Tag Archives: Deep

Deep analysis of BTG Bitcoin Gold up 14 % with wild crypto currency

Deep analysis of Bitcoin Gold BTG up 14 % with wild crypto currency

This will be helpful to show you how a 14% combined up move of BTG BTC and BTG ETH can easily go against you. The randomness of the crypto currency can work against quickly. It is about timing. I am hoping this video will demonstrate this concept. I never know why people will never get this but blow their brains out thinking they have some magical solution for profitable trading. It does NOT exist but it comes down to timing.

 

https://quantlabs.net/blog/2018/10/deep-analysis-of-bitcoin-gold-btg-up-14-with-wild-crypto-currency/

Get access to my system files

The spreadsheets and other files are part of my Analytics service where you can try it out here for 7 days

https://quantlabs.net/mkt/introduction-to-quant-analytics/

 

EARLY BIRD DEAL IF YOU ARE DEDICATED

It has been highly recommended to take this Analytics membership annual from being billed on a monthly basis. It seems people are ‘willing’ to pay a higher upfront cost vs a monthly basis. Go figure that but I have no issue with it.

I call myself crazy but I am giving anyone out there who believes in this stuff I write about. If you want to save yourself $100, I have put on a temporary sale for those who want to get access to my crypto analysis for the next year. Understand, there will be many videos coming this week to showcase the power of these files including spreadsheets and Word document reports. I will also be doing private frequent webinars as well for those who want to join. This sale of $100 EXTRA discount will end this Monday!

 

Do understand I will be expanding all this analysis into Oanda’s forex and CFD assets in the near future as well. That would be epic!

Get this discount now here

https://quantlabs.net/mkt/introduction-to-quant-analytics-2-for-1/

 

Webinar: Ask me anything on big crypto coins

 

I have an upcoming event this Monday night you can get more details here

https://quantlabs.net/blog/2018/10/webinar-ask-anything-big-crypto-coins/

 

After this webinar on Tuesday, I will raising this price another $100. Just consider this current deal an EXTRA incentive for those who are rabid about the content from QuantLabs.net

 

Get this now here

https://quantlabs.net/mkt/introduction-to-quant-analytics-2-for-1/

 

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!

Deep analysis of Bitcoin Gold BTG up 14 % with wild crypto currency

This will be helpful to show you how a 14% combined move of BTG BTC and BTG ETH can easily go against you. The randomness of the crypto currency can work against. It is about timing. I am hoping this video will demonstrate this concept. I never know why people will never get this but blow their brains out think they have some magical solution for profitable trading. It does exist but it comes down to timing.

Get access to my system files

The spreadsheets and other files are part of my Analytics service where you can try it out here for 7 days

introduction to 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!

Deep testing of Python Markowitz Portfolio packages

Full testing of Python Markowitz Portfolio packages

I am digging deep into this portfolio optimizations. One question came up was using Markowitz versus stats.

Check here to see my latest analysis with a 1 hour video.

This video below serves 2 purposes which includes a quick & dirty way to test the code if it works in my Python 2.7.13. I am pretty well not budging from this version for a while so I expect incompatibility problems with Python. This is why this video was made to showcase the trials and tribulation any newbie Python coder could go through including me. The second purpose of this video is attempt to find running Markowitz portfolio source code that will run which I did partially accomplish as demonstrated in the video. ition and set other styles.
Here is a recent conversation with Sholom B of Analytic Kinetics on this topic:

 

Me: Very valid comments, can you not run both markowitz framework and general stats in parallel? as you say, use the stats you generate under extreme conditions since the markowitz is not valid as you say
Sh: Extreme condition modeling and markowitz are not compatible.

 

Me: You switch berween based on market condition.

 

Sh: Market conditions change fast. You may not get advance warning anytime. Think flash crash.

What is your opinion? Send me an email response on this!

Do pay special attention to my warning on future pricing.

This is one of many many benefits of my list for my Quant Elite members including the Algo Trading Course series where you can get the details here

Not only that you’re the highly affordable and generous pricing options:
MONTHLY: $97/MONTH:Click here

3 month subscription

I also have listened to a number of you on how you don’t want a service that automatically renews each month. As a result, I am offering new subscription ‘levels’. If you did not take advantage of last weeks 3 month, well I have extended the term for 7 months for the price of 5. As you know, this will not be promoted forever.

Subscribe Now
If you have seen my Shopify store, I will use this to leverage a bunch of new videos I will doing live over the next few weeks. Each new video will be used as a form of bonus which will be exclusively for download with limited access.

WARNING!

I have over the last few weeks been promoting everything at a very affordable price. Over the next few weeks, I will be testing new target marketing efforts of households  over $1 million annual income. What does this mean? If successful, I see no reason to keep these rates low as they are. If that is the case, I have received marketing experts say I could charge as much as $400/month. Who knows if this will happen but you may want to take advantage of the current price. They may not last! Here they are:

 

Quant Analytics Click here

ONLY THESE OFFERS WILL BE AVAILABLE

Quant Analytics LITE Click here

Let me know if you are interested in the 3 month or 7 month subscriptions

Note I may be removing these current product from my Shopify store as well in coming weeks.

Interative Brokers 4.5 hour Workshop Bootcamp
Interative Brokers 4.5 hour Workshop Bootcamp
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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!

, Deep dive analysis of risk analysis and indicators

As you know, I do like my No SQL in memory database called Redis. There is some interesting machine learning technologies going on with this newer version. Why am I telling you this? If you’ve seen my last posting from yesterday, I have compiled a complete list of all things related around Trading and Risk. Very few people talk about it but it is so important to use understand it to stay in the game for long term. This list can be used for a variety of purposes including finding market opportunity in real time via co integration. Some of this was revealed with how some New York City trading firms who are using this for analysis so see below in my extra long video.

But first, here is a long list you should consider to take taking a look at everything based around risk and portfolio analysis

Market entry exit strategy webinar playback

I have misled on the title of this webinar topic. Since few attended on the original topic, I decided to focus on two visitors which turned into more benefit than I could imagine. Yes this video is 4.5 hours but worth everything minute.


quantlabs.net/blog/2017/01/market-entry-exit-strategy-webinar-playback

This covers:
First hour conversation topics with NYC experienced software developer in financial services:
How NYC financial companies like hedge funds and investment banks pretty well use Python
Popularity of events based on machine learning/AI
How financial service companies use correlation in real time markets to find market opportunities

How studying stochastic trumps other analytical techniques is used in NYC firms
The right and wrong approaches used by NYC firms with machine learning



Balance of video covers:

How Tradestation has dumped FX which has been handed over to Oanda (LOL!)
How American politics of Trump impacts markets

Understanding the advantages of FX broker like Dukascopy offers
Real time analysis of how an event calendar is literally screaming at your with multiple daily market opportunity
How analysis of FX volatility will maximize your trading opportunity
Proper risk metrics/analysis/management etc minimize your drawdowns
Many many more

Thanks for reading

Bryan

P.S. I am in the last few days where I will breaking out all my courses from my Elite membership: http://quantlabs.net/mkt/quant-elite/

Learn some of the courses here: http://quantlabs.net/academy/courses-2/

Get the course list here: http://quantlabs.net/mkt/quant-elite/

Note: Here is my social media you keep up to date with:

Facebook programming group: https://www.facebook.com/groups/quantlabsnet/

Instagram with dozens of daily trading charts: https://www.instagram.com/quantlabsnet/

Youtube channel with over 1400 videos: https://www.youtube.com/user/quantlabs

And of course Twitter: https://twitter.com/quantlabs

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!

Deep dive analysis of risk metrics and indicators

Deep dive analysis of risk metrics and indicators

(See below for most important links)

This is hopefully the last step before I go LIVE trading. This is the hardest and most involved step as described on my own blog. I will choose the best technologies and options I have presented. A lot of resources are my own as well.

See bottom for both most sensible to use as well as most convenient

Deep dive analysis of risk metrics and indicators

Available from my free Quantlabst.net/blog by searching ‘portfolio optimz’

Portfolio optimization:

Markowitz portfolio optimizaion and Bayesian Regression

Optimize Portfolio with CVaR in Matlab

R source code for trading script with update portfolio, position size, MA, cross over, SMA, optimize parameters pt 2

Entropy and Optimization of Portfolio for quant analysis

https://quantlabs.net/blog/2012/02/entropy-and-optimization-of-portfolio-for-quant-analysis/

The Efficient Frontier: Markowitz portfolio optimization in Python

https://blog.quantopian.com/markowitz-portfolio-optimization-2/

A Novel Algorithmic Trading Framework

Applying Evolution and Machine Learning

for Portfolio Optimization

http://blog.andersen.im/wp-content/uploads/2012/12/ANovelAlgorithmicTradingFramework.pdf

PortfolioSelectionwithRobustEstimation

http://www.est.uc3m.es/fjnm/esp/papers/RobustPortfolios.pdf

Advances in Cointegration and Subset Correlation Hedging Methods

http://ssrn.com/abstract=1906489

High return with low risk?

Tail hedge risk

https://quantlabs.net/blog/2016/08/high-return-with-low-risk/

Optimal F

https://quantlabs.net/blog/2012/03/position-sizing-for-quant-analytics/

*** Simplified Risk management http://www.seykota.com/tribe/risk/index.htm

Quant analytics: Paper for the Black Litterman Model: BLACK, F. (1989): “Universal Hedging:

https://quantlabs.net/blog/2011/12/quant-analytics-paper-for-the-black-litterman-model-black-f-1989-%e2%80%9cuniversal-hedging/

Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1565134

Why expected return factor models and risk factor models are different? Why expected return models and risk models use different factors?

This issue is addressed in an MSCI Barra research paper that’s available online:http://www.msci.com/resources/research/articles/2008/RI_Do_Risk_Models_Eat_Alphas_April_08.pdf.
There is also a JPM paper authored by three people from Goldman Sachs that emphasizes the need for including alpha factors in a risk model:http://www.iijournals.com/doi/abs/10.3905/jpm.2007.674791.

https://quantlabs.net/blog/2011/12/why-expected-return-factor-models-and-risk-factor-models-are-different-why-expected-return-models-and-risk-models-use-different-factors/

 

COT reveals something about existing traders’ positions hence big money sentiment. Yes I’m not surprised there’s a link to that and subsequent trends. Also Call/put ratio, VIX, Bullish Percent index, Trader sentiment surveys (American investors) show a little about sentiment hence are worth investigating as leading indicators.

If you believe a bit in Markowitz and you believe that there are no correlations its indeed a good idea to do the 2:1 split as in your example. The expected profit for your position p (say number of shares or contracts) in an asset is

PROFIT = p * volatility * expected Sharpe

I think of risk position r = p * volatility.

Markowitz in its most simple form tells you therefore r ~ inv(Correlation Matrix) * expected Sharpe. If your assets are uncorrelated… eh, voila.
Of course you can pimp your utility function and include penalties for updating positions, etc. I am a big fan of sparse portfolio updates using the L1-Norm (papers by Daubechies…).

 

https://quantlabs.net/blog/2011/08/quant-analytics-algorithmic-trend-detection-methods/

 

Search on blog for ‘position siz’ meaning position sizing

Day trading money management: Position sizing

https://quantlabs.net/blog/2016/09/day-trading-money-management-position-sizing/

 

What leverage do you use and why for forex?

 

What leverage do you use and why for forex?
Understanding Leverage and Margin in Forex Trading and Avoiding… pipburner.comForex leverage and margin explained with easy words. Find out example on how to prevent losses and use forex leverage efficiently for your trading.

–I think leverage is the consequence of the strategy one chooses, and its risk. If one trades with a standard 2 or 3% risk per trade, that provides the position size (and leverage), which will normally be way below 400:1 or even 50:1!
–So you think, leverage should be less than 50:1?
==Normally, yes. For example, let’s imagine you have an account with a margin of USD 10,000, and you want to buy EUR/USD at 1.3050 with a stop loss at 1.295 and profit at 1.325. The risk per trade would be 100 pips, or 100 USD per mini lot (10,000 units). With a strategy of 2% risk per trade (i.e. 200 USD), that would allow you to buy 2 mini lots (20,000 EUR/USD), so the leverage would be 2:1. In the same situation, a leverage of 20:1 (buying 2 standard lots) would mean to risk only 10 pips per trade.
So the strategy defines the leverage.
I read your comment that a leverage of 100:1 might work. The only case I can see that working in the long run is with very tight stop losses. Were you talking about a particular strategy? Thanks3 days ago• Like1 Follow CasemCasem Tong • you see, when you lower down the risk per trade e.g 4% to 2 or 3% or lower the leveraging is always go for minimal as you can ,those 50:1 or 100,200 :1 is consider gambling ” win or lose ” Manuel said 20:1 ( buying 2std lots) risk only 10pips but do you consider if the directions go against you then the 10pips is meaningless….

https://quantlabs.net/blog/2012/04/what-leverage-do-you-use-and-why-for-forex/

 

Quant development: Who is using R to develop and test trading algorithms?

Have a look at quantstrat, blotter, FinancialInstrument and PerformanceAnalytics…
Also RBloomberg and Ibrokers DEoptim for optimisation.

https://quantlabs.net/blog/2011/08/quant-development-who-is-using-r-to-develop-and-test-trading-algorithms/

 

Money management’ search

 

Money Management for Trading Advise video

https://quantlabs.net/blog/2014/06/money-management-for-trading-advise-video/

 

Kelly Criterion for basic risk management and self adapting money management

https://quantlabs.net/blog/2016/02/kelly-criterion-for-basic-risk-management-and-self-adapting-money-management/

1 5 hour Meetup replay of Risk parameters and money management in a self adapting automated trading

 

Questions found here: https://quantlabs.net/blog/2014/11/questions-for-risk-parameters-and-money-management-in-a-self-adapting-automated-trading-world/

 

….For example, a 100K with 25K deposited and 5% return. After exposure goes up 4x, 100K exposure on 8-10 positions with 25% cushion. If margin goes up to 30k, you can expose at 5x with total 150k on 10-12 positions. You need to increase your risk and diversity on portfolio. You increase your exposure as you improve to be more profitable. Your risk goes down as your portfolio becomes more diverse with a few more positions on each iteration. You need set up an upper limit with a upper limit of the exposure to apply. Your volatility of the portfolio will go up in the long run. In a pure long/short S&P 500 portfolio, never go beyond 6x exposure. A Standard Deviation 2 could knock you back to the start. If you add forex, the mix of the portfolio changes thing. After 2nd iteration, you want to ensure you add the right mix of forex, equity, and commodity so each month you get a nice return to rapidly build you portfolio. You could double your money after 1 year if you keep your exposure 5x with 25% annual return. You should add another 25K in 2nd second with another 50k added in third year. This can only be done when you when cut your losers fast and run the winners. with discipline in mind. Retail traders will pretty well break even at best.

 

Having discipline in your risk management for long term trading for profit

(pro way!)

https://quantlabs.net/blog/2014/09/having-discipline-in-your-risk-management-for-long-term-trading-for-profit/

Why vast amounts of retail traders lose money? Applying the day trading mode when volatility is low to make money

(pro way)

https://quantlabs.net/blog/2014/09/why-vast-amounts-of-retail-traders-lose-money-applying-the-day-trading-mode-when-volatility-is-low-to-make-money/

How to apply psychology of trading when you put your positions on? CRITICAL reason to automate while retail traders WILL always lose money

(pro way)

https://quantlabs.net/blog/2014/09/how-to-apply-psychology-of-trading-when-you-put-your-positions-on-critical-reason-to-automate-while-retail-traders-will-always-lose-money/

 

Quant opinion: The three myths of modern risk management part 1

 

Volatility and VaR are stictly “backward looking”, so they work as long as the past is what is going to happen in the future. But during bubbles this is a naive assumption. Note that volatility and VaR are typically low during periods of over-optimism just before a bubble bursts. Totally useless.

The one thing to remember is that even market aggregates can become overvalued, so the G-D value principle applies to the market in aggregate as well as for individual companies, a fact missed by some value investors.

I have written a white paper on the subject here (note also my comments on risk and volatility):
http://www.pionline.com/assets/docs/CO72842217.PDF

https://quantlabs.net/blog/2011/05/quant-opinion-the-three-myths-of-modern-risk-management-part-1/

 

Which affects your currency trading?

Demand for storage and foreign currency trading

 

You can do currency trading in the futures market. The position size are manageable for individuals. You don’t need a big movement for profit. Leverage can be used to increase your profit. Interest rates affect currency markets who pays the highest. Inflation will affect the purchasing power of a particular country. Monetary policy affects by tightening or loosening money supply. Trade balances affect importing or exporting of the country. Economic growth affected based on Business cycle of a country as in recession or recovery. Political stability where there could be a political change.

https://quantlabs.net/blog/2015/07/demand-for-storage-and-foreign-currency-trading/

Is there any Relation between spot currency market (forex) and option currency market

 

I think the simplest implementation would be to trade FXE options which are listed on the major US option exchanges. FXE is the euro ETF which trades over 1,400,000 shares a day. There is enough open interest to allow you to pursue some simple strategies. As long as your account is set up for listed option trading, you can trade FXE

Is there any Relation between spot currency market (forex) and option currency market

 

MOST RELEVANT LINKS From ABOVE in Python

http://blog.andersen.im/wp-content/uploads/2012/12/ANovelAlgorithmicTradingFramework.pdf <– great research for machine learning with Portfolio Analytics/Risk/ etc

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1906489

Basic definitions: http://www.seykota.com/tribe/risk/index.htm

The Efficient Frontier: Markowitz portfolio optimization in Python

Markowitz portfolio optimizaion and Bayesian Regression

 

These might be the most convenient and easiest for Python

http://work.ange.le.free.fr/works/MarkowitzPortfolio/MarkowitzPortfolio.pdf <— this is very comprehensive and exactly what I want

https://www.quantopian.com/posts/the-efficient-frontier-markowitz-portfolio-optimization-in-python-using-cvxopt

The Efficient Frontier: Markowitz portfolio optimization in Python

http://dx-analytics.com/11_dx_mean_variance_portfolio.html

http://travisvaught.blogspot.ca/2011/09/modern-portfolio-theory-python.html

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From 4700 USA deep scanned stocks to 15 long short pairs for arbitrage pair trading

From 4700 USA deep scanned stocks to 15 long short pairs for arbitrage pair trading

From what i see, this does have potential for intraday analysis and live trading. Long term position holds are not worthy of the risk esp in this upward moving market. Lots of testing is still needed to determine potential of this strategy.

Join my FREE newsletter to learn more about how this arbitrage strategy may work out for my automation

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Deep Scan of over 4000 USA stock for long short pair trade arbitrage

Deep Scan of over 4000 USA stock for long short pair trade arbitrage

I made some scripts for this but the results get posted in my new Analytics service

Join my free newsletter to learn when I announce my new Analytics service in early 2017

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Visualizing and Understanding Deep Neural Networks

Visualizing and Understanding Deep Neural Networks

I should watch this one day I think but thanks to someone on my Facebook for this

Join my FREE newsletter to see if I ever apply this deep learning to my automated trading

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Apple SECRET deep machine learning approach

Apple SECRET deep machine learning approach

I am sure this is better than anything else out there but we will never know

In the world of artificial intelligence, one of the year’s biggest coming-out parties is the Neural Information Processing Systems conference. Thousands of researchers from universities and software companies gather to share their work and wrestle with new ways to tailor software to people’s habits. At last year’s conference in Montreal, employees of Google, Microsoft, and IBM presented papers on teaching computers to work faster and smarter, such as by reading the house numbers in a photo to determine an address. But one player was conspicuously absent: Apple. This year, Chinese search giant Baidu and Facebook, along with Google and Microsoft, are slated to present papers. Apple isn’t.

To read the entire article, go to http://bloom.bg/1M05gZU

Join my FREE newsletter if you want to see how I will approach AI and machines learning next century 

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!