Tag Archives: pair

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

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

Proper metrics under proper conditions

The first little bit talks about the combination. I have tested this on multiple time frames but usually find these 2 best performing currency pairs historically will give you highest expected rate of return and expected Sharpe as well.

Note that there is a gap of blackness in video so just wait to see the detailed analysis.

Do realize that this technique can be applied to any asset class universally.

If you are interested in how the Portfolio Optimization, I have various videos that showcase this 

 

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Which is the best forex pair right now ?

Which is the best forex pair right now ?

Here are my test for the data of Feb 21. Let me know if the chart below makes sense. This is in order of potential profit next day.

FXPair Min500D Max500D MA_Lo_D NumPositiveReturns_D Results
6 GBPUSD 12.073170731707316 6.25 333 235 12520.8
3 EURNOK 10.475 6.352459016393443 336 224 11848.0103225806
8 USDCAD 12.58108108108108 6.888888888888889 352 227 11598.9677419355
7 NZDUSD 11.6875 7.598039215686274 278 213 7793.3264516129
10 USDJPY 11.0 9.848837209302326 293 208 6187.9386068477
2 EURHKD 15.211538461538462 10.393939393939394 246 215 5088.54227405248
9 USDHKD 14.083333333333334 10.813953488372093 184 253 4304.80860215054
5 EURUSD 23.18421052631579 13.090909090909092 193 214 3155.01388888889
12 USDZAR 7.0212765957446805 13.272727272727273 170 208 2664.1095890411
4 EURSEK 12.46875 15.083333333333334 171 226 2562.16574585635
11 USDNOK 8.880952380952381 11.615384615384615 111 218 2083.27152317881
1 EURGBP 0.0 0.0 0 227 0

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Currency pair LIVE analysis with Technical Indicators for Feb 21

Currency pair LIVE analysis with Technical Indicators for Feb 21

Presenting the 30 minute video and history of this analysis

Here is the new preview for analysis on various currency pairs. This is still being developed but you can use the charts as explain in posts like here and here.

A 30 minute video explains this analysis with rationale on what took me here.

Timeframes include daily,  4 hour and 1 hour. You can use the overall trend to see if there is any upward potential in the pair for potential trading opportunity. If there, you can quickly analyze at lower levels to determine.

I plan to use 3 different moving average cross among different correction patterns to determine potential breakouts If the overall pair has upward trend, to may be a ripe opportunity to put on positions. .

This simple strategy could be applied to other asset classes including ETF/indices, commodity, and larger stock. As you know, Dukascopy provide similar behaviors through these asset classes as they have hinted. The best potential is crypto currency as well. This strategy maybe used at various institutions since the idea came from NicTrades.

 

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Do you short or sell a falling forex pair for profit

Do you short or sell a falling forex pair for profit

Looking for your advise here when you do this automatically or manually

https://www.dailyfx.com/forex/education/trading_tips/trend_of_the_day/2012/02/07/Short_Sell_Basics.html

 

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Forex currency pair volatility long and short term views

Forex currency pair volatility long and short term views

I have 2 views of the FX markets with 11 months of recent of 1 min bar data. I have made videos in the past which is under my IQFeed playlist on Youtube. All of the video segments shows a consistent view of the markets for my short (intraday) view vs the long view. I still need to plug in the portfolio optimization peice in future videos  You can join my Quant Analytics section here

Order Analytics

Do note there is an accompanying video and sample data to download for my members found here

Volatile Forex intraday analysis for Oct 13

 

 

 

 

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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

 

 

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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!

Another Architecture idea for high speed pair trading

Architecture ideas for high speed pair trading

Over the last 24 hours I have posted three videos that take us into the modern way of developing low-level low latency trading systems. I recorded three videos that will hopefully open your eyes. The main takeaways are:

Intel multicore threading libraries are critical to how you’re treating systems developed

There is a brewing battle between Intel and Nvidia for low latency GPU/Co processor architecture

C++ or C are the only programming languages that drive these type of systems

And this first video, introduce my thoughts on an simple but primitive  architecture to highlight how data, Algorithms, and how order management is handled

The second video introduces UDP versus TCP for faster and/ or message reliable delivery

Third video introduces how open source Intel threading building blocks is important for offloading core processing

This brings me to the next fact of my promotion which will end on Sunday New Year’s Day. Details are below.

Thanks Bryan

P.S. I actually opened up the email thingy to invite you to an introductory promo starting today.

  • I will be switching over from our Quant ELITE service to the newer Quant Analytics in the next few months. Enjoy the last of coding demos and video walkthroughs learning R, math, Matlab, .NET, serious secretive research papers from biggest the banks and hedge funds, building out new open source trading, etc etc. I could go on with this but I it will also permanently disappear in coming months.
  • We are currently doing a futures/options course taking us up to the the first week of February. This will turn into a new separate course in coming months as well.
  • This will be replaced with an entirely different service. It will involve actual live trading analysis for all major asset classes in the this global market. It will cover all forex, pair trading/arbitrage stock trading, and options with futures. Exciting times ahead
  • I have unbundled the Infrastructure Building Blocks and Interactive Brokers API workshop. These are not  yet for sale individually but will be marketed at $497 each. Moving forwards, both will be used as an introduction to those who want to to build out the same high speed system I am constructing now. That is an extra $1000 value as of today. If you take this, I will  give you access to both for 30 days.
  • Not only that, I am doing a 2 for 1 deal for those interested in this new service. As this new service advances, I will be raising the cost on a monthly basis. This time next year, this Analytics service could be about $3k to join on an annual basis. If it works out, I do believe it will be worth a lot more.  I will only be making myself available personally for my members through this service with live private event Mondays nights Eastern Standard time.

As said, if this works out, You can expect it to go up over the next few months after introduction. I will be holding this promotion until Jan 1, 2017.

>>> GET THis OFFER NOW

P.P.S. Are you part of my Facebook programming group? There is lots of action going on it where we can all learn about software development in this exciting field.
Join here https://www.facebook.com/groups/quantlabsnet/
Also stay up to date on my Facebook Page https://www.facebook.com/quantlabsnet/
Twitter: twitter.com/quantlabs
Lasly, I do post about 20-30 Bloomberg ‘video charts’ on my Instagram at https://www.instagram.com/quantlabsnet/

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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!

Architecture ideas for high speed pair trading

Architecture ideas for high speed pair trading

Detail notes and video references below

Pair (python) -> C++ <— market data (from java ib feed/c++ from IB/java oanda)
(positions mgr)

C++ position manager —> maintain array of pair —> add to new thread

each thread will —> check market pair every minute —> maintain look back —> calculate rolling window using ATR algo —> exit (unwind all data and threads)
TBB

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Arbitrage pair stock position watchlist with charts of technical analysis with spread

Arbitrage pair stock position watchlist with charts of technical analysis with spread

These charts will be useful for those watching this new Analytics service as the trading pairs open for market opportunity

Join my FREE newsletter for pair trading strategy with new Analytics service

 

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!