Tag Archives: : Deutsche bank

Deutsche Bank next Lehman Bros meltdown

Deutsche Bank next Lehman Bros meltdown

Overblown according to this Wall St Journal article

http://www.wsj.com/articles/deutsche-bank-shares-tumbled-to-a-30-year-low-after-fed-imf-rebuke-1467278856

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Deutsche Bank rout very serious

Deutsche Bank rout very serious

The meltdown in global markets is “very serious” as it will weaken prospects for growth worldwide, said Henning Gebhardt, global head of equities at Deutsche Bank AG’s asset and wealth management unit.

To read the entire article, go to http://bloom.bg/1U1WinX

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This Deutsche Bank FX strategy is back on the ice, time to start the next system project which is this …

Bryan,

This Deutsche Bank FX (forex) strategy is going back on the ice, time to start the next system project which is…

This is a tough strategy to piece together where I am just spinning my wheels. For now, I decided to put it back on ice until I get more advanced with it. There are too many far reaching concepts which are pretty advanced for me to code up. So I will now focus on the next project which is about in thie video I did a week or so ago.

It will all be done in Matlab, Excel, and most likely a simple database tol hold the data. This is a passive system so speed is not critical but tis project will lay down a nice foundation of all aspects of trading.

I need to start focusing on simpler stuff now.

I have video posted on this new system and what it will containSee more here at: https://quantlabs.net/blog/2014/09/this-deutsche-bank-fx-strategy-is-going-back-on-the-ice-time-to-start-the-next-system-project-which-is/#sthash.jWXSaawI.dpuf

Thanks Bryan

P.S. Interested in taking on this Detuche Bank FX strategy? Get in touch if so

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This Deutsche Bank FX strategy is going back on the ice, time to start the next system project which is…

This Deutsche Bank FX (forex) strategy is going back on the ice, time to start the next system project which is…

This is a tough strategy to piece together where I am just spinning my wheels. For now, I decided to put it back on ice until I get more advanced with it. There are too many far reaching concepts which are pretty advanced for me to code up. So I will now focus on the next project which is about in thie video I did a week or so ago.

It will all be done in Matlab, Excel, and most likely a simple database tol hold the data. This is a passive system so speed is not critical but tis project will lay down a nice foundation of all aspects of trading.

I need to start focusing on simpler stuff now.

Join my FREE newsletter to learn more how I advance with it

 

 

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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 notes on the quant math behind this Deutsche Bank Forex FX and commodity trading strategy

strategy notes

Strategy notes on the quant math behind this Deutsche Bank Forex FX and commodity trading strategy

Here are ny strategy ‘special’ notes thus far on this strategy:

These are just introductory as I dig deeper understanding the relationship of all this data. A lot of it is based on ‘measurement theory’ which is something I have never seen before but could be useful for market forecasting. It is a form schochastic calculus where some say it is useless. I cannot judge as I am new to this.  This stuff is based around my the Deutsche Bank FX strategy listed here: https://quantlabs.net/blog/?s=deutsche

Note that these notes are a running list as I learn how to implement and could be wrong as I proceed.

THEORY 2

Is sigmav not the same as traditional theta found in trigonmetry? I assume yes so need to calculate as curve is generated. If so, calculate theta angle no different as explained in http://www.mathsisfun.com/algebra/trig-finding-angle-right-triangle.html

NOTE: Tau is defined as the switch point/change point where the regime STATE switches between up, down, and sideways. See figure 2 pg 13.

s is also the time point between 0 and t that decides the switching regime

THEORY 3

Girsanov theory explained here with measurement theory:

http://www.quora.com/Probability/How-does-one-explain-what-change-of-measure-is-in-Girsanovs-Theorem

Better: http://numericalmethod.com/blog/2013/05/16/change-of-measuregirsanovs-theorem-explained/

To remove the mean, µ, of a Brownian motion, we define

***This is best explained in the link above. As referred to the image of http://en.wikipedia.org/wiki/File:Girsanov.png, we are calculating different paths of the random processes,

Note relationsship of

For a 0 drift process, hence no increment, the expectation of the future value of the process is the same as the current value (a laymen way of saying that the process is a martingale.)

Also refer to http://www.math.nyu.edu/faculty/goodman/teaching/StochCalc2012/notes/Week10.pdf

THEORY 4

For Ito’s theory process (Theory 4),

Martingdale as Stochastic process in which the expected value of an observation (which is conditional on all previous observations) at any stage is equal to the last of the previous observations.

Read more: http://www.businessdictionary.com/definition/Martingdale.html#ixzz3D2FGoGGC

 

–> Use crossvalind Generate cross-validation indice

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I just kicked off my first open source project for this Deutsche Bank Forex Strategy on GitHub

I just kicked off my first open source project for this Deutsche Bank Forex Strategy on GitHub not SourceForge. Details of this are at the end:

 

 

This history:

 

I have spent many years looking at various technical trading platforms and trading components as in charting, etc. Now is the time to actually code a real world trading strategy so I intend to use this as a roll model to generate these trading ideas. I am hoping these trading ideas will involve quant analysis.

To start:

Use the PDF from http://stats.lse.ac.uk/kalogeropoulos/LD_1103.pdf#sthash.zOxvHOUY.dpuf as a reference. No comments or further support will be provided once my workflow goal is complete. See below for these workflow details.

Rationale of this project:

There will be more wrong than right in this project as it is strictly for learning to reverse engineer a real world research paper from the banking industry. This is not to include items like charting or trading execution. I am not interested in the performance of this strategy either. As a result, I keep critics, haters, and trolls at bay. This is just to keep this process transparent no different than using an open source software project model. I just hope people will contribute to make this project/process better and even correct. If you fork this, please let me know so I can further learn from your work.

Why Mupad and Matlab for myself?

I find these tools make me more productive and get ideas coded faster as compared to open source language alternatives. This is not to be a technical flame war but this is just a personal preference. I can also extend Matlab scripts faster into other languages (i.e. Java, ..NET, Excel, C, C++, HDL) fastest via Simulink and Matlab Builder tools. Do searches for my research on these tools at https://quantlabs.net/blog/ or https://www.youtube.com/user/quantlabs

I am also using this project as a test to my trading idea research workflow of:

https://quantlabs.net/blog/2014/05/new-visual-and-rapid-workflow-from-db-forex-trading-strategy-to-matlab-to-c-c-or-fpga-for-lowerst-latency-hft-deployment/

As a result, I am trying to ‘rapidly’ generate an algorithm with Mupad, generate custom M scripts, and implement into a systematic model with Simulink and Stateflow tools. Once complete, further code can be generated to C++, C, or even HDL (for potential FPGA deployment e.g. Verilog)

Where do go from here ?

Once I can deploy a trading model/strategy into C++ or C, I can generate Dynamic Linked Libraries (DLLs) or libraries into my various trading components I have at http://quantlabs.net/academy/ via my courses and memberships.

The files

The initial file package version includes my experimental Mupad Notebooks with generated Matlab M functions. These are definitely incomplete but will be updated as I correct them. There are 5 subfolders based on the Theories explained in the reference PDF from Deutsche Bank. I have also included note files for each folder.

I hope this helps everyone and including myself,

Thanks Bryan

P.S. All my files are at this link:

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Initial Deutsche Bank FX strategy aka dBFXstrategy open source experimental project with source code on Source Forge

Initial Deutsche Bank FX strategy open source experimental project with source code on Source Forge

UPDATE: Please find these files on GitHub not SourceForget so files links listed below

 

This is what I typed on the README file so please be gentle when giving feedback. This is an entire learning process:

 

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—-

This history:

I have spent many years looking at various technical trading platforms and trading components as in charting, etc. Now is the time to actually code a real world trading strategy so I intend to use this as a roll model to generate these trading ideas. I am hoping these trading ideas will involve quant analysis.

To start:

Use the PDF from http://stats.lse.ac.uk/kalogeropoulos/LD_1103.pdf#sthash.zOxvHOUY.dpuf as a reference. No comments or further support will be provided once my workflow goal is complete. See below for these workflow details.

Rationale of this project:

There will be more wrong than right in this project as it is strictly for learning to reverse engineer a real world research paper from the banking industry. This is not to include items like charting or trading execution. I am not interested in the performance of this strategy either. As a result, I keep critics, haters, and trolls at bay. This is just to keep this process transparent no different than using an open source software project model. I just hope people will contribute to make this project/process better and even correct. If you fork this, please let me know so I can further learn from your work.

Why Mupad and Matlab for myself?

I find these tools make me more productive and get ideas coded faster as compared to open source language alternatives. This is not to be a technical flame war but this is just a personal preference. I can also extend Matlab scripts faster into other languages (i.e. Java, ..NET, Excel, C, C++, HDL) fastest via Simulink and Matlab Builder tools. Do searches for my research on these tools at https://quantlabs.net/blog/ or https://www.youtube.com/user/quantlabs

I am also using this project as a test to my trading idea research workflow of:

https://quantlabs.net/blog/2014/05/new-visual-and-rapid-workflow-from-db-forex-trading-strategy-to-matlab-to-c-c-or-fpga-for-lowerst-latency-hft-deployment/

As a result, I am trying to ‘rapidly’ generate an algorithm with Mupad, generate custom M scripts, and implement into a systematic model with Simulink and Stateflow tools. Once complete, further code can be generated to C++, C, or even HDL (for potential FPGA deployment e.g. Verilog)

Where do go from here ?

Once I can deploy a trading model/strategy into C++ or C, I can generate Dynamic Linked Libraries (DLLs) or libraries into my various trading components I have at http://quantlabs.net/academy/ via my courses and memberships.

The files

The initial file package version includes my experimental Mupad Notebooks with generated Matlab M functions. These are definitely incomplete but will be updated as I correct them. There are 5 subfolders based on the Theories explained in the reference PDF from Deutsche Bank. I have also included note files for each folder.

I hope this helps everyone and including myself,

Thanks Bryan

QuantLabs.net

Download the original project files DIRECTLY  here deutsche bank fx

I have not submitted any files to SourceForget but I did submit to GitHub (surprise how much easier it is with their new GUI tool): https://github.com/quantlabs/db-fx-strategy

SourceForge project at: https://sourceforge.net/projects/db-fx-strategy/

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Deutsche Bank Forex trading strategy questions for clarification on math symbols and calculations

Deutsche Bank Forex trading strategy questions for clarification on math symbols and calculations

This is a first of a series of questions to people out there

Most questions are to clarify what the symbols/variables/functions mean. This will more specific questions.

Pg 6 theory (2)

Is the the whole optimization set of calculations?
What does v represent? Closest I got lower case upsilon.
E is an estimation or an expected function?
P is probability function?

Pg 7 theory (3)

What does s represent?
Is the G represent the GIRSANOV algo function?

Pg  8 theory (4)

Is the F a Fourier transform ?
Is the L a Levy process?
Is the pi Greek symbol linked back to the posterior probability process found on pg 6?
Where does the omega Greek symbol during Brownian motion process?

Pg 9 theory(5)

What does the inf{… Is this a function or set?

Pg 13 from thesis to trading model (3)

Under figure 3, is the top chart an inverse switch lileliHood measure? If do how does one calculate this? on same chart, what do these stars represen? How does one calculate original to the new change point?

 

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Another attempt at this Deutsche Bank forex trading strategy to create source code

Another attempt at this Deutsche Bank forex trading strategy to create source code

Yes we cake another stab at this.

Historical links:

http://quantlabs.net/academy/forum/quant-academy-forum/who-wants-to-help-out-interpret-the-math-of-this-deutsche-bank-forex-fx-strategy-ernie-chan-answers-with-video-included-for-fun/

Can you help interpret this Deutche Bank Forex FX quant trading strategy?

PDF From http://stats.lse.ac.uk/kalogeropoulos/LD_1103.pdf#sthash.rKAZDewb.dpuf

UPDATE: I am planning to use my workflow to implement this as described here. Latest news of from LQ says that there appears to ba backtesting engine is needed.  Whoa…this could be more involved than anticipated but that is ok. One that came up was trusty old Tradelink!

New visual and rapid workflow from DB forex trading strategy to Matlab to C++ C or FPGA for lowerst latency HFT deployment

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And now…my fireside chat with Dr Ernie Chan about cracking the code with Deutsche Bank forex FX quant trading model

And now…my fireside chat with Dr Ernie Chan about cracking the code with Deutsche Bank forex FX quant trading strategy
Could this be the break through we need?

Get your trading operation up NOW! This is on for a LIMITED TIME…

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