Tag Archives: generating

Where does generating alpha come from

Where does generating alpha come from

Some highlights from this interesting roundtable

Why monthly return numbers are useless for a proper fund analysis

In the current environment, the hedge fund space is more relevant for investors than ever before, but you need tools which are better than the tools you had in the past. The hedge fund space has a very serious problem related to the fact that a lot of the screening for managers and a lot of the “research” (i.e., understanding what managers do) is based on a single number that the managers report once a month: the return. And it’s virtually impossible, to find anything meaningful using this approach, says Prof. Luis Seco from Sigma Analysis. While the monthly return information is of course important, it’s a massive compression exercise from where it is hard to extract a meaning. Investors are getting just a summary of thousands of activity points cumulating to one number.

Hedge fund portfolios would be too complicated to understand from a data series of one number per month. Rather, “You have to go to the transactional data. We have been doing this for ten years now, on a lot of funds. When you look at every transaction that hedge fund is doing, you can develop analytical tools to understand where they make money and where they lose money, and why. I come from a world where we run all our clients’ money on a managed-account platform, so we have access to virtually all relevant information. Imagine you get to see everything the hedge fund does, what decisions were right, what decisions were wrong through the right analytical toolbox, you get access to what people call alpha, except it is not alpha anymore, because alpha and beta are statistical numbers, but there are no statistics involved here – they are direct analytics. Following this approach, suddenly you have a tremendous tool to do manager selection and portfolio construction.”

http://www.opalesque.com/RT/RoundtableFrankfurt2016.html

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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!

20+ minute video of Demo of Automatically generating spread trading pair for long and short by Euopean country sector

This is the start of demoing the automated intelligence for my NEW and upcoming internal trading system

20+ minute video Demo of Automatically generating spread trading pair for long and short by Euopean country sector
I now have the capaibilityt to generating trading pairs for my long and short which can be used for spread trading. I can then also use another script to pick off my proper stocks on each search within the country’s list. Onec chose, the pair are then added to my watch list which is used for monitored for trading opportunities.- See more

TONIGHT FOR THIS MONDAY!

Pow wow: Can you use government source data to predict the markets for profit?

http://www.meetup.com/R-Matlab-Users/events/214210572/

http://www.meetup.com/quant-finance/events/214210252/

Remember I have been posting some exclusive content to help those who want achieve these same results I am seeing.  See more here

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!

Q&A on storing real time data ticks from IQFeed into a SQL Server while generating quant trading signals from DotNet and Matlab

Q&A on storing real time data ticks from IQFeed into a database while generating quant trading signals from DotNet and Matlab

This came in from a QuantLabs.net Premium Member:

>
> On top of that I have a quick question. I have both IQ feed and
> Matlab, do you know how to get market depth data work it to get
> trading signals? I’m also finding trouble to store the realtime data
> in a database.
>

 

My response:

Also, IQFeed only give Level 2 but you can get up to level 9 but that is big bucks (i.e. >$1000 per month. As for storage, you could try QCollector but I am working on a CEP solution to store with SQL Server.As for trading signals, you need to code that up into your trading model or strategy which I am also currently working on.
On 2013-09-11 16:21, Túlio Carnelossi wrote:

 

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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!

Accelerate your MATLAB algorithms and applications! Here’s some tips for assessing code performance, generating C code

Accelerate your MATLAB algorithms and applications! Here’s some tips for assessing code performance, working with system objects, generating C code, and more:

http://www.mathworks.com/company/newsletters/articles/accelerating-matlab-algorithms-and-applications.html?s_eid=PSM_4828

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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!