Tag Archives: predicting

Stock predicting with Google TensorFlow 2 Colab Python

Check out this article I posted yesterday which lit up my Facebook. This was the new Google Colab that work with TensorFflow really nice.

Stock predictor with Google TensorFlow 2 Colab Python

Add in the Google Colab environment, you will have fun working with this stuff. Here is a video demonstrating both the TensorFlow 2 for stock predicting. This is most the likely future of machine learning for the quant finance world.

https://quantlabs.net/blog/2019/04/stock-predictor-with-google-tensorflow-2-colab-python/

Fun with Binance CCXT API trading

 

I got a live Binance trade with their latest API. This tuff is not fun as I accidentally put at $100 + trade instead of $2 trade. You need to be careful when playing with this fire. I have all of this documented in my a NEW private 48 minute video for my ELITE level members.

The deal is still on for $997 for everything I do including the Python Infrastructure course to lay down your foundation for both systematic trading and the lucrative trading bots.

 

https://quantlabs.net/academy/introduction-quant-elite-membership/

Thanks and much will be coming.

Bryan

P.S. The future will be very exciting with what I am discovering from these Google free open source machine learning tools.

 

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!

Predicting volatility by Dr Ernie Chan

Predicting volatility by Dr Ernie Chan

From Quantopian but very good for what I need

Thanks to Sholom B for sending this

Join my FREE newsletter to learn more

http://blog.quantopian.com/predicting-volatility-by-dr-ernest-chan/

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!

Big data analytics with Matlab for predicting energy

Big data analytics with Matlab for predicting energy

Once again, Matlab rears its beautiful head. Never forgotten

Data-Driven Insights with MATLAB Analytics: An Energy Load Forecasting Case Study

Join my FREE newsletter to learn why I still l love my Matlab 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!

Another free Coursera course from Standord about machine learning good enough for predicting profit in your trading?

Some neat free resources with my opinionsthe latest posting. These are my more popular topics over the last week. 

Is this Coursera course from Standord about machine learning good enough for predicting profit in your trading?See more

I got my views on Neural Networks/Machine Learning right so I put this on the back burner for sure.

Also:

Another potential Excel resource for investment and financial model or trading strategy tips
Again came in from a Facebook follower but I also like Bionic Turtle which has a great easy to follow Youtube channelSee more

Here are the latest posts for my members:

Demo of ATR within Excel with file and videoSee more
Demo of how to calculate beta from regression with Excel 2007 fileSee more
As result, if you are interested in seeing my postings on this in the backend as I my members do, consider joining by going here. I cannot implore the many benefits listed which of course you get source code!

Demo of how to calculate beta from regression with Excel 2007 file – See more at: http://quantlabs.net/academy/#sthash.qRk37cOH.dpuf

ANNOUNCEMENT: I just posted an online event to talk about technical analsysis. Hey let’s learn together!!

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM ESTSee more

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf
Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf
Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpufa
Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf
Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

Let’s talk Technical Analysis in your LIVE trading in the next Pow Wow Online Meetup via GotoMeeting set for MONDAY Sep 29 at 7PM EST – See more at: https://quantlabs.net/blog/2014/09/lets-talk-technical-analysis-in-your-live-trading-in-the-next-pow-wow-online-meetup-via-gotomeeting-set-for-monday-sep-29-at-7pm-est/#sthash.arLmQEDF.dpuf

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!

Despite Jim Rogers predicting Japan’s stock market rise, hedge fund manager Dan Loeb feels the same way including Sony Entertainment

Despite Jim Rogers predicting Japan’s stock market rise, hedge fund manager Dan Loeb feels the same way including Sony Entertainment

I highlighted what Jim Rogers said here:

https://quantlabs.net/blog/2013/05/jim-rogers-predicts-a-financial-meltdown-but-prefers-forex-currency-russian-ruble-japanese-stock-market-and-short-us-bond-aka-treasury/

Mr Loeb expressed his support for Prime Minister Abe in his letter: “Sony stands at the crossroads of compelling corporate opportunity and massive Japanese economic reform.

 

“Under Prime Minister Abe’s leadership, Japan can regain its position as one of the world’s pre-eminent economic powerhouses and manufacturing engines.”

http://www.bbc.co.uk/news/business-22533446

I also read on Morningstar there were some other analysts who felt the same way!

Hmm….. Maybe you should join my FREE newsletter on these kind of trading tips?

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!

Matlab Econometrics analysis done predicting forex and markets using GARCH, ARMA, regression, unit root, random walk, and volatility

This was sent to QuantLabs.net Premium Membership.

Join my QuantLabs.net Premium Membership now

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Hi there

I have completed the Matlab Econetrics analysis of all possible M scripts for marketing forecasting.

Here are the latest and complete  postings on GARCH, ARMAX, regression, and lots more:
    
Complete getRet Matlab M function to load returns of AUD USD forex tick flat file

Comparing GARCH models within Matlab Econometrics toolbox

Demo of complete GARCH workflow in estimation, forecasting, simulation, and analysis

Demo of Unit Root testing for stationary time series in Matlab

Demo of random walk in Matlab
    
Comparing GARCH fits in Matlab

Model construction with GARCH in Matlab

Model section using GARCH / ARMAX in Matlab

Volatility Simulation with GARCH in Matlab

Using ARMA in Matlab

Comparing various GARCH parameters in Matlab

Estimating GARCH parameters in Matlab

Forecasting with GARCH for predicting the markets
    
Using regression demo for fine tuning your estimating the markets
    
Using regression for estimating the markets
    
Forecast Conditional Mean Response using ARIMA

How to infer residuals with GARCH or ARMAX in Matlab

Check them out. Also, I am planning a live webinar next week for all the topic covered until that point. There are lots of topics to cover in the coming weeks as I am now attacking Matlab Financial toolbox.

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!

Predicting The Next Market Move with quant analytics

Predicting The Next Market Move with quant analytics

traddr.com

Stocks are floating around the flat line today as they pause after major gains yesterday. This is beginning to set the stage for the next move in the market….

http://www.traddr.com/video/stock-market-videos-predicting-the-next-market-move?xg_source=activity

what makes you think it will be different from the last few months up few hundred points followed by down few hundered points?

 

now we’re talking, I think now its different!!!

 

==

I owe you a why so since I asked you for one before. Because declines have been failing the market lost more than a hundred on dow few times but closed with a small loss instead. This shows strength, so the next move is up!!!
That’s how it looks now, i am a short term trader. if the picture changes I will change my opinion but this is how I read it now.

 

Who the heck knows? It’s like children playing football(soccer) 20 boys charging up and down the pitch chasing the ball. The Wealth managers don’t care if they lose other peoples money it seems,and fund managers never make money. That’s a comforting thought really…

 

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!

Are neural networks best at predicting markets vs quant algos?

Are neural networks best at predicting markets vs quant algos?
This was a discussion found on Linked In:
Just Google the terms “neural network, finincial time series, prediction, trading PDF” and you will find a number of academic papers documenting that while not perfect their performance is far better than human traders, expert systems or collections of algos generated by eager young Quants on Wall Street.

The out of sample failure is very common and is caused by people using very complex and sophisticated technology without the required skills or training. I won’t bore the discussing with how this is done or the methods of avoiding what you describe which are well know and documented by those with both skills and experience in working with NNs.
May I also say that the inadequate results from NNs are not due to the inadequate training of the user of a NN. They are due to the fact that financial signals are highly nonstationary, and hence the training of neural networks has to be correspondingly responsive to this environment. However, while there are techniques/algorithms for “adaptive” training of neural networks (and I have published some), the number of “samples”in a highly volitile and non-stationary environment is not sufficient to provide adequate tracking of the data and hence the NN are trained incorrectly i.e. one is always very “fuzzily” training the NNs.

Thus while I do not wish to run down NNs for prediction, my own personal and long standing experience stemming from deep algorithmic research does not support the use of NNs in a highly non-stationary environment. As far as the publications on this matter are concerned I think you will find from a very careful study that they are by and large either “in sample” results or that the environment in which they have been applied is not volatile enough (ie the underlying market behaviour is not changing fast enough).

In fact I can now prove that there exist a set of conditions that must be satisfied a priori by a set of data for it to be predictable by a NN. This work will be published in the near future
y experience is using NNs as drivers for short term trading systems in futures and Forex is very different than your experience: they can provide the basis for stable and profitable trading systems.

This of course might be to different approaches and goals. I have no need to forecast each moment of market activity. Markets have a chaotic component and when in that mode prediction is of course impossible. When not chaotic there are complex topologies that an NN can learn through training that result in predictable outcomes often enough to generate profitable trades.

I’m not alone in this discovery, as on LinkedIn, in related forums and topics you will find other having similar results as well.

To your points:

A) You said: “), the number of “samples”in a highly volitile and non-stationary environment is not sufficient to provide adequate tracking of the data and hence the NN are trained incorrectly i.e. one is always very “fuzzily” training the NNs.”

What do you view as a sufficient number of samples? For short term trading, say 5 minute bars in Forex, there are about 150,000 bars of data generated per year. Going back 7 years one has over 1,000,000 data bars.

From my own work I’ve found one does need perhaps 30,000 to 50,000 bars for training at this time granularity.

B) You said: “As far as the publications on this matter are concerned I think you will find from a very careful study that they are by and large either “in sample” results or that the environment in which they have been applied is not volatile enough (ie the underlying market behaviour is not changing fast enough).”
So if I understand your meaning in the last phrase: an NN only appears to work because it has not yet encountered a market changing fast enough to cause it to fail.

If your requirement is that it perform with 100% accuracy in all conditions including new ones it has not been exposed to in training then of course you are correct. Form an academic sense this might be important or in a corporate stetting where the bank has to manage on going and constant positions in multiple markets/instruments.

However, for more general trading it is largely irrelevant. If there is a prediction based on conditions the trained NN has learned, you trade. When the market is in a state that is “changing too fast”, you are flat and not trading. This is accomplished though various means: parliamentary models, where dozens of models vote on what to do, failure models, where an NN is trained to predict the failure in prediction by a base model or parliament of models.

Some examples that undermine your assertion in the first phrase in B) above:

http://www.smartquant.com/references/NeuralNetworks/neural31.pdf

http://www.tristanfletcher.co.uk/FX%20Carry%20Paper.pdf

Quoting from the above:

“4 Conclusions
Assuming conservative estimates of trading costs, over
the 10.5 year (2751 trading day) rolling out of sample pe-
riod investigated, improvements of 120% in MAR ratio,
* in Sortino and 80% in Sharpe relative to the `Al-

ways In’ benchmark were found. Furthermore, the extent
of the maximum draw-down was reduced by 19% and the
longest draw-down period was 53% shorter.”

Like I said a little Googling is always a good idea.

However do not expect to find an academic paper detailing all that is needed to do this successfully. For obvious reasons, academics who get to that point tend to stop publishing just before leaving the university to start hedge funds.
He did not design a predictor or entry signal but a moving, adaptive tracker. This is a much more robust design that a simple predictor that needs stability for a long time. The market tends to behave predictably with chaotic intervals in between structure intervals. So a tracker requires less of the system.

I need to say that maintaing this discussion on ANN is really a disservice to what is know in the literature and to a number of other algorithms. I feel a designer should have a good grasp of the algorithms and the design he is trying to achieve.

There are algorithms for when the inputs are unknown, for when the dimensionality is high, for small training sets, for predictors, classifiers and trackers. ANN just got more advertising outside the statistical community, hence the interest. It is good for some things and it requires some expert tweaking. Stability can be a problem as well as optimization of the weights but there are solutions to all that. The architecture of the problem is of great importance as well: how many machines to use, how to deal with off-sample, input variable design and how much you are asking the machines to do.

At the end, since this focuses on a trading system design discussion I would like to leave two thoughts:
1. The entry signal has very little value as compared to the exit signal.
2. Money management is everything.

I can show you how to make money on a truly random variable on 55% wining system consistently.

So, design with the objective in mind, be light on the requirements (do not require to pick top and bottoms) and choose the right algorithms for the problem.

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!