Category Archives: Quant Opinion

More machine learning with python books added

I have added two more books for my machine learning study. This includes:

Introduction to Machine Learning with Python
and
Thoughtful Machine Learning with Python

The first book is well received by reviews online including Amazon buyers. You will find the second does not have the same level of review but some of the topics are not addressed elsewhere.

best book for machine learning with TensorFlow and Python Scikit-Learn

Both books would probably be compared to old school compared to the one I start with which is here

best book for machine learning with TensorFlow and Python Scikit-Learn

I plan to get started with this book in the next day. It seems to save some time as opposed to learning from other legends like Andrew Ng or Geoffrey Hinton.

Let’s see what happens with this major undertaking.

As I want to focus on Python, I am sure there will be new content added to my current Infrastructure Building Block course. As I now tell newbies, this is the place to focus on to build your foundation if you want to leverage your technical knowledge in algo trading.

Here are the details of that book I speak of

Python Algo Trading Infrastructure with Crypto Currency

For the time being, just ignore everything else.
Bye Paypal hello Stripe and crypto for new payment gateway

I have posted an articles about Paypal new policies which is making me move off it as a payment gateway. See this here

Bye Paypal hello Stripe and crypto for new payment gateway

I am also considering Stripe to be being high risk. As a result, all future payments will be credit card or debit cards only via my CRM provider Infusionsoft. Also, I will be hosting some deals as a testing of this new payment gateway. It will targeted to those non technical folks out there.

Thanks

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!

Notes at Toronto Quant Trading Seminar powered by FXCM

This was promoted by a local broker where FXCM provides the technology

 

Aggregate of real time
Bid ask spread
Python package technical analysis
Fully
Fxcm py with back testing py ti
https://github.com/kylejusticemagnuson/pyti

GitHub python fxcm check London or Dublin expo code project

PisAno:
Data driven model : more predictive on result of each data point
Expectancy: bell curve of result on stats
Money management system for positive expectancy
Eg. martingale to double down on result
Pisano uses:
Math model before it happens has deep learning model
Stat model updated in real time with stat model to change output get new parameter

Output is trade algorithmically and self learns and self adapt
Output file generated weekly
Based on mean reversion
Major pairs
No random walk
4m aum
2.3% drawdown 5% max depending on leverage up to 20%
Sharpe 4
Based on cointegration
Says forex volume is going up 😂😂😂😂😅😂

Refer to https://www.leaprate.com/forex/brokers/fxcm-non-us-volumes-drop-21-in-february-to-201-billion/

G7 fx pairs
Pure price no fundamental
Needs momentum
Cta and Osc is technology
Mql execution
Commodity tie to fx correlated

Shamsher vellani Pisano capital

Ernie Chan

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!

Facebook Messenger Chat Bot announcement

 

Housekeeping announcement

As I track our daily email consumption, it seems fewer folks are engaging. If you are on Facebook, I would encourage you to subscribe into our Facebook Messenger chat bot. I will be making webinar announcements on this moving forward with out our accidental overloading a few weeks. If you were on that bot list subscription list and want to be remain on it, please go anywhere on our site. Just click on the Messenger logo at the bottom right to launch the bot, It will explicitly ask if you want to received promo messages from us. You could visit any of the links below to launch the bot as instructed!

 

Crypto currency still doing well!

We continue with double digit daily returns in crypto curency trading as bitcoin moves. There have been only 2 days less than 10% daily returns. I also talk about the future of CFD and forex being useful. All data comes from Oanda where the crypto comes from Binance.

I speak of these two services you can find here

https://quantlabs.net/blog/2019/03/double-digit-daily-returns-continue-in-cryptocurrency-as-bitcoin-moves/

I also speak of the current Analytics service with tweaking of forex and CFD analysis. This looks impressive as explained in a video in the above link.

Automated track record posted daily

Have you seen our impressive daily track record? It includes our daily profit and loss, running term sheet, and equity curve chart. There are 10 days worth posted. Check it out here

https://quantlabs.net/academy/mbm-crypto-trading-track-record-dashboard/

Bryan at QuantLabs.net

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!

Crypto Currency Real Time Trading Signals NOW Working with a dedicated email

After a night, this signal service is now running! I will be testing over the next few days to ensure it works. So far so good. If you are interested in this service, you can join by accessing to opt into the list. Go here

7 Sure Shot Way to Consistently Profit Thanks to Automated Trading

Moving on, understand here is the attributes and items you need as explained in this video:

1. Dedicated email

2. Mobile: Dedicated email app

3. Binance account-→ trades

4. Serious 100-300 emails a days

5. Experimental → 30 days allowing 10 people

6. NOT CHEAP for 30 days!!

I will be opening the shopping cart for this service. Note I will not take more than 10 people over the next week. It will be FULLY accessible to everything with a life time access to the new private/secure/anonymous chat server I setup! I will be giving loads a away.

 

Here are the other services available:

Quant Analytics

Live Python course

Python Algo Trading Infrastructure with Crypto Currency

ELITE

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!

What is the best exchange to auto trade bitcoin and cryptocurrency on

I answer these questions for someone:
I’d like to know where you can trade crypto currencies (best) ? Which market/broker ?
I mean by that : I know that it is possible to trade them on many places, but most of the time, liquidity is poor, hence spreads are huge,
and sometimes there are even limitations on shorting, stop loss levels, etc …
I intend to autotrade bitcoin (and/or others) using a combined scalping/trending strategy that for ex. produces about 20 to 100 trades per day on the Nasdaq future …
Thanks in advance for your insights.
I refer to this course
https://www.youtube.com/watch?v=flI0nN-eNDw

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!

Why I closed Telegram trading groups? New chat service

Why I closed Telegram trading groups? New chat service

I closed and deleted the Telegram groups I ran. W\hy? I found any group to be too chatty of low quality/unproductive noise, spam, and other junk. It was not focusing on algo trading. It went nowhere as some other Telegram crypto currency groups were lousy. Administering bad actors and content was becoming a big time suck. I hve a new chat service! Also, I do not like giving out my phone number to register with a 3rd party messenger service like Telegram, Facebook Messenger, WhatsApp, etc. Privacy is becoming important to me.

Also, I find the new chat I have built on is a dedicated virtual private server which is not tracked, anonymous, and secure (according to the software developer). You no longer need to register using this two factor authentication which most other messenger services require. As a result, you can login via a virtual private network service as well if you choose.

Mobile editions were important

Most mobile apps require you to enter into your device phone to use it. It sucks you need to do this but the current chat has Google Android mobile app support. When you register as a customer, you will get all the links to get you started. As for mobile support for Apple IOS (e.g. iPhone or iPad), the developer said iTunes rejected his app due to some template of the chat software. No big deal but if you want to be dedicated to this, you could always get a cheap Android tablet device for about $70 US.

How do you get on?

Simple… you become a customer of mine. Buy something via the online store to get on it for your LIFE. You can go here to choose which product or service you would be interested in:

https://quantlabs.net/academy/shopping-cart/

Quality of community

This a big factor in which keeps the group productive. I am hoping it will contain contributors to bring up the quality I seek. Also, when you have the lurkers/tire kickers/quiet kind of folks, the chat group will not be same as opposed to contributors or that ‘work it’. It helps motivate folks and we all learn as a community. Hope you understand the vision of this for the future. Do understand this new chat service has the ability to split up into separate rooms, one on one private chats, etc.

Also, any customers can find the latest info via this chat service as well. I ain’t communicating as publicly as much as I used to. 2019 is a year where I hope to go premium as this highly successful crypto trading algo is working great.

Thanks for your understanding,

P.S. Remember to get something via the online store to join this chart service for LIFE!

https://quantlabs.net/academy/shopping-cart/

 

 

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!

Interview with Bob Pardo LIVE

 

Thursday, January 10, 2019 at 4 PM – 6 PM PST

We are doing a rare interview with one of the masters in trading. I am currently collection smart and sophisticated questions for him. Leave a comment below to your question potentially answered at Facebook event link below.  Details to follow so check the comments
https://www.facebook.com/events/762833620753134

This will be streamed live on the Facebook quantlabs net page under Videos tabl at

https://www.facebook.com/quantlabsnet/

Thursday, January 10, 2019 at 4 PM – 6 PM EST or 3 CST

Hi there,

You are invited to a Zoom webinar.
When: Jan 10, 2019 4:00 PM Eastern Time (US and Canada)
Topic: Interview with Bob Pardo

Please click the link below to join the webinar:
https://zoom.us/j/728994467

Or iPhone one-tap :
US: +16699006833,,728994467# or +16465588656,,728994467#
Or Telephone:
Dial(for higher quality, dial a number based on your current location):
US: +1 669 900 6833 or +1 646 558 8656
Webinar ID: 728 994 467
International numbers available: https://zoom.us/u/aARX5KpQE

 

Who is Bob Pardo?

Here are the books he wrote

 

https://www.amazon.com/Robert-Pardo/e/B001IO9TSG%3Fref=dbs_a_mng_rwt_scns_share

https://www.amazon.com/Evaluation-Optimization-Trading-Strategies/dp/0470128011

https://www.amazon.ca/Design-Testing-Optimization-Trading-Systems/dp/0471554464

 

Here is that Bob Pardo interview replay.
 
 

 

Here are the questions:

1. You wrote an article for Future Magazine called ‘How far away is the Holy Grail machine’ in 1985. How did you foresee the future back then compared to where it is today?

2. From your article of Gann Lines and Angles of 1992, outside of software have the basic principles evolved in the basic concept since that time? Do you believe that candle patterns or harmonic patterns can be used for early reversal signs?

3. With the article on Stop Placement Affects Trading Performance of 1984, do you believe that today’s current forex and retail brokers are corrupt with stop hunting? Are there are any clean (or less) corrupt brokers out there? This is especially true with APIs for brokers? eg. Interactive Brokers

4. In one interview article, the article stated: There were no trading screens or other market paraphernalia anywhere in sight. If they existed elsewhere on the premises, Robert was not anxious about checking up on them or his trading progress. He had the serenity of one possessed of total faith in his system’s ability to hum along just fine without him.

Is this still true? How do you get away with it with now mobile apps and everything at your fingertips?

https://www.trendfollowing.com/pdfs/pardo.pdf

5. Are you primarily still a futures trader? Or have you expanded into other asset classes? If so ,any current ones you see enormous potential with? Do you also see a rebound in certain commodities with the current market? Do you trade options? Why or why not?

6. In the same above interview about you said: Because the S&P is so volatile and dynamic in its own right and swings so much, though, what works there may not work in other markets.

Do you think the current computer algos are going to make the 2019 global extra market really jittery? Would you even say the computers have completely taken over the markets?

7. Do you believe in portfolio optimization or portfolio theoretical techniques (e.g. Markowitz)? Do you believe in different ways to throttle trading account allowance based on portfolio performance (.e.g Kelly Criterion) Or how about daily target moves against the amount capital you are willing to put at risk?

8. Do you think emerging market equities will be the place of opportunity for 2019?
9. Would you say you are strongly constrained as similar to how a CFA is mandated? (e.g. you have your own trading standards or will allocate portfolio weightings to certain sectors or asset classes)

10. If you have a particular position going into range bound (or flat), would you tend to cut it right away to find a higher performing asset? How often are you re-calibrating your portfolio? What doest the re-calibration depend on?

11. What are some of the more predictable exit methodologies you believe in ? e.g. ATR? Would you apply standard take profit or stop loss? Or would you treat it more like a trailing stop? Or any of these at all?

12. Are you a believer in fundamental, news sentiment, or even macroeconomic events as drivers for the assets you watch? How many assets would you typically watch in a standard flat or uneventful trading day?

13. Standard question: Are you a pessimistic or optimistic when it comes to machine learning in pricing of an asset? How about applying it to areas like portfolio sizing or portfolio optimization? Would you ever consider using it for something like bid/ask analysis at high speed level (e.g. tick)?

14. Do you believe in random walk theory?

15. Have you come across models that can be designed in a way where there are no parameters? e.g. IF THE PRICE HAS REACHED A NEW ALL-TIME HIGH, IT IS AN UP-TREND BY EVERY POSSIBLE MEASURE https://www.reddit.com/r/algotrading/comments/63nrzg/parameterless_strategies/

Or: statistical anomalies are not parameters. thats what quants/algo people do..find these patterns and figure out ways to capitalize on them.

16. Among all your trades on average, what is the % of mix of long vs short?

17. How many strategies/algos would you say you have in your arsenal? How many can be traded ALL the time profitably regardless of market regime?

18, What is the standard drawdown % threshold before you cut the instrument entirely from your active portfolio?

19. Is it easier or harder to raise capital for a system or fund these days? Are you finding investors/captial allocators are much more jaded than in the 80s or 90s? When was the easiest time period to allocate and why?

20. What is your honest view of those so called trading gurus you find on Youtube or Facebook?

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!

Live on Facebook Page: Welcome to 2019 and machine learning is new years resolution

 

 

Machine learning is going to be on the agenda for this year so keep your eyes peeled on the Facebook page quantlabsnet and this Youtube channel of quantlabs

Event is at this Facebook page below

LIVE EVENT HERE

https://www.facebook.com/quantlabsnet

 

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!