Tag Archives: maximum

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

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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!

Primary asset classes you are currently trading or looking at for maximum profit potential

 

I have here a crucial survey to help focus on asset classes for you. Let me know what you think. This can be found my Facebook group of over 10500 folks.  See below the group link on Facebook to find this.

Important survey! What are the primary asset classes you are currently trading or looking at for maximum profit potential?

Voters for this option
Voters for this option
Voters for this option

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!

Should you use curve fitting or trading strategy optimizing for maximum profit potential?

Hi there

Some important postings this week. This especially true if trading strategists do actually use curve fitting or optimization whent work on their trading models or algorithms.

New secretive doc summarize ALL profitable quant trading strategies for forex and equity. Futures and options considered

https://quantlabs.net/blog/2013/06/new-secretive-doc-summarize-all-profitable-quant-trading-strategies-for-forex-and-equity-futures-and-options-considered/

Why you should not optimize or use curve fitting on your trading strategies for forex or futures? Metatrader and C++ source code

https://quantlabs.net/blog/2013/06/why-you-should-not-optimize-or-use-curve-fitting-on-your-trading-strategies-for-forex-or-futures-metatrader-and-c-source-code/

Buzzing on the new Academy Forum so add your opinion:

Any volunteers who want to help out trading strategy performance?

http://quantlabs.net/academy/forum/careers-jobs-forum/any-volunteers-who-want-to-help-out-trading-strategy-performance/

Anyone believe in curve fitting?

http://quantlabs.net/academy/forum/quant-academy-forum/anyone-believe-in-curve-fitting/

Anyone believe in optimizing your trading strategy?

http://quantlabs.net/academy/forum/quant-academy-forum/anyone-believe-in-optimizing-your-trading-strategy/

Remember the clock is ticking to take full advantage of our offer to become a QuantLabs.net Premium Member by this Monday June 31. I doubt I will ever be this generous again. So claim your your $697 in FREE courses by being a member today.

All courses listed here:

http://quantlabs.net/academy/buy-all-our-courses-in-r-matlab-quanthft-and-trading-software/

This is what you get as displayed in this 1 hour video:

https://quantlabs.net/blog/2013/06/free-r-tutorials-1-hour-video-on-how-to-learn-r-matlab-trading-systems/

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Thanks for reading!

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!

Cluster analysis method which allows a user to set constraints on the minimum and maximum number of cases per cluster?

Cluster analysis method which allows a user to set constraints on the minimum and maximum number of cases per cluster?

Does anyone know of a cluster analysis method which allows a user to set constraints on the minimum and maximum number of cases per cluster?

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In SQL Server Data Mining there is Microsoft Clustering Algorithm which has minimum number of cases as a parameter. Microsoft gives some references that inspire their implementation . May be helpful for you.

 

 

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!