Tag Archives: suggestions

Unprofitable with Metatrader MT4 or Ninja Trading modelling or expert indicators EAs? Corrupt forex broker suggestions?

Unprofitable with Metatrader MT4 or Ninja Trading  modelling or expert indicators EAs? Corrupt forex broker suggestions?

Join here to figure out why I do

Someone sent me questions on this requestting to see more:

> Hi..
>
>  I need more info
>
>  – This system/model works on Forex and MT4 ?

–> Metatrader only limits you to one data connection and execution. These are tied into probably a broker you don’t even know that is trading against you see below. The data could be questioned as well. See below. Platforms like Ninja and Metatrader are severely limited. They are called black boxes which I don’t like or support. I only use open source trading platforms which my membership knows about.

>  – Wich broker are you recommended?

–> One that I like is Interactive Brokers and a few others. Others I cannot mention are corrupt. They will send out trades to work against you. These are called bucket shops. If I mention them by name, I ame sure I would get some lawyer after me. Just do your research! http://www.investopedia.com/terms/b/bucketshop.asp
>  – Is this type or trading allowing by brokers?

–> Is your broker registered? If not, find one as they have to play by the rules.
>  – Are the some specific system working already?

–> Sure I am working on that
>  – How much profit in pips can I get ?
–> I am not sure.
>  Thanks in advance..

 

 

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Suggestions needed for Algorithmic Trading Project which aims to predict future stock price mean reversion following shocks to liquidity

Suggestions needed for Algorithmic Trading Project which aims to predict future stock price mean reversion following shocks to liquidity.

Hi,
I am final year Computer Science student. I am doing a project in my Machine Learning course. The project is related to Algorithmic Trading. The project is aimed to predict future stock price mean reversion following liquidity shocks.

I am looking for suggestions on Machine Learning Models to use, where to start and some materials to read. I request the experts here to kindly give me some advice.

==

 

This sounds like the Algorithmic Trading contest currently being held by Kaggle:

http://www.kaggle.com/c/AlgorithmicTradingChallenge/

Maybe try posting to their discussion forums. You might find people in the same boat as you.

I’m not sure what you are asking. Are you asking us to suggest a machine learning model (of which there are lots and lots, as most of the standard approaches can be applied) for your particular problem?

Most of the methodologies from your class can be used, just pick one and apply it to some data, supervised or unsupervised.

 

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I’m not sure what you are asking. Are you asking us to suggest a machine learning model (of which there are lots and lots, as most of the standard approaches can be applied) for your particular problem?

Most of the methodologies from your class can be used, just pick one and apply it to some data, supervised or unsupervised.

==

 

Can you elaborate more on liquidity shock. Is it something like what RBI does with general liquidity or something like huge or very low volumes in market.
what is the interval of time series, per sec/min/day?

 

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You can try TAR models. For normal forecasting of stock prices the 10% mean square error less than Random walk can be achieved. You can play with the threshold variable.
Best of luck

-==

 

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!

Suggestions needed for Algorithmic Trading Project which aims to predict future stock price mean reversion following shocks to liquidity

Suggestions needed for Algorithmic Trading Project which aims to predict future stock price mean reversion following shocks to liquidity.

Hi,
I am final year Computer Science student. I am doing a project in my Machine Learning course. The project is related to Algorithmic Trading. The project is aimed to predict future stock price mean reversion following liquidity shocks.

I am looking for suggestions on Machine Learning Models to use, where to start and some materials to read. I request the experts here to kindly give me some advice.

 

This sounds like the Algorithmic Trading contest currently being held by Kaggle:

http://www.kaggle.com/c/AlgorithmicTradingChallenge/

Maybe try posting to their discussion forums. You might find people in the same boat as you.

 

 

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!

Any suggestions for an intro to STATA class for quant development?

Any suggestions for an intro to STATA class for quant development?

 

Having no experience with STATA, I would start with the vendor website and see where that takes me. The product’s main page at http://data.princeton.edu/stata/ has everything that someone like me needs to get started, and so with this material I would be comfortable downloading the demo and experimenting with it.

I’ll be taking my BI practicum this Spring (topic: Data Visualization), and so thanks for tipping me off to (yet another) viz app that I can add to my toolbox!

 

I’ve used the stata book to get started, it’s not complete/thorough, but it will be perfect to get you going, and from there it should be pretty easy for you to dig deeper.

https://www.google.com/search?tbm=shop&hl=en&q=Statistics+With+Stata&oq=Statistics+With+Stata&aq=f&aqi=g2&aql=&gs_sm=3&gs_upl=22664l22664l0l23879l1l1l0l0l0l0l59l59l1l1l0

 

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!

Any suggestions for a trading platform in the UK that will let me back test various trading strategies for quant analytics?

Any suggestions for a trading platform in the UK that will let me back test various trading strategies, ideally over 20-30 years covering commodities and equities, thanks

 

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eSignal has these capabilities as do Interactive Brokers. The real problem is the expense of the data feed for these types of studies. If you already have a data provider you can use Meta Trader, Ninja Trader, etc., to do your studies and I think many of the services are free. That’s about it (to my knowledge) unless you’re ready to lease a Bloomberg or use a prime broker like RediPlus platform from GS.

 

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!

Haven’t found much quant books on JAVA for Financial Technology whereas there are many books for C# and C . Any suggestions for good books

Haven’t found much quant books on JAVA for Financial Technology whereas there are many books for C# and C . Any suggestions for good books (basic and advanced) for trading system development?

 

Please suggest books on Java for trading system development

 

since the wheel is there do not re invent the wheel. I suggest a cost effective algorithm trading station that works for broker to market maker level.email:saroh_h@yahoo.com

 

can you recommend a good book for C++ ?

Thank you in advance & Happy New Year,

 

Lots of good C/C++ books. That being said, Remember a principle of automation ….. It is very very very foolish to automate a system that has not existed as a manual system for at least one day. What part of the financial technology are of interest? Strategy Architecture, Strategy development, Strategy Testing, Trading, Trade Management, Money Management, Risk Management ….. the list goes on and on. It is easy to be a jack of all trades and a master of none.

 

a very simple rule of system analysis and design is based upon knowledge of the faculty and in depth knowledge of problem. in stock trading in few second a millionaire becomes begger

 

 

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!

What are good suggestions for math classes to take to support algorithmic trading and quant analytics?

What are good suggestions for math classes to take to support algorithmic trading and quant analytics?

I have a Bachelor’s in Math, but wish to expand my knowledge. I’ve been told Stochastic Calculus would be one choice, as well as Applied Math.

 

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QuantLib http://quantlib.org/index.shtml a great Quantitative library in C++.
Encog http://www.heatonresearch.com/encog for machine learning algorithms and Neural Nets in Java and .Net, well documented, and provide GUI for training neural nets, and GA
DnAnalytics: http://dnanalytics.codeplex.com/
AlgLib: http://www.alglib.net/ (the best in my point of view, very complete and well documented)
Lapack: http://www.netlib.org/lapack/
F# for Numerics: http://www.ffconsultancy.com/products/fsharp_for_numerics/?so
DotNumerics: http://www.dotnumerics.com/
DewResearch: http://www.dewresearch.com/index.html (Not free)

Hope it help

 

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These are not maths classes, they are maths class libraries. -:(

 

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They were still helpful. Anything to add on to the two classes I referenced in my original post would be great. I’ve also heard Multivariate Statistics as well as anything having to do with Brownian Motion.

 

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if I’m not wrong, I think you need Brownian motion for Black Scoles model and Pricing models, If so, you’ll find Quant-Lib very helpfull since it include almost all pricing methods already implemented. the BS model too, there is also a C# version of QuantLib QLNet if you’re more familiar with C# than C++.
I’ve forgotten to include Ta-Lib http://ta-lib.org/ the free library for technical trading indicators in the previous collection. sorry for that.

 

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Yes, although it wasn’t an answer to the question, the above links are very helpful, thanks!

 

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Thanks for the great links, if trying out in C++, I would suggest to check out boost math classes as well: http://www.boost.org/doc/libs/1_48_0/libs/libraries.htm#Math

especially statistical distributions:http://www.boost.org/doc/libs/1_48_0/libs/math/doc/sf_and_dist/html/index.html

 

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This is very useful input. I just met up with somebody for algorithmic trading who was to charge me for writing a code.

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this is extremely useful. Just met up with somebody few days back, who was to charge me for writing a code for algorithams. Thanks a ton Patrick !

 

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glad that boost link helps, it has useful collection that can be used for pricing and all, for e.g. cdf(cumulative distribution function) for Black-Scholes pricing etc., I am still exploring it though,
there are few links that has overview and examples that may help:
http://www.quantnet.com/cplusplus-statistical-distributions-boost/http://quantlib.org/slides/dima-boost-intro.pdf

 

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thanks for the very usefull links, Boost seems to be very fast in execution. The continuous probability distributions in the first link are complete and well defined, I’m looking at a good way to use it. thanks.

 

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You probably need undergrad Physics, Maths or Engineering. Once you got that then for a good grounding in random variable theory and stochastic processes you can look at the book by Papoulis. Probability Random Variables and Stochastic Processes. There is also an easier intro in Probability and Random Variables by Peebles. Once you get that then the standard text is John C Hull Options Futures and Other Derivatives. Its really all about one equation (the BS equation 🙂 ) but you need to know stochastic processes and calculus in order to apply it. I would also look at Bayesian techniques.

 

If you look at the algorithmic trading as a branch of the quantitative analysis, you could consider an answer to the following question found in the book by Paul Wilmott: “What are the Different Types of Mathematics Found in Quantitative Finance?” Please note that “For some strange reason the advocates of different branches of mathematics get quite emotional when discussing the merits and demerits of their methodologies…” (“FAQ in Quantitative Finance” Wilmott, 2007)

 

 

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!

What are good suggestions for math classes to take to support algorithmic trading and quant development?

What are good suggestions for math classes to take to support algorithmic trading and quant development?

I have a Bachelor’s in Math, but wish to expand my knowledge. I’ve been told Stochastic Calculus would be one choice, as well as Applied Math.

 

==
QuantLib http://quantlib.org/index.shtml a great Quantitative library in C++.
Encog http://www.heatonresearch.com/encog for machine learning algorithms and Neural Nets in Java and .Net, well documented, and provide GUI for training neural nets, and GA
DnAnalytics: http://dnanalytics.codeplex.com/
AlgLib: http://www.alglib.net/ (the best in my point of view, very complete and well documented)
Lapack: http://www.netlib.org/lapack/
F# for Numerics: http://www.ffconsultancy.com/products/fsharp_for_numerics/?so
DotNumerics: http://www.dotnumerics.com/
DewResearch: http://www.dewresearch.com/index.html (Not free)

Hope it help

 

 

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!

Forex: Any suggestions on the best way to short Greek Euros against the EUR?

Forex: Any suggestions on the best way to short Greek Euros against the EUR?

 

Against german eurs is the trade……..

 

You guys are both bankers and should know better. There’s no such thing as “German Euros” or “Greek Euros”. A Euro is a Euro is a Euro, and there’s only one kind. Germany and Greece both share the EUR.

Like they say on Monday Night Football: come on, man!

 

Actually I am anticipating a Greek exit from the EUR. In such a situation it would be good to have a EUR liability with a Greek bank that gets converted to New Drachma and instantly devalued, whilst holding an asset in “German Euros” like bunds.

My question is does anyone have a smart idea about how to do that?

 

methinks the Greek banks will be holding net liabilities wrt anything with a rounded-off E in front of it. It is for that reason that they are on the brink of a massive default.

 

Yes agree totally and think that is only going to get worse as locals move money offshore to avoid being converted into new Drachma.

I think the best way to position is to borrow long-term fixed EUR from a Greek Bank that will be converted into new Drachma in the event of a EUR exit, and use the proceeds to buy Bunds. Negative carry but I think the bigger issue is being able to actually take out a loan unless you live there. The banks aren’t exactly flush with cash there at the mom.

 

Let’s follow this through. Locals send EUR abroad. They acquired it 11 years ago at 350 GRD to the EUR or thereabouts. GRD comes in. It devalues to about 1,400 or so (life went 4 times more expensive overnight in Greece when a bottle of water from GRD 50 went to 0.50 EUR; 1/7 of a EUR to 1/2 EUR is roughly 4 times including any 11 year inflation). So now the Greeks with EUR abroad have x4 their initial capital. what will they do next? What if they decide that ultimately they have to buy bread with GRD and bring it back start buying GRD. What next? I like this very hypothetical conversation.

 

this is very real question and i think you could learn from experience from Agrintina. they used to have a pegged currency to the USD, until they defaulted. anyone borrowed in local currency and invested overseas were hugely profitable.

 

Isn’t borrowing from a Greek bank the same as shorting a Greek CDS? How does this CDS change if Greece exits EUR?

 

In Argentina you borrowed ARS which was pegged to the USD and then ARS devalued. Cool. In Greece, you will borrow today what exactly? EUR of course, there is no GRD. So if it defaults, you believe that the Greek banks will convert your loan from EUR to GRD and then the GRD will devalue so you will owe much less? Seriously? They will convert the deposits into GRD, not the loans! They will keep those in EUR… they will have assets in EUR and liabilities in GRD… the Greek banks will make the money who by then they will be government owned as they will go bust

 

Buy a holiday home in Greece and obtain a mortgage (for 90% of the value of the home) from a Greek Bank. When the GDR comes back, you are looking at snapping up the property for a fraction of the value and can have very cheap holidays with your European Euros to Corfu for a very long time.

 

If you can find a Greek bank today that will lend you 90%, please let me know. If you find a bank that will convert your liability, and their asset, into GRD, again let me know

 

I was wrong. The Grece will not exit the EURO-zone.
But, they don’t have anymore the CB to make the fine tunning of their financial markets. The fine tunning is made by ECB but this is not the same for every country involved because there are big diferences.
Anyway, the bigest problem is the guvernement spending.

 

Check out CRIS<go> on your Bloomberg for some staggering debt to gdp numbers and can give you greater insight into market expectations of a sovereign default within the EU.

 

they should pretend like the Greece does not have any problems, and whenever they don’t have money for the payment, they (EU) should make their payment.

 

you may find this of interest, highlighting the web of liabilities across EU (and beyond)
http://blog.thomsonreuters.com/index.php/debt-in-the-eurozone-graphic-of-the-day/

 

Greece is small country and its debt can be manipulated and controlled inside the EU.
The problem becomes serious with other countries in EU which have also big debt. Now, the problem is Italy’s debt crisis (1.5 trillion). It has problems regarding issuing new bonds (interest more than 6.5% – is it sustainable and how long time?). If Italy can not borrow – is then EU capable to lend Italy?

Standard & Poor’s ratings agency sent out a message to France saying it will downgrad France’s prized “AAA” credit rating. What will happen in EU?

I beleive things will go worst and EU shall soon forced to depreciate its currency by issuing new money in the market.

 

 

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Suggestions – Academic Programs for Computer Engineering – Algo. Trading Directed – Chicagoland?

Suggestions – Academic Programs for Computer Engineering – Algo. Trading Directed – Chicagoland?

I am a recent Economics BA graduate looking for an academic program in computer engineering directed at eventually being used for algo. trading. Looking for advice on the most applicable program of study and/or specific suggestions for Chicagoland area.
Info on VALUE OF PROGRAMS. Is there a big difference between State School, Private School, Community College or IT School?

—–

Do a Master’s program in Computer Science. University of Chicago has the longest-standing program offering professional Master’s in CS (I went through it and recommend highly), but Northwestern, DePaul, Loyola, and IIT all offer programs now too. Each will provide more than enough opportunity to learn the things that will get you ahead.

Community college offerings will not be as in-depth, specific, or wide-ranging, nor will they be taught by as qualified a staff as you get in a true university faculty. I took a CS class once at a CC, and had a great experience, but you just have to realize that the standards are completely different.

From a career standpoint, a degree from a university will be much more useful than a certificate from a CC or tech school. There may be an element of snobbery there, but that snobbery has a basis in fact. The degrees are just not the same.

—–

I truly appreciate the advice as I don’t actually know anyone in the industry and am haplessly trying to find my way. You have now reassured me in my initial strategy, and will most likely attend a more rigorous program. My haste was most likely due to the fact that I am still unemployed since graduating (actually applied to both Wolverine and Allston recently) and was daunted by the thought of incurring more tuition costs without a job. I will most likely wait until I am game-fully employed or until I can convince the parents that some sacrifice now will pay off in the future like all great investments:-) The CS program at U of Chicago sounds very appealing, but may still be out of my price range for now. That is where I hope to get my Graduate in Economics so maybe I can work some magic with the higher ups.

Thank you again for the timely response, you’ve helped me to establish a little more direction for my mission. If you have any other advice on insightful texts or on current entry level employment opportunities in the industry, I would be forever grateful.

—–

School is a means to an end if you expect to leave the academic environment. I am sure you have figured this out. Instead of limiting the answer to school, I suggest that you focus your question on where you want to be 5 years from now. My answer to that question would be In a high paying job with upward mobility and above entry level subordinates. If you agree, then the question you asked is the wrong question. I suggest you find a potential employer or two, and within those organizations develop a mentor that will be willing to guide you to your goal. It may well be they do offer you a path that involves an academic program, and if so I am sure they will enlighten you on which program they would look most favorably on. The key is have a 5 year plan and develop mentors with experience to guide you in preparing for that goal.

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I also believe that real world experience would be the most valuable education, especially in such a dynamic and competitive industry. So far I have done everything I can think of to get my foot in the door. I’ve applied to every prop. desk and hedge fund in chicago. I’ve tried delivering numerous resumes in person unsuccessfully, I’ve chatted with cigarette smokers outside the board of trade (pretending to inhale), I’ve tried to contact employers though Facebook, I’ve contacted every friend and connection I have in the industry and still haven’t even gotten a nibble. For now I’ve given up trying to get into the industry, as my resume is currently lees than spectacular. I’ll most likely end up as a bank teller or selling insurance for now, while working on another degree. Im sure that if I’m persistent and motivated I will eventually get where I want to be. Thank you for your input Collin. I think that having a structured, long term approach will help me stay on the right track. If you or anyone else has any advice on firms in Chicago or on getting a job in general I would really appreciate 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!