I am now using MotiveWave for quick studies as I did here. It minimized the time spent to develop in Python where I can get the visuals with indicators/studies to see ideas quite fast!
I found testing for standard deviation here was inconclusive as compared to rate of change. I did discover something that seems to work nice for low latency crosses for entry/exit conditions.
Note that I am affiliated of Motive Wave which mean I can help you in this killer platform if you are interested.
I did another analysis for today. I went through to verify if this BCH BNB was the right for the pick for today. It might be but I will follow up with results tomorrow so stay tuned. I also list indicators in the videos below as people have been asking about.
I demonstrate the various mix of crypto currency pairs which can be quite optimal. If you look at the other short videos, it seems you could have doubled your positions in a little over a week. It just depends on your entry while it was in an range bound for a week.
Others have been asking what indicators I use so this fully showcases which ones I use. If you watch the other watchlist and position manager video, you can see which indicators I use for that scenario.
Now the videos
More posts went up
How one Candlestick Wick in #bch could have gotten you an extra 25% with automation. I show this to my latest # Facebook Live video on quantlabsnet page #cryptocurrency #bitcoin
You could have doubled if you had the right automation. Check out the charts here
This 1+ hr video reveals a lot of using my recent automated head and shoulders in conjunction with the other indicators like Fibonacci, Moving Averages, Signal (from MA crosses), and Trend line. It looks like most crypto currencies are getting hammered lately but there is the odd gem in there.
What you should take away from this video
Once automated and ranking for these pairs, it will make life more interesting to know what to trade for optimal profit. I want you to realize these charts revealed still need major tweaking but the mechanics are implemented somewhat.
Popular indicators were introduced from 2 recent videos. These were from the TA-Lib package Python wrapper. I further tested to see which indicators could be found useful. Although, I would give you a different answer from my recent analysis video where I demonstrated popular indicators Williams R% and Stochastic, you would think everything looks clean. This is just another way of saying they do not lag when they change direction at fast timeframes like Tick or 1 Minute. I really emphasized the importance of this in the videos.
Different results vs Dukascopy JForex
I went ahead to start analyzing the same indicator with exact timeframes using TA-Lib within Python. As compared from within Dukascopy JForex, It seems I got different results so I tested a complete pile of them. This included:
1. Stochastics was just to jumpy to work with any form of trend.
2. Beta was more consistent which did not move around as much.
3. Williams R was again to volatile (in short periods) moving between in upper and lower ranges
4. Linear Regression and Chaikin A/D Oscillator was the same effect as Williams R
The only ones that seem to work were the popular indicators which include:
1. Normalized ATR
2. SMA
3. Bollinger Bands
4. Rate of Change Percentage
As a result, I will stick these 4 above to find out the magical combination. There are others to pick from within TA-LIB but I find you want to keep the combination simple. This also is important to really understand how properly interpret the unpredictable indicators I list above.
Next steps and considerations
I need to show how to properly implement these but it depends when there data stored eg. database vs flat file. It looks the simplest is to use CSV with multiple instrument access is less utilized on the computer hardware front. You can obviously understand hoq critical these decisions are for when using an interpreted scripting language like Python.
There will be lots more to report as I continue along. Do note I find working with Python is much more product than Java within Dukascopy Jforex API.
Sample test different technical indicators for optimal forex market entries
There seems to be no spread or volume different when testing popular pairs vs volatile
Posted to my Telegram private group:
Here are my tests so far for a late friday EDT. for dukascopy, the 2 most volatile pairs (e.g. ZARJPY and USDZAR) vs more popular pairs like EURUSD and USDJPY have the similar spread cost and volume is very similar across the board. This is all within Dukascopy. I will have a video posted later today on it. I think I may need to retest on a Weds afternoon to see if there is a differennce but I wanted to test this thoery on random trading day with no news shocks.
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.
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.
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
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
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…).
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….
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
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.
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.
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
http://blog.andersen.im/wp-content/uploads/2012/12/ANovelAlgorithmicTradingFramework.pdf <– great research for machine learning with Portfolio Analytics/Risk/ etc
