you want to carry on learning on my progress, please join on of these lists via my Infusionsoft account:

https://quantlabs.net/mkt/free-trade-like-a-boss-pdf-report/

or

https://quantlabs.net/mkt/7-sure-shot-way-to-consistently-profit-thanks-to-automated-trading/

All your contact info is kept private 

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!

Analysis of impact on exotic forex pair trading with wider bid ask spread

Hi there

Here is the second new videos to showcase the power of my new charts with exotic forex pairs.
I keep hearing about the concern of the spread between exotic forex pairs. I can definitely see this in exotic forex pairs which can impact your profit. We also need to understand the nuances of what impacts increase of the spread

Here is that Oanda live spread tool and video:

 

https://quantlabs.net/blog/2018/11/new-analysis-impact-forex-trading-wider-bid-ask-spread/

Online charting Sucks

I have also set this Monday on a topic that maybe of interest to a few select number of people.

My experience with many online charting packages was not good. Find out why. One hint is that Javascript is a a pure pain to work with. This will be streamed live on my Youtube channel atYoutube.com/quantlabs

I have scheduled this to be live on Monday Nov 12 at 7 PM EDT. There will be no video playback of this since I will make it part of my Python Algo Trading course which will help for potential algo traders.

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

IMPORTANT! This list will shut down in coming days!

I will be closing down my MailChimp account this Tuesday. This means it will no longer be valid as I am porting only the active folks to my new Infusionsoft account. If you want to carry on with my learning of development in algo trading, please visit one of these two links to get signed up to my Infusionsoft CRM list.

https://quantlabs.net/mkt/free-trade-like-a-boss-pdf-report/

or

https://quantlabs.net/mkt/7-sure-shot-way-to-consistently-profit-thanks-to-automated-trading/

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!

Online charting of Fibonacci entry exit stop loss take profit targets

Hi there

I have posted 2 new videos to showcase the power of my new charts. I will send out the details of the second video tomorrow.

 

New online chart of Fibonacci entry exit stop loss take profit targets

 

This is a brand new set of chart(s) to measure positions management using daily data from both Binance and Oanda the forex broker. This seems to work ok on CFD and crypto. There has been little movement in the world of crypto currency but it has potential as this asset class has moved up in value.

This is all part of my Quant Analytics service

 

See the video here

 

https://quantlabs.net/blog/2018/11/new-online-chart-fibonacci-entry-exit-stop-loss-take-profit-targets/

 

 

 

Online charting Sucks

 

I have also set this Monday on a topic that maybe of interest to a few select number of people.

 

My experience with many online charting packages was not good. Find out why. One hint is that Javascript is a a pure pain to work with. This will be streamed live on my Youtube channel atYoutube.com/quantlabs

 

I have scheduled this to be live on Monday Nov 12 at 7 PM EDT. There will be no video playback of this since I will make it part of my Python Algo Trading course which will help for potential algo traders.

 

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

 

IMPORTANT! This list will shut down in coming days!

I will be closing down my MailChimp account in the coming days. This means it will no longer be valid as I am porting only the active folks to my new Infusionsoft account. If you want to carry on with my learning of development in algo trading, please visit one of these two links to get signed up to my Infusionsoft CRM list.

 

https://quantlabs.net/mkt/free-trade-like-a-boss-pdf-report/

 

or

 

 

https://quantlabs.net/mkt/7-sure-shot-way-to-consistently-profit-thanks-to-automated-trading/

 

 

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!