Tag Archives: momentum

ESG tilt performance not as good as #momentum #Trading strategy

ESG tilt performance not as good as strategy

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ESG tilt performance not as good as #momentum #Trading strategy

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Backtesting for Trading and Quantitative Momentum Strategy Courses POSTED by Dr Ernie Chan

Backtesting for Trading and Quantitative Momentum Strategy Courses POSTED by Dr Ernie Chan

Quantitative Momentum Strategies by Dr Ernie Chan

Register or more details  of either course at:

Backtesting by Dr Ernie Chan

http://quantlabs.net/academy/backtesting-dr-ernie-chan/

Quantitative Momentum Strategies by Dr Ernie Chan

http://quantlabs.net/academy/quantitative-momentum-strategies-dr-ernie-chan/

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Who knew? As DBMS wars continue, PostgreSQL shows most momentum, Oracle MYSQL SQL Server and NOSQL MongoDB drop

Who knew? As DBMS wars continue, PostgreSQL shows most momentum, Oracle MYSQL SQL Server and NOSQL MongoDB drop

Postgres has always been an interesting to watch!

http://www.zdnet.com/as-dbms-wars-continue-postgresql-shows-most-momentum-7000032711/

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GOLD: Extends Bearish Momentum, Sets Up For The 1,604.10 Level

GOLD: Extends Bearish Momentum, Sets Up For The 1,604.10 Level fxtechstrategy.comGOLD: Our outlook on Gold remains to the downside as it weakened for a third day in a row the past week. With that said, further declines is expected towards the 1,641.35 level.
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Will piracy kill both Amazon Kindle Fire and Apple iPad iPhone momentum? Long live Google Android?

Will piracy kill both Amazon Kindle Fire and Apple iPad iPhone momentum? Long live Google Android?

Think about it. Piracy killed so much out there but why Android. Most good apps are free on Anrdoid. You cannot pirate stuff that is free. Makes me wonder how these companies will thrive within the digital space as their only future revenue could be hardware. Maybe companies like Samsung and HTC will survive with their huge volume and low margin business. Just saying.

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Volatility – how far will price move in a particular direction? Momentum – how many times will price range before breaking out?

Volatility – how far will price move in a particular direction? Momentum – how many times will price range before breaking out? Probability – when will the inevitable breakout occur?

As a technical analyst, I am always researching more accurate ways of measuring these 3 factors which I believe drive the FX markets. For those who agree with me, what approach/TA tools best measure these, separately or in tandem?

3 factors which drive fx market are import/export companies changing currencies, major banks trading for their portfolios and their clients, and lots of bucketshops hedging their net positions. Momentums, breakouts and other technical things are only attempts to formalize repeating patterns coming out of those above mentioned 3 factors. Do not confuse the cause with the consequences.

 

You do not necessarily need to know the cause to exploit the consequence. At the end of the day, the supply and demand battle takes place on the charts. Sometimes, less is more…

 

==

There are many definitions of the 3 concepts – Volatility, Momentum and Probability (Eventuality), which is why I explained them in my own words. Yes, they do not “drive” the markets, but my paradigm is that the move of the markets, once they are driven, can be defined using these parameters. So, are there other parameters that I may have left out?

 

==

I doubt if you can exploit the consequences of, say, BMW or Toyota trading
euro for yen to simply pay their counteragents in EU or Japan. Or can you?

As to “parameters” you mention — there are price, time and volume (traded
and in the order book). For several types of instruments there is also open
interest. That’s all. Everything else is a derivative of any sort, which
can be used for describing market events of any sort, but not vice versa.

Have you ever pondered upon the fact that the absolute majority of authors
play with terms like “momentum” and “volatility” without any formal
definition of the terms? That they prefer to use “intuitively clear” terms
like “trend” with a good deal of arbitrariness in their usage?

 

I struggled with the application of volatility and momentum for many years. It got me nowhere. Ultimately the market is a random series of events made by very large players. My solution to understanding what was happening was to take a 1M chart and overlay it upon a 1H block (I started with Syd open as 1H block #1). It soon became obvious which blocks and which parts of the block the market-movers preferred. It also highlighted the idea that randomness was limited in that price runs (up or down) occured within the same group of 1H blocks.

I then overlayed (or tried to) the daily routines of fund managers onto each of these blocks to try to get a picture of why price jumped as it did. Such analysis gives you the obvious trading hours (open/close of Sydney, Tky, Frankfurt spike, London open/close, NY open/close). It also hints at times when something may happen (or not). There are also strong moves following news announcements. At the very least you get times when you can switch off/backup or modify your code.

All of this was easily coded. My explanation probably has some strategy or formal theory that has already been provided in threads. However after looking through threads for a long time I found it easier to develop the system from first principals rather than try to translate existing language/stuff.

 

 

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Trading with model which picks up time-series momentum. Actual trading profile for last two years has been decent with about 65% success

I have been trading with model which picks up time-series momentum. Actual trading profile for last two years has been decent with about 65% success. The problem has been with steep drawdowns.

In some of the periods the drawdown has been severe, though it recovered fast. Have others experienced similar phenomenon where the return profile is good but drawdowns have been severe. Are there any precautions or changes to strategy which can be made to reduce the drawdown…

—–

how good are the profits?
I understand that you are getting 65% wins and rest losses/flat.. you could apply dynamic capital allocation strategies to this since its based on momentum..

Most of the time its risk vs. return and we would see sharp drawdowns for the strategies where the success ratio is higher..

—–

Exactly right – 65% I mean the same. Have used dynamic allocation based on momentum and/or volatility parameters but not been very successful. Do you recommend other ways of dynamic capital allocation.

Absolutely true – drawdown would be dependent on risk-return profile one is trying to achieve. Second is interesting that drawdown being higher with high success ratio, I have seen the opposite. Would be good to understand the situation where drawdown increases with increasing success..

 

—-

So far I am using volatility to determine my allocation and I added in profit trailing stop. This have limited my loss. Although my hit rate is about 33%, but the profit factor (or expectancy) is about 1.98. Of course, the wider the stop loss, the lesser the quantity I can trade.

—-

You do not provide enough information about the strategy, model(s) or instrument(s) traded to make much of a guess as to why you are experiencing “severe” and “steep drawdowns”…

I understand that you may not want to disclose your IP but a little more information would be helpful in the diagnosis. You may contact me privately if you are not comfortable providing any additional information in this public forum

—–

my model sifts through the intra-day prices and volume patterns to define the momentum. E.g based on last few hrs of price change and volume pattern, momentum is defined. Once the signal is given a basket of stocks is taken and held overnight and exited at fixed time the next day.
In backtest monthly profiles are good, but the issue is about some of months when there is steep drawdown of the order of 20-25%. My initial thought was that it may be caused due to some news based events but further analysis show it is not linked to some particular event. Over last 10 years of data there are two-three months every year when there are continuous losses. Few big ticket losses are followed by number of small losses.
My concern has been that in real time trading the actual drawdowns can be severe because of combined effect of draw-downs which are seen historically and also some unfavorable overnite event which might not have been hit historically.

—–

Why hold overnight? You’re exposing yourself to unexpected events.

Can you try limiting your downside with some protective calls/puts. You can sell them back at the open to prevent the risk of overnight events.

 

– Positions can be liquidated before close but that that penalizes the profitability to a great extent.

Protective calls/puts help in reduction of drawdown but penalizes the Sharpe Ratio.

—-
Depending on your frequency of trades, setting up control system might be useful for example quadratic loss function, also there are number of pattern recognition tools(data mining) that might solve the problem

Thanks

—–

I don’t do this myself, but I’ve heard of some traders who stop trading for the month if their losses exceed a certain % of their trading account. Perhaps you could examine your loss profile and determine a threshold beyond which you know you’re going to experience “one of those months” and just stay out of the markets once the threshold triggers.

Also, you could try a profit-taking stop as well as a trailing stop loss. The profit-taking stop will typically increase your winning % while lowering your net profit somewhat, but it may also reduce your exposure by getting you out of the market sooner. The trailing stop loss will usually reduce your winning % while increasing your win/loss ratio. It may also impact your net profit, but also serves to reduce your time in market.

 

 

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!

I have been trading with model which picks up time-series momentum.

 

I have been trading with model which picks up time-series momentum. Actual trading profile for last two years has been decent with about 65% success. The problem has been with steep drawdowns.

In some of the periods the drawdown has been severe, though it recovered fast. Have others experienced similar phenomenon where the return profile is good but drawdowns have been severe. Are there any precautions or changes to strategy which can be made to reduce the drawdown…

—–

how good are the profits?
I understand that you are getting 65% wins and rest losses/flat.. you could apply dynamic capital allocation strategies to this since its based on momentum..

Most of the time its risk vs. return and we would see sharp drawdowns for the strategies where the success ratio is higher..

—–

Exactly right – 65% I mean the same. Have used dynamic allocation based on momentum and/or volatility parameters but not been very successful. Do you recommend other ways of dynamic capital allocation.

Absolutely true – drawdown would be dependent on risk-return profile one is trying to achieve. Second is interesting that drawdown being higher with high success ratio, I have seen the opposite. Would be good to understand the situation where drawdown increases with increasing success..

—-

So far I am using volatility to determine my allocation and I added in profit trailing stop. This have limited my loss. Although my hit rate is about 33%, but the profit factor (or expectancy) is about 1.98. Of course, the wider the stop loss, the lesser the quantity I can trade.

—–

You do not provide enough information about the strategy, model(s) or instrument(s) traded to make much of a guess as to why you are experiencing “severe” and “steep drawdowns”…

Ralph Vince has some interesting things to say about money management and risk analysis…

I understand that you may not want to disclose your IP but a little more information would be helpful in the diagnosis. You may contact me privately if you are not comfortable providing any additional information in this public forum…

—–

my model sifts through the intra-day prices and volume patterns to define the momentum. E.g based on last few hrs of price change and volume pattern, momentum is defined. Once the signal is given a basket of stocks is taken and held overnight and exited at fixed time the next day.
In backtest monthly profiles are good, but the issue is about some of months when there is steep drawdown of the order of 20-25%. My initial thought was that it may be caused due to some news based events but further analysis show it is not linked to some particular event. Over last 10 years of data there are two-three months every year when there are continuous losses. Few big ticket losses are followed by number of small losses.
My concern has been that in real time trading the actual drawdowns can be severe because of combined effect of draw-downs which are seen historically and also some unfavorable overnite event which might not have been hit historically.

—-

Why hold overnight? You’re exposing yourself to unexpected events.

Can you try limiting your downside with some protective calls/puts. You can sell them back at the open to prevent the risk of overnight events.

—-

Positions can be liquidated before close but that that penalizes the profitability to a great extent.

Protective calls/puts help in reduction of drawdown but penalizes the Sharpe Ratio.

 

 

 

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!