Tag Archives: Optimal

Hardest part of trading is optimal market entries

 

Hardest part of trading is optimal mark entry. I am tweakting my automated watchlist so I made video on this. This videos shown in the video below is part of Python Infrastructure Building Block course explained below. It is part of my Quant Elite membership which is also below. I am not going to showcase videos like this anymore but I want to stress the the difficulty of find these optimal market indicators.

 

New course!! Building Python algo trading system with Bitcoin an crypto currency focus

Introduction to Quant Elite Membership

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90 min video on watch list and position manager for optimal market entry

 

I have uploaded the private webinar I did last night. This was only shown for my Quant ELITE members. I am hoping the goal offers optimal market entry and exit for each position.

The benefits shown

Anyhow the video is is nearly 2 hours long. I basically went through 3 pseudo code files of:

  • Download manager which will constantly download from Binance for 5, 15, and hourly timeframes
  • Watchlist will check the latest price for market entry. It also ensures the chosen crypto currency outperforms my benchmark. I am looking at using Bitcoin Cash/Bitcoin as the gauge.  It also needs to ensure if the RSI of all timeframes listed are below 30. This confirms if the  entry is undervalue on all timeframes as well as there is momentum a well. Does this makes sense? But understand this is very experimental to ensure the market entry is optimal.
  • The position manager is used for all open positions. It just compares the latest price against target stop loss and calculated average true range. This is  quite detailed but my entire set of videos should educate you on this.
  • I also show how to use the operating system for heavy lifting instead of Python scripts. This can be really only be done in Linux since it is designed for this sort of thing without the usual unnecessary bloat that Mac or Windows has. I also show how to minimize the data analysis to reduce computer utilization and Python utilization.

This was methodology is used by many professional asset managers but do understand what I am doing is fully automated. There is no need for human intervention if it works out.

Also prices for ELITE are back to normal after our sale.

Access Python 3 Infrastructure Algo Trading course with Bitcoin Crypto currency NOW!

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Corrected Markowitz and Sortino views for optimal expected return

If you have seen any of my views of Markowitz for portfolio optimization for improved expected return.  You see them here:

Testing of Python Markowitz Portfolio packages

Deep testing of Python Markowitz Portfolio packages

You can always search for more with this

Here are some corrections on both Sortino and Markowitz from some an expert on my Telegram PRIVATE group:

Corrected view

I just wanted to mention a couple of things related to your recent posts.

The first is that Markowitz optimisations assume the returns are normally distributed (which is never the case in finance), so don’t expect to achieve the ‘expected’ return. Also bear in mind that such portfolio optimisation is intended to be done over much longer periods of time; doing it over a week or month is likely an exercise in futility because you’ll constantly be fitting your weights to very recent data which is almost guaranteed to change in the subsequent period due to the nature of financial markets.

In fact, many practioners have come up with improvements to Modern Portfolio Theory (which is certainly not modern these days), and many have also found equally-weighted portfolios to be preferable (e.g. https://www.diva-portal.org/smash/get/diva2:694576/FULLTEXT01.pdf). In any case, minimum variance optimizations should be preferred to mean-variance (aka Markowitz); the ‘expected’ return will likely be lower, but it will also be much more realistic than that of the Markowitz portfolio due to the greater out-of-sample persistence of risk-related measures such as variance when compared to those that contain information about absolute returns (e.g. mean of the return distribution).

The second is in relation to the Sortino ratio. You mentioned that the difference between it and the Sharpe is that the Sortino accounts for volatility. This is not the case; the Sortino is identical to the Sharpe except that it does not penalise positive deviation. For me personally, I prefer Sharpe because the objective function that I’m maximising is stability of returns. If you’re more interested in absolute returns, then Sortino is still preferable. But again, measuring over 7 or 30 days is essentially a random exercise.

Combining best performing forex pair should hugely increase your expected return and Sharpe Ratio

 

 

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LIVE Overview of spreadsheet data for crypto currency optimal automated trading

This will be covered live at youtube.com/quantlabs live on Mon Jul at 7PM EDT. More details at youtube.com/quantlabs

Let me present the short video

This includes the details of how you can use my spreadsheet from the Quant Analytics everyday

Hi there,

You are invited to a Zoom webinar.
When: Jul 9, 2018 7:00 PM Eastern Time (US and Canada)
Topic: LIVE Overview of spreadsheet data for crypto currency optimal automated trading

Please click the link below to join the webinar:
https://zoom.us/j/303876354

Or iPhone one-tap :
US: +16465588656,,303876354# or +16699006833,,303876354#
Or Telephone:
Dial(for higher quality, dial a number based on your current location):
US: +1 646 558 8656 or +1 669 900 6833
Webinar ID: 303 876 354
International numbers available: https://zoom.us/u/bUN9jPlP9

 

Important notes of spreadsheet columns:

slope : slope of the regression line

intercept : intercept of the regression line

r-value : correlation coefficient

p-value : two-sided p-value for a hypothesis test whose null hypothesis is that the slope is zero

stderr : Standard error of the estimate

https://stackoverflow.com/questions/9538525/calculating-slopes-in-numpy-or-scipy

Understand the relationship: https://www.researchgate.net/post/What_is_the_relationship_between_R-squared_and_p-value_in_a_regression

Extra momentum as calculated from: https://github.com/bukosabino/ta

 

Latest learning on Algo trading with Crypto currency with Binance market data

 

 

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!

New combined parameters to use for optimal real time crypto currency pairs

Lots of parameters I am using to combine proper trading decisions for optimal profit return. I am showcasing the combination of this for highest returns when position are entered. This is important to watch to understand you cannot depend on one or two indicators. You may wonder why folks are losing money left and right. There are so many false positives out there for bad positions to go bad. Do understand these parameters can be used universally for all major asset classes. This includes crypto currency with Binance Exchange for my needs. Also, I am using Python to create these but I am starting to hit limitations with it.

NOTES

Remember this is to kept simple. This includes technical analysis since it seems to work ok versus other analytics techniques I tried.

 

Chart Director trading 38 min video added to Python 3 quant elite course

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Sample test different technical indicators for optimal forex market entries

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.

https://www.thebalance.com/best-technical-indicators-for-day-trading-1031208

 

Currency pair spreads

ZARJPY 0.00001999999

USDJPY 0.00003
EURUSD 0.00004
USDZAR 0.00003
USDHUF 0.00002
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!

EXPIRE TONIGHT! Source code walkthrough of portfolio optimization for optimal profit potential

EXPIRE TONIGHT! Source code walkthrough of portfolio optimization for optimal profit potential

This expires TONIGHT!!

 

The details are here:

 

Source code walkthrough of portfolio optimization for optimal profit potential

DEADLINE HAS BEEN SET TO TONITE END OF TUES OCT 17

Get access as described in my video

I will be testing these theories hopefully by the end of the week. If they all check out, i would expect this rate to go up in coming weeks.

JOIN HERE

–>  GET IMMEDIATE ACCESS HERE <–

I will also give you my Telegram chart group invite link as well for PERMANENT access

Details here for walkthough here:

Watch my video and see my third party verification of my highly paid traffic visitors here

 

I will holding an online event next Monday Oct 23 at 7PM EDT for a live Q&A on this portfolio optimization source code.

You can always join here to get on my email list for online events outside of my Meetup groups which only hold the face to face events in Toronto, Canada.

 

http://quantlabs.net/mkt/trade-like-a-boss-download-report/

 

About a year ago, I launched this book. After thousands have downloaded it, you may want to get your free copy, plrease respond to this email.

 

A new book I wrote is coming out soon. I also attached the tentative cover as well.

Major headline sections:

THE STATS
YOUR CHOICE OF LANGUAGE
THEN THERE IS MATLAB…
WHICH DATABASE?
BROKERS
MARKET DATA
PYTHON PACKAGES
DESKTOP OR MOBILE (APPLE VS ANDROID)

Just email me for the download link if you don’t get the link from here:

 

http://quantlabs.net/mkt/trade-like-a-boss-download-report/

 

Thanks 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!

Forecasting most volatile forex pair with optimal portfolio for max return

Forecasting most volatile forex pair with optimal portfolio for max return

Continuing from my past posting at

Most volatile currency pairs for effect forex automated trading

I would be interested in hearing from the experts if I am onto something

These are the results from my scripts I modified. These DOC and forex ranking.csv files are attached

ranking

5_forex

ZARJPY_NZDCHF

ZARJPY_NZDJPY

 

 

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 hedging and optimal hedge video playback

More hedging and optimal hedge video playback

This is a chosen unit from my Futures/Options to highlight some of the detailed discussion that comes out of these for my Quant Elite  members. These can be highly valued based up on the people that attend.

The video below is nearly 3 hours long! There were so many topics covered

Here some of the links

http://www.investopedia.com/articles/bonds/07/price_yield.asp

http://www.iqfeed.net/index.cfm?displayaction=support&section=main

https://swiftlang.ng.bluemix.net/#/repl

http://www.tiobe.com/tiobe-index/

https://www.freebsd.org/about.html

http://www.macrumors.com/2016/11/09/new-macbook-pro-has-outsold-all-competitors/

More notes:

i’m using http://etfdb.com

use database

 

menu choice

 

Windows 10 isn’t bad. I’m really excited to get my hands on the latest Windows Internals, new kernel features.

 

“Windows Internals” is a book that gets republished every few years. Documents the inner workings of the operating system.

 

https://technet.microsoft.com/en-us/sysinternals/bb963901.aspx

 

It’s sister book is Windows Via C/C++

 

Maybe, but probably not. Not faster than a couple hundred MS.

 

the best boomberg ETF reporter is Eric Balchuas – he is writinf ETF book , about to be published

 

http://www.bloomberg.com/news/audio/2016-11-12/balchunas-on-post-election-rally-in-financial-etfs-audio

Join my FREE newsletter to learn more about the Quant Elite membership (this closeed within a few months so hop to it)

 

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!

My C++ Python hedging for optimal futures trading returns

My C++ Python hedging for optimal futures trading returns

These are very powerful combinations that enable you analyze risk in real time in many ways

Join my Quant Elite for all this code

Hedging currency futures and options during Brexit could make you so much

Join my FREE newsletter to learn more about this code for automated trading

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!