Category Archives: Quant Analytics

Quant Analytics

Guided tour walkthrough Elite trial to build primitive algo trading system

Guided tour walkthrough Elite trial to build primitive algo trading system

 

Here it is for the 2 month trial to my Quant Elite membership. Get complete details here if interested.

Here is the link to try out

Introduction to Quant Elite Membership

 

 

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!

Performance Attribution – getting under the hood with s&p dow jones indices links

 

This is from the latest guest blog I posted yesterday. Here some highlights where you can read this entire article including s&p dow jones indices here:

Understanding where returns really come from and what they mean

Attribution analysis involves comparing a portfolio’s performance against a set benchmark and unpacking the excess return to examine the impact of various investment decisions. We list below our selection of the best reports on the subject.

In our first two papers, we focus specifically on risk-adjusted returns, recognising that Modern Portfolio Theory assumes that higher risk should be compensated by higher returns. Register today for free and immediate access to the papers below – and 20,000 others!

SPIVA® Through a Risk-Adjusted Lens (S&P Dow Jones Indices, July 2018)

Modern portfolio theory purports that greater risks should be compensated with higher returns. S&P Dow Jones Indices examines actively managed funds and evaluates their risk-adjusted performance.

How Sharp is the Sharpe-Ratio? Risk-Adjusted Return Measures (StatPro, 2016)

This StatPro paper compares the Sharpe Ratio with a number of competing and complementary rations for assessing risk-adjusted returns.

Performance Attribution through a Factor Lens (Invesco Risk & Reward, July 2018)

Turn to p42 of Invesco’s quarterly Risk & Reward magazine for a six-page discussion of how standard attribution analysis techniques can be adjusted to develop a factor attribution which reconciles realistically with the investment process.

Total Portfolio Performance Attribution Methodology (Morningstar, 2015)

Morningstar reviews methods for analysing and attributing portfolio performance, decomposing returns into decisions that stem from the plan sponsor versus those that stem from the investment manager.

Only HOT bitcoin Ethereum is profitable crypto currency today. LAToken anyone?

If not, check out this article:

https://quantlabs.net/blog/2018/08/hot-btc-eth-profitable-crypto-currency-today

I have posted a new video to showcase in a slide presentation on the benefits of this membership. You an always join here if interested. (This was posted yesterday)

https://quantlabs.net/blog/2018/08/what-top-quant-grads-make-on-wall-st-huge-20-upper-moves-on-crypto/

 

Get your analytics info here

http://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!

AI experts share what their favorite potential trading algo is

I have received an article that ‘lit up’ my Facebook group. That is nit really tnot rue but relatively speaking, this article does show how these algos with machine learning/artificial intelligence/data science has an impact on the world of quant and algo trading. I would pay attention to the first pick at this article as it shows how influential the first pick is. Also, I find he is a great Youtube video resource if you are new to this space. I am to but I plan to learn more of this stuff later once the cold weather kicks in here in Canada.

https://thenextweb.com/contributors/2018/08/04/ai-experts-favorite-algorithms-siraj-raval/?amp=1

I also made a video here.

 

I want to highlight the benefits of my Quant Analytics service. Note that I will not be posting generous tales of of my crypto currency nor forex trading adverntures anymore.

Check out my ‘trailer’ of this service.

Quant Analytics

If you have been an active reader of this list, most of my services are going up. Here is one noted response:

I’m an EMT/student studying python as an amateur programmer with 10 years trading experience.  I love quantlabs courses.

What is the least expensive first few classes you suggest for someone on my budget?

I would typically respond with that there are 2 ‘legacy’ product you will find on my store that are under $250 each. These might be older, but they are still useful to work from for those on a budget.

Just remember I want to be one of the only resources out there who odes live trades, has 3rd party certification of website traffic, and online courses/services for those interested in what I teach. I am also just going into the premium market now as there are lots of free resouces out there for newbies in this space.

Lastly,

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!

Performance Attribution – getting under the hood

 

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. 

Understanding where returns really come from and what they mean 

Attribution analysis involves comparing a portfolio’s performance against a set benchmark and unpacking the excess return to examine the impact of various investment decisions. We list below our selection of the best reports on the subject. 

In our first two papers, we focus specifically on risk-adjusted returns, recognising that Modern Portfolio Theory assumes that higher risk should be compensated by higher returns. Register today for free and immediate access to the papers below – and 20,000 others! 

SPIVA® Through a Risk-Adjusted Lens (S&P Dow Jones Indices, July 2018) 
Modern portfolio theory purports that greater risks should be compensated with higher returns. S&P Dow Jones Indices examines actively managed funds and evaluates their risk-adjusted performance. 

How Sharp is the Sharpe-Ratio? Risk-Adjusted Return Measures (StatPro, 2016) 
This StatPro paper compares the Sharpe Ratio with a number of competing and complementary rations for assessing risk-adjusted returns. 

Performance Attribution through a Factor Lens (Invesco Risk & Reward, July 2018) 
Turn to p42 of Invesco’s quarterly Risk & Reward magazine for a six-page discussion of how standard attribution analysis techniques can be adjusted to develop a factor attribution which reconciles realistically with the investment process. 

Total Portfolio Performance Attribution Methodology (Morningstar, 2015) 
Morningstar reviews methods for analysing and attributing portfolio performance, decomposing returns into decisions that stem from the plan sponsor versus those that stem from the investment manager. 

Global active bond fund returns: a factor decomposition (Vanguard, July 2018) 
Vanguard analyzes 15 types of global active bond funds to determine the sources of their returns. How much can be explained by risk factors (term, credit, currency, high yield) versus the manager’s bond selection and market timing? 

Performance Measurement: How to Do It If We Must (Research Affiliates, 2018) 
It is natural to assess a portfolio’s performance on a regular basis, but taking action over short-term time horizons can be dangerous when it is likely that noise in investment returns also exists. 

Rethinking Investment Performance Attribution (AIMCO, 2014) 
This 2014 article discusses the Alberta Investment Management Corporation’s journey to developing a performance attribution system as an investment management tool. 

Active Equity Returns: Putting Dunn’s Law to the Test (Morningstar, 2018) 
This study evaluates whether active managers’ index-relative performance is driven by the returns to their investment style. 

Investment Performance Reporting: GIPS Standards (CFA Institute) 
The Global Investment Performance Standards (GIPS®) is a set of standardized, industry-wide ethical principles that guide investment firms on how to calculate and present their investment results to prospective clients. 

CFA Principles for Investment Reporting (CFA Institute, 2014) 
The Principles for Investment Reporting have a specific focus on reporting to existing clients (the GIPS standards primarily consider presentation to prospective clients). 

Sharpe Ratio: Estimation, Confidence Intervals and Testing (Two Sigma, 2018) 
The authors look at Sharpe ratio estimation, complete with confidence intervals and hypothesis testing of single Sharpe ratio estimates and the difference between 2 Sharpe ratios. 

Understanding Active Risk and Tracking Error (Commonfund, 2016) 
In this paper, Jess Gasper, PhD and Head of Asset Allocation and Research at Commonfund, discusses tracking error and the concept of active risk, as well as each of their impacts upon the investment decision-making process. 

Performance Attribution Analysis Models – Under The Microscope (Deloitte, 2015) 
The authors of this paper provide a comprehensive review of attribution models for equity portfolios. They touch on the linking attribution effects issue, and show how attribution analysis can be used by investors and fund managers. 

Does Past Performance Matter? Persistence Scorecard (S&P Dow Jones, July 2018) 
It is said that “past performance is not an indicator of future outcomes.” The S&P Persistence Scorecard is released twice per year, and tracks the consistency of top performing mutual funds over yearly consecutive periods. 

The Folly of Hiring Winners and Firing Losers (Research Affiliates, 2017) 
Performance chasing can lead to underperformance, so investors need to look forward as well as at historical returns, considering factor exposures, manager skill, fees, and other statistics before making an informed manager selection.

 

About Savvy Investor

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 25,000 members from across the globe have registered for the site, with 200 new members joining every week. Join today for free to access over 20,000 investment white papers and an extensive global investment conferences directory.

 

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!

Importance of volatility of volatility

 

See the article and importance of volatility of volatility below

First, a message from our sponsor:

I am keeping the Python Infrastructure course pretty affordable for the next few days. I am continuing to let you know that this course will potentially double in coming days! If things work out as described below, you will find this material will become pretty valuable. If you click the link, you can find ALL the details in this course. I will also be adding the latest learnings of crypto and Forex (for Oanda for USA residents) to get you running to have your own ‘crude algo trading system.’ One popular request is a simple video to showcase a very very primitive but simple system capturing data, set up a simple strategy, and do the automated trading. Again, just click the link below to get further details or if you want to proceed learning more.

The importance of volatility of volatility

Thanks for my Facebook Group called “Quant HFT high frequency trading with Matlab C++ Java R Python C# Excel’ reveals some popular topics that people like. Here is one such article about volatility and volatility of volatility. Read it here:

http://www.sr-sv.com/the-importance-of-volatility-of-volatility/

It is predicted that volatility will kick into high gear in the near term. Volatility in forex is where you make money. With potential trade wars kicking in, some will benefit from this especially if they have a robust, automated strategy to handle it.

I am not sure if volatility will affect crypto. When you look at the sudden 7% rise of Bitcoin 2 days while it drops off yesterday, these are some classic examples of vol. Some even say that the volatility in other asset classes may drive others into crypto currency since it could be seen as a safe haven. Go figure huh? Just remember this new strategy I have worked makes me somewhat prepared.

How I deposited cash into Bitcoin into Binance with ccxt Python package

Remember that I have posted notes and the video playback from yesterday. You can get access here:

https://quantlabs.net/blog/2018/07/deposited-cash-bitcoin-binance-cash-video-playback/

Thanks for reading

 

Intriguing Failing of Convolutional Neural Networks: Which asset class?

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!

How important volatility of volatility is

See the article and importance of volatility of volatility below

First, a message from our sponsor:

I am keeping the Python Infrastructure course pretty affordable for the next few days. I am continuing to let you know that this course will potentially double in coming days! If things work out as described below, you will find this material will become pretty valuable. If you click the link, you can find ALL the details in this course. I will also be adding the latest learnings of crypto and Forex (for Oanda for USA residents) to get you running to have your own ‘crude algo trading system.’ One popular request is a simple video to showcase a very very primitive but simple system capturing data, set up a simple strategy, and do the automated trading. Again, just click the link below to get further details or if you want to proceed learning more.

Buy Now

The importance of volatility of volatility

Thanks for my Facebook Group called “Quant HFT high frequency trading with Matlab C++ Java R Python C# Excel’ reveals some popular topics that people like. Here is one such article about volatility and volatility of volatility. Read it here:

http://www.sr-sv.com/the-importance-of-volatility-of-volatility/

It is predicted that volatility will kick into high gear in the near term. Volatility in forex is where you make money. With potential trade wars kicking in, some will benefit from this especially if they have a robust, automated strategy to handle it.

I am not sure if volatility will affect crypto. When you look at the sudden 7% rise of Bitcoin 2 days while it drops off yesterday, these are some classic examples of vol. Some even say that the volatility in other asset classes may drive others into crypto currency since it could be seen as a safe haven. Go figure huh? Just remember this new strategy I have worked makes me somewhat prepared.

How I deposited cash into Bitcoin into Binance with ccxt Python package

Remember that I have posted notes and the video playback from yesterday. You can get access here:

https://quantlabs.net/blog/2018/07/deposited-cash-bitcoin-binance-cash-video-playback/

Thanks for reading

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!

todays set of important messages: Bitcoin Cash forecasting results and WEBINAR Bitcoin wallet funding tonight

First, a message from our sponsor:

I am keeping the Python Infrastructure course pretty affordable for the next few days. I am continuing to let you know that this course will potentially double in coming days! If things work out as described below, you will find this material will become pretty valuable. If you click the link, you can find ALL the details in this course. I will also be adding the latest learnings of crypto and Forex (for Oanda for USA residents) to get you running to have your own ‘crude algo trading system.’ One popular request is a simple video to showcase a very very primitive but simple system capturing data, set up a simple strategy, and do the automated trading. Again, just click the link below to get further details or if you want to proceed learning more.

New course!! Building Python algo trading system with Bitcoin an crypto currency focus

And now for todays set of important messages and updates ….

3 big things since this morning:

First, I put out an analysis and two crypto currency pairs for potential increase with a combined combination of expected return of 1.9%. Here is that link:

http://quantlabs.net/academy/new-course-building-python-algo-trading-system-with-bitcoin-an-crypto-currency-focus/

And now for todays set of important messages and updates ….

Cryptocurrency hot potential big report buys for Jul 23 XZC BNB BCH Binance

https://quantlabs.net/blog/2018/07/cryptocurrency-hot-potential-buys-jul-23-xzc-bnb-bch-binance/

This morning I then posted the results of these two crypto currency repairs. Here is the Facebook Live vide I posted:

SIDE NOTE: IF you want to get alerts of when I do these Facebook LIVE sessions, just goto my Facebook Quantlabsnet page to either Like or Follow to be notified when I go live. I will be doing more of these as I find the engagement is much higher than Youtube these days.

What I found was interesting where BCHBNB was up 5.1% over 24 hours while ZCHBNB was down 4.1. When you net it all out, you are still up 1% which meets the desired daily move. I still find 0.5% is more realistic but I will take 1% for sure. Also, I might just focus on the best selected pair instead of combining various crypto currencies for a potential elevated return. Who knows? This all needs to be tested over the next weeks to figure that out.

Webinar: How I funded Bitcoin and automated trades with Binance TONGITH at 7 PM EDT!

The second item is to remind you all about my upcoming webinar topic I emailed out over the last few days. Details of this can be found here:

https://quantlabs.net/blog/2018/07/webinar-funded-bitcoin-automated-trades-binance/

I have worked on my Positions Manager which is working out nice. I can also have both the Watchlist work with the Positions Manager when they open up positions. I even got working with closing/exiting the position. Keep your eyes peeled for this nice integration. But it don’t stop there….. I will be working to automatically submit the picked crypto currency pairs into the Watchlist. All I need to do is integrate everything to occasionally run this daily or every few hours. Pretty cool huh? I will keep you updated on this.

Thanks for reading, have a profitable day ok?

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!

Cryptocurrency hot potential big report buys for Jul 23 XZC BNB BCH Binance

The picks include XZCBNB and BCHBNB on Binance.

I got the big report working again for Jul 23 2018. It seems that the crypt currency asset class has definitely bottomed as Bitcoin is recovering nicely since last week. It seems that there will be more signals from my big report analysis process. Here is what was generated:

best expected returns
[‘BCHBNB’ ‘XZCBNB’]
nan
0.01952964873451806 <– expected returns of 1.9% move so I may check back tomorrow.

I am also hoping to add these process get added to my watchlist and positions manger processes I have been highlighting on the Youtube channel at youtube.com/quantlabs.

I made a video on this process and latest learning from this.

I also made a few Facebook Live announcements about this:

Also on Instagram

Remember my Python Algo trading course may be going up in the price in the next few days! Get it while it is still affordable. If these picks work out, who knows what the price will be

New course!! Building Python algo trading system with Bitcoin an crypto currency focus

I also added something from IGTV (Hey testing here)

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!

Intro to crude position manager for crypto currency algo trading

Intro to crude position manager for cyrpto currency algo trading

This video focuses on a crude ‘position manager’ which I have shown many examples,  I say crude, this is because there are so many bugs still in this. There also so many various conditions  to factor in but most of my focus will be in this area. I would think this part of the entire will be the most valuable as it will:

  1. calculate the up and lower range of current (or original) price +- a multiplier of 3 * average true range. This is will be the range that states with a equivalent of of a virtual trailing stop.
  2. calculate up and lower range of current price  .+- with a multiplier of 1*average true range.

This is fully explained in my video.

Note that I do stress this is theoretical with the ranges explained above.

How to protect your account with this virtual position manager

As you know, I like using this method to protect your account especially if your broker/exchange has a market making division. If you signal back your stop losses, your broker/exchange can prematurely kick you out of a potentially very profitable trade. With this virtual way, you can pretty well guarantee this will not happen as many brokers are corrupt in manipulating your trading potential. I have many videos on this exact topic.

This position manager will have some very helpful into on the latest info on your pricing targets once your positions is put on. This will be very useful if you plan to use the Analytics service.

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!

Ken Griffin’s $30B hedge fund has out performance vs industry this year

If you looked at these crummy returns, you would think this performance from the big dogs of the hedge fund industry is sort of sad. I am not an expert here but I am hoping to get my trading daily goals will be at least 0.5% psotive moves against my portfolio. However, when you have the most intelligent industry managers with such low performance, it make me wonder who are they to attack the crypto currency asset class space? I do see daily tiny opportunities to make the goals I would like to achieve. See this CNBC article here:

https://www.cnbc.com/amp/2018/07/12/ken-griffins-30-billion-hedge-fund-citadel-is-outperforming.html

Corrections help

Someone in my Telegram group corrected my views on both on Markowitz and Sortino. I like this type of criticism since it improves my view of algo trading. Also, you need to keep an open mind to this as well. If you want to see these corrections, go here:

https://quantlabs.net/blog/2018/07/corrected-markowitz-sortino-views-enhanced-portfolio-management/

This will greatly improve my results on the Quant Analytics service I am running.

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!