Tag Archives: Ranking

Trend and momentum added for sorting criteria automated cryptocurrency ranking spreadsheet

 

Some of you may have seen my latest webinar video playback from last night on Jul 2. I just added another video to my Youtube channel demonstrating a new data set of data from another technical assistance Python package found below. I also have new sorting criteria for optimal trading opportunity as well.

Here are the benefits

These include a new range of trend and momentum criteria which is added to the spreadsheet I show. I also add this to my sorting criteria which already included volume, and volatility. I am hoping this this new sorting criteria will make the chosen crypto pairs more optimal for trading opportunity.

https://github.com/bukosabino/ta

 

In the Trenches with Crypto Currencies video replay

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NEW ranking profile for 315 crypto currency pairs buy signals

Assumption:  this focuses on buy signals on the long side for now only

I want to know if I am the only one doing this type of ranking system with so let me know by commenting in the Youtube video from below.

This is site shows how bearish the crypto market has become as found at CoinMarketCap.  I have found 4 possible opportunities based on daily timeframe with buy signals. As a result I show with indicator charts to show how these can backup the buy signals.

A few things to note that can impact your entry/buying decision:

  1. Volume is a huge factor but I need to figure out proper thresholds for both daily and hourly timeframes. In order to speed up these reports, I can easily filter out those opportunities based on these thresholds.
  2. We can now factor momentum vs volatility vs valuation and so on based on what the video and spreadsheet data holds
  3. Should I breakout the short and long opportunities which can be properly lined up with the specific harmonic patterns

Once properly implemented, I can determine the correct pairs to buy with proper allocation of capital available for that trading. There are numerous factors to consider but as they say, this data does not lie. There is no more guessing or trading on imitation any more. It all data driven which will eliminate human influence.

 

You will find this sample spreadsheet file but do understand the data is well over a week old so don’t try trading off it. Also, if that was the case as you should never trade off of a crutch like this.

I also plan to apply some machine learning elements to get further data, figure out the weightings based on the indicators, and build an overall report with charts and logic built in.

https://coinmarketcap.com/search/?q=GXSETH

 

 

Analyzing 3700+ charts for crypto currency algo trading opportunity include ETH LTC NEO

 

 

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Mechanics of ranking currency pairs for forex trading opportunity automatically

Mechanics of ranking currency pairs for forex trading opportunity automatically

Different analytical metrics used

There are a number of way I am building a process to automatically select optimal currency pairs based on:

  1. Statistical view 
  2. Technical analysis using Fibonacci re-tracement, Moving average, trend, and buy/sell signals
  3. Patterns and pivots points

Different charting periods include daily, 4 hour, and 1 hour.

This videos goes into detail how I plan to use these methodologies including money management with portfolio optimization and ways to protect the account. It will be interesting to see how it plays out in the near future.

Each major trading session will analyzed determine optimal expected return.  This is covered in the video as well.

Add OHLC Bar Data To Your Algo Strategy

 

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Reaction to Matlab last in IEE programming language ranking

Reaction to Matlab last in IEE programming language ranking

Super Facebook fan Nuno said:

Surprise to find Matlab in last position…..?

This was about: http://www.r-bloggers.com/r-6-in-ieee-2015-top-programming-languages-rising-3-places/

I say: this is a commercial platform, i am actually surprised it was in there

Join my FREE newsletter to learn more about which programming language to go with for trading

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Latest links for best ranking MFE Programs and Universities rated by QuantNet.com

Latest links for best ranking MFE Programs and Universities rated by QuantNet.com

If you cannot afford these schools or cannot be bothered, join my FREE newsletter to see how I plan to accomplish the equivalent

This just came in  from the founder of QuantNet.com

New York – QuantNet today released the third bi-annual edition of its MFE rankings which rank the top masters programs in Financial Engineering, Mathematical Finance, Quantitative Finance in North America. The 2013-14 QuantNet ranking is the most comprehensive ranking of such programs to date.

Founded in 2003, Quantnet.com, with its online C++ certificate (jointly offered with Baruch MFE program), MFE programs info/reviews, applications tracker, MFE grads salary database, accompanied by an active, knowledgable community, has grown to be the most comprehensive research tool for graduate students considering education and career opportunities in the field of quantitative finance.

Best regards,
Andy Nguyen – QuantNet

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Ranking views using entropy pooling in quant analytics

Ranking views using entropy pooling in quant analytics

Hi everybody,

I wanted to ask you about ranking views on expectations (as in http://symmys.com/node/158), because I encountered an unexpected problem. I apply the entropy pooling on a portfolio of N stocks, and I use only the simple-returns as risk-factors:

– View specified as a full-ranking ( E(r1) > E(r2) > … > E(rN) )
– Entropy pooling to get the probabilities in order to compute the objective (E(ri) for all i in (1, 2, …, N)) and the constraints (CVaR-controlled allocation)

Unfortunately, the numerical minimization always give expectations like E(r1) = E(r2) = … = E(rN) (the constraint always “hit the barrier”). When I set a view like E(r1) > E(r2) and leave the other assets free, I also get E(r1) = E(r2).

Thus, I went back to the two assets – two data points – two views (probabilities sum up to one, and ranking view between the assets), and I found E(r1) = E(r2) analytically.

Then I was able to find an analytical formula for the dual formulation of a symmetrized version of the KL-divergence, but the results (both numerical and analytical) are exactly the same as with entropy pooling.

Did you also notice this problem? Does someone have a solution?

 

==

The issue you encountered depends on how the ranking view relates to the prior distribution of the returns.
Let us consider the bivariate case. If your prior is already such that E(r1) > E(r2), and your view is in the same direction, i.e. E(r1) >= E(r2), then the posterior will be equal to the prior, and the view will be satisfied as a strict inequality E(r1) > E(r2) in the posterior.
If on the other hand with the above prior your view is E(r1)<= E(r2) and thus it contradicts the prior, then the posterior will feature E(r1)=E(r2), which is the closest solution to the prior that satisfy the view.

 

==

 

I got another conceptual question about the entropy pooling.

Suppose you have T observations of two risk-factors X and Y (that is (X_i, Y_i), for i in [1,2,…,T]) which are completely independant (take the dummy case of a two independent gaussians for example). Their prior (standard) esperance estimator is E(X) = 1/T * sum(X_i) = x and E(Y) = = 1/T * sum(Y_i) = y.

Let’s assume now that we want to implement a view on X such that E*(X) = x*, that is we get a new set of probabilities p_i (i in [1,2,…,T]) which are different (even if those deviations are very small) from 1/T. Thus, if we use those new probabilities for Y too as it seems to be the case in your case studies, we have E*(Y) = y*, different from E(Y) = y.

How is that possible since the two risk-factors are assumed to be independent? Is there a way to take the dependence structure between the risk-factors into account when applying the pooled probabilities within this framework?

==

 

In the gaussian case, you could use the analytic formula. If you apply the analytic formula just to x (ie. you apply it univariately), then it devolves to just whatever your view is. That means it will not impact y.

For the full algorithm, the reason why you don’t get the right answer is because by treating them separately you’re not letting the optimizer know that there’s no correlation between the two assets. The EP algorithm minimizes the difference between two distributions. If it doesn’t know what one of the distributions is, then how can it be expected to minimize anything?

All you have to do is just gather x and y (and z, etc) to a single matrix before applying the algorithm

==

 

OK, the gaussian case is obvious, but:

“If it doesn’t know what one of the distributions is, then how can it be expected to minimize anything?

All you have to do is just gather x and y (and z, etc) to a single matrix before applying the algorithm. ”

I understand you and this is basically what I did, but if you don’t express views on y (and z, etc), it won’t change anything. My problem lies in the fact that this algorithm modifies only one set of probabilities for all risk-factors. If you take two independent risk-factors X and Y with different dynamics (e.g. X ~ arch(10) and Y ~ garch(1,1) with independent innovations), and express a view only on X, how can you let the optimizer know about the distribution of Y? The idea of numerical entropy minimization is to set views as linear constraints of a convex optimization problem, but the risk-factors on which no views are expressed are not an input of the algorithm, or am I missing something?

 

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Ranking the World’s Richest hedge Fund Billionaires blogs.wsj.com

Ranking the World’s Richest hedge Fund Billionaires blogs.wsj.com

George Soros recently handed back outside investment money, but don’t worry. The 81-year-old hedge fund titan remains mighty rich, according to the latest rich list from Forbes.

—-

First time I laid eyes in George Sorros! He’s a legend and I never knew he’s a millionaire. Maybe Obama can tax him more, but its a different story now. He always mentions Buffet! Mr. Sorros is still famous for those hedges.

 

 

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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!