Tag Archives: asset class

Intriguing Failing of Convolutional Neural Networks: Which asset class?

As explained in this Uber engineering article, it seems that this Convolutional Neural Networks has failed them. Some folks have come to asking about this. If you saw yesterdays email, it seems that Long Short Term Memory was more effective. I am not machine learning expert but I am asking for anyone’s experience here. Let me know how you find these two methodologies can be used for which algorithmic trading asset class. Here is the article

https://eng.uber.com/coordconv/

Let maximise our crypto currency asset class trading positions with portfolio optimization

This 15 (approx) minute video showcases my portfolio optimizer which I have shown before. Do realize this can be applied to any asset class. You can always search on my Youtube channel for ‘portfolio’ as hinted in this video. The idea here is to showcase you could triple your expected return by using the appropriate strategy type with proper optimally weighted positions. This is all shown in the video. I would say this is one of the biggest reasons to automate your strategy and trading. No human can do this if you were to allocate a higher number of positions across multiple asset classes for the day. You could even run this script every few hours if I wanted to allocate positions every X hours. I would have to feel pretty lucky to do that.

Look back matters among other parameters to consider

Do understand your analysis look back also matters depending on your overall asset class performance. As of now, crypto currency has taken a major beating so it might be wise lower the loopback to let’s say 7 days vs 30 as shown in the earlier part of the video.

Note that this can be used on any asset class based on the historical performance of standard open, high, low, and close market data. I use Binance exchange which only allows long only but could also include portfolio strategy methodology of Markovian Long/Short, Markovian market neutral, and Markovian Market Neutral.

Let me know what you think of this.

Let maximise our crypto currency asset class trading positions with portfolio optimization

As usual, this will be part of the Quant Analytics service to enhance your profits so see below if interested

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!

Stock market show how to deploy capital daily for max return with each your asset class selection

Stock market show how to deploy capital daily for max return with each your asset class selection

Proceed with caution

Note that the results could be bug ridden. I just want showcase how deploying capital is important for potential max return. This is all driven by the analysis in order to get these type of returns.  The scripts that generate this data are still under development.

 

Combining best performing forex pair should hugely increase your expected return and Sharpe Ratio

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 truly is risk in trading whatever asset class you choose

What truly is risk in trading whatever asset class you choose

My notes as explained in the video

Hi, Bryan, at Quantlab what risk do you help people to manage? like market or personal risk or even data, or portfolio risk?

Risk

Risk management (current positions) → capital deployment/poisition sizing

Risk on portfolio position/optimizing again CURRENT market conditions → how we deploy capital

e.g. $100

$50 → Apple %5-> 7% for the day

$25 → IBM 5% 3% for the day → close

$-25 → HP -3% for the day → close position (risk tolerance 7-12% >10% close position/min drawdown)

risk portfolio (max → opportunity for max profit)

Risk Assessment for Trading Opportunity → CURRENT market conditions

risk profile / risk tolerance

#1 goal in trading → capital preservation (not to lose money)

#2 goal in trading → profit

high risk / high reward

asset classes:

(based market regime changes)

forex → standalone retail or currencies on a futures level

futures / options →

stock

etf

futures

fixed income

commodities

emerging market vs developer markets (mature markets)

financial (treasury)

index (ETF) vs direct stock vs dividend

 

http://www.investopedia.com/articles/trading/04/091504.asp

 

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!

Algo trading asset class by volume

Algo trading asset class by volume

This is what the PRO algo traders  use according to a interview on Bloomberg with Goldman Sach Head of Investment Research

These are the exact assets he referred for a fancy way of saying HFT

http://www.goldmansachs.com/our-thinking/public-policy/bios/steve-strongin-bio.pdf

I finally got this chart captured (in order):
Treasury futures
cash equities
fx spot
govt bond us
high yield cash
structured credit rates

For fixed income asset mix:
rates
fx
credit
securization
commodities

 

Go here for the original thoughts and video on how to trade Treasury futures

https://quantlabs.net/blog/2015/08/treasury-future-1-asset-for-algo-trading/

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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!

Google Trends: what asset class people are trading

Google Trends: what asset class people are trading

I made a quick video as I was trying to figure who was trading what from where

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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!