Tag Archives: position

notional value of each position in the cryptocurrency and forex track record

Here is a conversation about the notional value of each position in the cryptocurrency and forex  track record so far.

I’m new to Quantlabs.net and just getting familiar with your site. I have to say, you’re extremely generous when it comes to sharing your knowledge and experience. Much appreciated! I have a quick question on your daily TRACK RECORD – in the pnl.csv file, how to I reconcile the daily P&L column to the daily return column? For example, for April 1st – how do I derive the daily P&L of $0.084136 from the daily return of 16.69935%?

 

Thanks for the kind words. Each position takes only 1 unit in each position for now. I will be ramping up the position sizing soon to include portfolio optimization

 

Hi Bryan, thanks for getting back. So I guess your ‘notional amount’ invested is constantly changing with each new buy/sell? Thanks again

 

You could say based on market conditions

This refers to the track record here

MbM Crypto Trading Track Record Dashboard

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Watchlist and position manager Event coming soon for automated trading with new algo technique

New update watchlist and position manager coming soon for automated trading with new algo technique

I have scheduled this Monday Aug 20 night for 2 separate events. This helps for automated trading with new global techniques. These include:

Ask me anything about crypto

Monday Aug 20 7PM EDT

Ask me anything about this topic on crypto currency trading. I will do my best to answer what I can on the spot LIVE on Facebook https://www.facebook.com/pg/quantlabsnet/videos/

 

Intraday positions manager and watchlist

Online via Zoom.us

Monday Aug 20 at 8:30 EDT

Details on new architecture for intraday positions manager and automated watchlist
This is only available for my Quant Elite member

Detail for this event for Quant Elite members
https://quantlabs.net/academy/automated-watchlist-and-position-manager-event-details/

Join here
https://quantlabs.net/academy/introduction-quant-elite-membershi

New update watchlist and position manager coming soon for automated trading with new  algo technique

Note: I have removed all public access to these topics which are not part of my Python Infrastructure Building Blocks 

 

 

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Intro to crude position manager for crypto currency algo trading

Intro to crude position manager for cyrpto currency algo trading

This video focuses on a crude ‘position manager’ which I have shown many examples,  I say crude, this is because there are so many bugs still in this. There also so many various conditions  to factor in but most of my focus will be in this area. I would think this part of the entire will be the most valuable as it will:

  1. calculate the up and lower range of current (or original) price +- a multiplier of 3 * average true range. This is will be the range that states with a equivalent of of a virtual trailing stop.
  2. calculate up and lower range of current price  .+- with a multiplier of 1*average true range.

This is fully explained in my video.

Note that I do stress this is theoretical with the ranges explained above.

How to protect your account with this virtual position manager

As you know, I like using this method to protect your account especially if your broker/exchange has a market making division. If you signal back your stop losses, your broker/exchange can prematurely kick you out of a potentially very profitable trade. With this virtual way, you can pretty well guarantee this will not happen as many brokers are corrupt in manipulating your trading potential. I have many videos on this exact topic.

This position manager will have some very helpful into on the latest info on your pricing targets once your positions is put on. This will be very useful if you plan to use the Analytics service.

Thanks Bryan

 

 

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Is regression trendline best technical analysis trading indicator for position entry

Is regression trendline best technical analysis trading indicator for position entry

This is for the simplest forex trading strategy for market position  entry. What other indicators would you run in parallel for this?

I do have my 2 Dukascopy very affordable courses to help you prepare for this sort of stuff

https://www.dailyfx.com/forex/education/trading_tips/daily_trading_lesson/2014/10/24/Trend-Following-with-Regression-Channels.html

https://www.dukascopy.com/client/javadoc/com/dukascopy/api/IIndicators.html

Note:

regression <— most appropriate line but available in Visual Jforex but part of Jforex
in visual jforex (under trend indicator):
fib pivot not appropriate
trend envelope most appropriate
wadded at may work combine with trend envelope

Dukascopy Visual JForex for NON programming to do algo forex trading

Dukascopy Tools and API development for Algo forex trading

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C++ State Machine for position manager?

C++ State Machine for position manager?

I wonder if my needs can be applied in this software design pattern and application

NICE!

The state machine implementation now has a build option that removes the requirement to create external event data on the heap. See the External event no heap data section for details.

Hiding and eliminating heap usage

Locking is optional

To prevent preemption by another thread when the state machine is in the process of execution, the StateMachine class can use locks within the ExternalEvent() function.

https://www.codeproject.com/Articles/1087619/State-Machine-Design-in-Cplusplus

Specifics for threading

https://www.codeproject.com/articles/1156423/cplusplus-state-machine-with-threads

Caveat article

Why Developers Never Use State Machines

 

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Meet my new pricing position manager with auto stop loss with target

Meet my new pricing position manager with auto stop loss with target

This is one of the huge benefits of systematic trading. Remember you use virtual stop losses only not to let your broker know about them

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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

 

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Advanced infrastructure trading position class

Advanced infrastructure trading position class

Thanks to Sholom B  for sending in this good article from Quantstart

https://www.quantstart.com/articles/Advanced-Trading-Infrastructure-Position-Class

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Simplest way to calculate your own beta to measure position weight allocation against portfolio or theme

Simplest way to calculate your own beta to measure position weight allocation against portfolio or theme

This calculation can be used to figure out your beta of returns of closing price. Do this in order:

1. Download the closing price of your stock and index( i.e. S&P 500) to calculate returns

2. Use both returns to run a regression. Use Excel Data Analysis option plugin pack.

3. Calculate your output range with a plot. You should see a regression summary once calculated

4. To interpret the graph, you will see the returns with an observed regression line. This is caclulated by ordinary least squares. If the index is your x axis while the Y axis is the stock, it measures the response against the index. THe line is the gradient of the slope which measures if < 1, the beta amount could be calculated the stock is defensive.

5. The beta value is displayed in the summary. The R^2 is tha variation in returns of the stock. Beta x amount can mean the returns of the stock can be explained by the stock market from a statistical POV.

6. P-values of the X variable which is beta. If < 0.05, it is considered statistically insignificant. The P-value lets you know the probability that the beta could be 0.

Hope this helps somewhat

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How to allocate position size with weight allocation of portfolio using beta

How to allocate position size with weight allocation of portfolio using beta

Next up is the most useful you will see for this system.

Calculations below include portfolio size, margin %, with $ amount, theme size with margin % and $.

This includes:

1. Iterating through each open positions, calculate beta, determine weight allocation of all deployed capital in open positions (both for long and short) and long/short percentage.

2. Use long/short weight percentage and also calculate percent of total long long/short percent weight. Do the same for the shorts.

3. You should be able to calculate each position % and $ allocation.

4. Of course, there is the current position where you will be able to calculate number of shares to purchases with total. You should be able to calculate the porfolio % allocated.

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