Tag Archives: Bad

use trading patterns to prevent bad trading and perfect timing with less false positive signals

How to use trading patterns to prevent bad trading and perfect timing with less false positive signals

The impact

The patterns are proving to be more useful as compared to my entire scans of all the major asset classes. This will be part of my arsenal of charts for Analytics service

http://quantlabs.net/academy/buy-quant-analytics/

The patterns are proving to be more useful as compared to my entire scans of all the major asset classes. This will be part of my arsenal of charts for Analytics service
Here is a repeat of what was sent out yesterday in case you missed it.

 

I must say this is a typical analytical process I intend to go through. After the scripts run against Dukascopy Jforex data, it seems the most logical place to ‘invest/trade’ is the German market index like DAX. With the US markets coming off, it seems that USA 30 is still a top pick but the charts clearly show downward momentum. Also, it seems forex is still flat while Bitcoin is somewhat risky. I really need to get these patterns implemented as soon possible to properly assess the bottoming process of risky decisions for market entry potential.

The Purpose of this Analysis

The purpose is pretty simple. As I have just introduced the latest course on ‘Python 3 for Infrastructure Algo Trading Components’, there is no reason why should not be learning this to control your ultimate destiny.

Interested in this course still? Here is the direct purchase link:

http://www.quantlabs.net/

The idea of this analysis is no different when I did a much longer process a few weeks ago. Here is that at this link:

https://quantlabs.net/blog/

A newer video has been uploaded with yesterday’s analysis which is just over an hour. It does NOT go as deep as I did on March 15. This most recent video will definitely show the shortest drill down to high potential market analysis. Always remember the asset classes have been divided up into commodity (with Bitcoin), forex, and stock indices/ETFs. I have made many past videos on this.

Daily Analysis for April 9 ONLINE Meetup event

Summary Daily Analysis for MONDAY April 9 Meetup event. All the details are listed below.

 

 

Market Analysis for April 9

Description

Market Analysis for April 9. I will do a full analysis on all markets using both Technical and Fundamental. This is for all major asset classes including forex, indices, and commodity (with Bitcoin). We can talk about best possible planning for the week. Join me live if you are interested.

Note this will also be streamed live on Youtube.com/quantlabs

 

Time

Apr 9, 2018 7:00 PM Eastern Time (US and Canada)

 

 

You are invited to a Zoom webinar.

When: Apr 9, 2018 7:00 PM Eastern Time (US and Canada)

Topic: Market Analysis for April 9

 

Please click the link below to join the webinar:

https://zoom.us/j/300326730

 

Or iPhone one-tap :

US: +16465588656,,300326730# or +16699006833,,300326730#

Or Telephone:

Dial(for higher quality, dial a number based on your current location):

US: +1 646 558 8656 or +1 669 900 6833

Webinar ID: 300 326 730

International numbers available: https://zoom.us/u/bfCl4J

Thanks Bryan

https://quantlabs.net/blog/2018/04/fed-analysis-usa-economy-outlook-april-3/

 

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Bad news on Oanda forex broker but I suggest Dukascopy or LMAX

Bad news on Oanda forex broker but I suggest Dukascopy or LMAX

Question from a recent customer

Hello Brian,

i am used to trade regulated markets,  since 2004

i have never traded forex in my life, but i would like to start, can you suggest me a good forex broker ? i live in London.

i was looking at oanda, what do you think ?

Here is the usual video answer

 

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Good Bad Ugly on Google Tensor for Deep Learning and Machine Learning

Good Bad Ugly on Google Tensor for Deep Learning and Machine Learning

Some bad and ugly but I think this still needs to mature

http://www.kdnuggets.com/2016/05/good-bad-ugly-tensorflow.html

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Is too much parallelism bad in R

Is too much parallelism bad in R

Is this true but I am no expert here

quintuitive.com/2016/05/08/much-parallelism-bad/

Join my FREE newsletter to learn more about how I plan to do my parallelism

Too Much Parallelism is as Bad

Too Much Parallelism is as Bad

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Big data bad algo example

Big data bad algo example

This is with using test hypothesis. If you don’t you know, don’t do it

http://www.datasciencecentral.com/m/blogpost?id=6448529%3ABlogPost%3A349843

Join my FREE newsletter to ensure your big data is done properly

 

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Yelp bad reviews of Interactive Brokers

Yelp bad reviews of Interactive Brokers

As said, I have no choice but IB for supported automated trading in Canada. It may seem that these are whiny reviews or they could be legit. If you read these you will find others feel the same way as I do on the Interactive Broker Java API support.

http://www.yelp.ca/biz/interactive-brokers-greenwich

Join my FREE newsletter how I use Interactive Brokers for my trading 

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Open source forex trading broker options with Links of bad Interactive Brokers bad reviews with options of MB Trading Lightspeed

Open source forex trading broker options with Links of bad Interactive Brokers bad reviews with options of MB Trading Lightspeed

Tradelink Broker Options:

http://code.google.com/p/tradelink/wiki/ProviderFeatureMatrix

 

Could Interactive Brokers be in a start of a death spiral?

This is not good:

http://online.wsj.com/article/BT-CO-20130416-712803.html

 

The horror story reviews with poor ratings:

http://www.yelp.ca/biz/interactive-brokers-llc-greenwich

http://www.forexpeacearmy.com/public/review/www.interactivebrokers.com

http://www.elitetrader.com/br/?action=view&R_FirmID=43

MB Trading requirements and reviews:

http://www.mbtrading.com/stocksAccountRequirements.aspx

http://www.forexpeacearmy.com/public/review/www.mbtrading.com

Lightspeed trading requirement:

https://secure.lightspeed.com/AccountOpening/step1a.php?error=missing_login

Lightspeed reviews:

Lightspeed Trading

http://www.elitetrader.com/br/?action=view&R_FirmID=211

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quant members choose well

So what is so bad about optimizing a trading strategy or financial model?

So what is so bad about optimizing a trading strategy or financial model?

HI there

So what is the controversy on this Matlab Optimization toolbox? Is Optimization really that bad? I see SOME useful examples of this.
I think it is early days for me to give a definitive.

Here are the topics I made available for my QuantLabs.net Premium Membership

Running the Matlab Optimization tool and Minimizing at the Command Line
Linear Programming
Call a nonlinear minimization routine with a xstart
Call a nonlinear minimization routine with a starting point xstart

I even gave my opinions here:

https://quantlabs.net/blog/2013/03/youtube-video-overview-of-matlab-optimization-toolbox-for-trading-model-or-strategy-is-this-a-waste-of-time/

and

https://quantlabs.net/blog/2013/03/i-am-starting-to-look-at-this-matlab-optimization-toolbox-for-trading-am-i-wasting-my-time/

So what do you say? Let me know.

Thanks Bryan

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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!

Strategy out of an academic paper. 16.5 % return at 2.36 sharpe, max drawdown 6.9% through 1999-2010. Is this good, medium or bad?

Strategy out of an academic paper. 16.5 % return at 2.36 sharpe, max drawdown 6.9% through 1999-2010. Is this good, medium or bad? Equity curve, year by year statistics and relative performance here

https://docs.google.com/file/d/0B3NaiGhKcKu0NTVmNjA4YmItYjA5Zi00ZWQ3LWJiY2MtZDlmNDEzN2IzNWI5/edit?hl=en_US&authkey=CNbSt6QC&pli=1

===

Looks ok, but really these 2 pages does not give much information.

Hss this been verified by independent auditors, or is this backtest results? if this is backtest results, then I have seen a lot like it.
You say this is an academic paper. Is this present and open source?

Nice graph though 🙂

 

=

The strategy (implemented out of sample) above is based on the two papers below

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1340879http://www.futuresmag.com/Issues/2011/May-2011/Pages/Capturing-backwardation.aspx?page=1

Adding the dynamic S&P strategy to the dynamic commodity strategies results in a significant reduction in volatility.

 

==

You are right the 2 pages give much information. What else would you like to know?

These are backtest results or you could say paper traded results for a while ago..

 

==

I skimmed through the above article and would say that your results seem pretty realistic. I missed the part in the paper where you have a sharpe of 2.36 not sure if that was for all ten years or your best year. Looks to me like for an active strategy applied to a particular commodity the sharpes are between 1 an 1.5. Incidentally I have an intermediate strategy for ETFs that produces somewhat similar results ie active management does better than long only posns and sharpes in the same range as you. What happens if you toss out your most volatile commodities from the mix and instead of having ten use say the least volatile 5-7. Just curious I am going to review your paper more closer it looks pretty good.

 

==

sorry i did not read the google docs paper first so now i see where the 2.36 comes from
(a) how were the weights chosen
(b) if you are shorting assets do you adjust the sharpes in any way to account for the short position ie is sharpe still appropriate measure for a long/short basket as opposed to long only or would you use an adjusted sharpe.

Initially I skimmmed your other papers

 

==

Thanks for your interest
(a). The strategy is a combination of 3 equally weighted strategies (2 for commodities, 1 – S&P 500). Weights are chosen on equal weighting principles rather using mean-variance optimization on historical data.

(b). Our sharpes are simply calculated as the ratio of (Mean return – risk free) and (sigma of return). I see your point about sharpe for shorts, because return (or more specifically ROI in this case) would change for a short position.

Other statistics of our strategy is that for the 11 year period, it the maximum weekly loss was -2.39 percent and there were only 4 occasions when return was less than -2%. And also only 25 weeks when return was greater than 2%.

 

==

the papers you posted were very interesting. Thank you for posting them.

 

==

For some reason I can’t view\download the pdf from Google Docs. Any way, to be concrete, On a simple scale of bad, fair, good then 6.9% is good, 16.5% is fair and 2.36 sharpe is also fair (that is, if you’re after setting up your own hedge fund).

 

==

Thanks for the reply. Wonder why arent you able to access the google docs document. I can email it you if you like?

 

==

The results are too good to be true. The Devraj Basu and Alexander Stremme paper uses data from 1993-2007 to find a suitable model and the uses 1993-1998 to estimate the predictive model and then used the 1999-2007 as out of sample data. It is like not having any out of sample data at all. I wonder what was the performance during 2008-2011.
From my experience strategies that uses linear regressions would show performance with long periods of really good and really bad performances.

 

==

The performance of the backtest over 2008-2010 is given in the document attached to the comment. The Sharpe ratios were 2008: 1.80, 2009:4.71 2010:2.02. For 2011 the strategy was up around 5% until the end of June. THe statement that the Basu and Stremme paper used data from 1993-2007 to find an appropriate model is not entirely accurate. An unconditionally efficient portfolio strategy was chosen ahead of time and the in-sample period was used for parameter estimation via the predictive regression and the fitted model was then evaluated out of sample.In effect it could have been run in real time.

 

==

I wasn’t clear enough. I would like to see the performance of the strategy only for SP500 during 2008-2011. You are right my statement is not entirely accurate but I see an issue related to variable selection (Why COT+VIX ?) using the entire sample.

 

==

the email with links to this article was dumped into spam (i use gmail) because it said it has text frequently used by spamers. i see what they are talking about with those cheap air jordan ads.

 

==
How large of leverage do you use?
thx..

 

==

which platform u r using for doing back testing and how robust is ur platform..

 

==

Thanks for sharing the papers. I was wondering how did you back test this system? Did you back tested from 1999 – 2010 or year by year ( 1999- 2000, 2000 – 2001, 2001- 2002,etc), You may get completely different results.

 

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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!

Leverage is good or bad in stock trading

Leverage is good or bad in stock trading

sandyyadav.com

As I have been continuously posting on the Credit derivatives these days thought of sharing a post that  I did early in 2008 when the face of Investment banking completely changed after sub…

 

How to cope with leverage at http://pipburner.com/understanding-leverage-and-margin-in-forex/

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!