Tag Archives: estimate

One estimate the maximum capacity of a quantitative trading strategy and analysis

 

 

How can one estimate the maximum capacity of a quantitative trading strategy?

This is a Quora people really like on my Facebook page. Check out some of the highlights:

Assuming you’ve got a strategy that captures actual alpha, you’ve got to build in an estimate for execution costs (easily added) and ‘slippage’.

 

That estimate will typically be concerned with 2 things, overall stock trading volume, and your intended order execution size. As your intended size increases, so does your slippage. When you get to the point that you can no longer add any volume (because slippage is eating all of your intended profit) you can use that number to back into your total strategy capacity.

 

You will always hear me talk about volume in my analysis I have been doing!

 

https://www.quora.com/How-can-one-estimate-the-maximum-capacity-of-a-quantitative-trading-strategy?fbclid=IwAR10fNCQQ_ZiGshE5kzm0NdaEaCWkoNiraSpQ7UYnwE8ivnJEUm4fFCB1PY

 

 

 

Find yesterdays analysis here

…be doing more of this type of analysis. I mostly focus on CFD and forex looking for patterns and relationships. I think i found some but it would be great if I could automate this whole process. I feel volume will be a big factor for executing orders if the instruments have low volume. As I have shown in this video, it seems Oanda does not update price moves if there are not another order.It seems to throw off the charts so I need to address in the Analytics service.

Analyzing markets today to forecast for tomorrow based on volume filtering

Live market analysis on Nov 1

Warning: As at the end of this video, I received a hater with a dislike and negative comment. This is sort of rampant on Youtube but I may move this type of LIVE analysis over to Facebook Live on my Facebook page of QuantLabsNet. Facebook only allows liking stuff so considering I provide this stuff for free, I am just figuring why tolerate the potential found ‘hate’ and ‘trolls found on  YouTube. Also, Facebook just reached in having more videos engagement vs Youtube anyhow. As a result, Facebook has a bigger and more positive audience as well.

Check out my Analytics for future analysis like this

Quant Analytics

Related website mentioned in this video

https://www.businesstimes.com.sg/banking-finance/australian-dollar-jumps-on-bumper-trade-surplus-new-zealand-dollar-firmer

https://www.oanda.com/forex-trading/tools/news-overlay

marketpulse.com/economic-events

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!

Stock market fair value on MorningStar’s fair value estimates for individual stocks it is way too high #start #market #estimate #Stocks #trading #investing

Stock market fair value on MorningStar's fair value estimates for individual stocks it is way too high

[igp-video src=”” poster=”https://quantlabs.net/blog/wp-content/uploads/2015/02/Stock-market-fair-value-on-MorningStars-fair-value-estimates-for-individual-stocks-it-is-way-too-hig.jpg” size=”large”]
Stock market fair value on MorningStar's fair value estimates for individual stocks it is way too high #start #market #estimate #Stocks #trading #investing

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!

4 demos to estimate market direction with ARIMA in Matlab

4 demos to estimate market direction with ARIMA in Matlab

Source code of Matlab is at this next link:

learn more about being an elite quant here

Or Join our FREE newsletter to learn more about this market forecasting

 

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!

More postings to simulate, estimate, forecast, and analyze the markets using these unknown forecasting quant secrets

Hi there

Here is the second day of postings of GARCH and other market predictors using Matlab. These are only exclusive to my QuantLabs.net Premium Members so:

–> JOIN NOW FOR IMMEDIATE ACCESS <–

Even a new QuantLabs.net member said:

“Good work on the GARCH stuff – amazing amount of stuff in MATLAB I’d never quite appreciated.”

Forecasting topics include:

Volatility Simulation with GARCH in Matlab

Using ARMA in Matlab

Comparing various GARCH parameters in Matlab

How to infer residuals with GARCH or ARMAX in Matlab

Estimating GARCH parameters in Matlab

Even a live webinar is being planned to handle your questions that come out of this. As a result

–> JOIN NOW FOR IMMEDIATE ACCESS <–

There are so many more benefits in being a QuantLabs.net Premium Members. Go here for the list.

Thanks Bryan

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!

More postings to simulate, estimate, forecast, and analyze the markets using these unknown forecasting quant secrets

Hi there

Here is the second day of postings of GARCH and other market predictors using Matlab. These are only exclusive to my QuantLabs.net Premium Members so:

–> JOIN NOW FOR IMMEDIATE ACCESS <–

Even a new QuantLabs.net member said:

“Good work on the GARCH stuff – amazing amount of stuff in MATLAB I’d never quite appreciated.”

Forecasting topics include:

Volatility Simulation with GARCH in Matlab

Using ARMA in Matlab

Comparing various GARCH parameters in Matlab

How to infer residuals with GARCH or ARMAX in Matlab

Estimating GARCH parameters in Matlab

Even a live webinar is being planned to handle your questions that come out of this. As a result

–> JOIN NOW FOR IMMEDIATE ACCESS <–

There are so many more benefits in being a QuantLabs.net Premium Members. Go here for the list.

Thanks Bryan

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!

Estimate cost of market impact

Want to learn about this algoritm? Learn more by joining our quant newsletter or  become a QuantLabs.net Premium Member today. Get access by going to:
http://quantlabs.net/membership.htm

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!

estimate Fill Ratio dependency on the Latency in orders execution for a HF strategy, what would you do ?

aIf you need to estimate Fill Ratio dependency on the Latency in orders execution for a HF strategy, what would you do ?

I run back-testing on e-mini S&P500 and the software takes 100% fill ratio (for my limit orders) by default which is unrealistic for a HFT. The fill ratio should depend on the speed of execution and the size of orders, but how it can be estimated before real-money tests ?

How do you simulate a fill?

For simulations based on trades:
* You get a complete fill on your limit order when your limit price is traded
* You get a complete fill at your limit price as soon as a better price is traded
* You get a partial fill at your limit price as soon as the a better price is traded with the fill size the traded size.

Or do you have market depth data you can use?

est with a 1 lot , only assume fills when the price is breached. If your system still works trade live.

et’s say, I have Omega TradeStation and I don’t have market depth data. So the only situation when I can be sure in a full fill of the limit order is one when the order was generated “relatively” (to be defined) long before the trade occured (so it was actually in a queue) + the next price after the trade was better than the price of the trade (which means the limit orders of that price were executed 100%). In all other cases the order – in reality – might be executed partially or not executed at all due to too big latency in the route … Is there a chance to find a kind of 3D empirical graph linking actual latency, order size and fill ratio? Yet, there is also a time of the session parameter

Great! This is exactly the way I usually do it. I run optimization of the limit order price and then take the number of trades (frequency) from the “more distant limit price” set of parameters while the profit per trade – from the “less distant limit price” set of parameters. Multiplication gives an adjusted TotalNetProfit. Still the problem remains if there is a need to increase the size (for instance, for a business plan) or to move into HFT area. When frequency is high the role of latency becomes too uncertain/important.

You might like this paper:

Order Book Simulator and Optimal Liquidation Strategies.
Su Chen, Chen Hu, Yijia Zhou
http://www.stanford.edu/class/msande444/2010/2010p8.pdf

If you enjoy modeling, you could define a limit order flow model, simulate the orderflow and the orderbook, and tweak parameters untill the limit data you have and the simulated equivalent match.

If you go low latency then Tradestation is not the best tool.

ight you are. I used to work with it on slow strategies. It’s like old shoes – they do not work any more, but you still love them.

where did you get those rules? Any market practitioner would reason that you cannot blindly assume near-low-latent limit order execution. @Alexei, yes 100% (absolute) fill is unrealistic for HFT. The low-latency objective seeks to reduce slippage for flash traders. Flash traders are not seeking limit orders. Understand the assumptions in HFT. Separately, the fill-ratio is demand-supply, volatility dependent. Speed of the LIMIT ORDER’s execution would become increasingly significant in a increasingly active/volatile market, where the market is deviating from idle/low volume&volatility to active/high volume&volatility, esp. if you consider market makers moving the the price away from its center during low volume (less) and during high volume (more) periods. If I am mistaken/wrong, please provide citations / papers :: links.

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!