Tag Archives: systematic

Trading results with systematic process Meetup video playback

Trading results with systematic process Meetup video playback

Here is the decscription of this webinar which will improve your trading results immensely

Meetup Jan 15: Trading results with systematic process

 

Here are my notes:

I am willing to talk about the psyche of trading when human greed kicks in versus following computer code logic. This is a tough battle to overcome but I think this is an important discussion to understand the psyche of this.

After talking to dozen upon dozens of retail traders who do and rely on technical analysis and indicators have their heads literally poisoned with negative propaganda that negates their trading results. I have fallen for that in so many ways in the last few weeks. Let’s address that if you ever want to transform yourself into having an automated or algorithmic or systematic trading setup.

–→ Do you believe in this theory?

More traps are laid out one must overcome with this notion of over-engineering their strategies with all these complicated indicators hoping that the moon will provide 5 Elliot waves to give them mercy in lucrative riches. Or how about those Fibonacci retracement levels that for some reason never work out.

do you really beleve in Fib or 5 Elliots work like magic on these extact wave X number of patterns? Is the market not so random it is hard to confirm these theories ?

1, Minimize your indicators

2. keep it simple

3. program a way to watch your order log when you put on a positions (entry), analyze your the evolution or life cycle of the position. Looks for peaks and if you can, watch the peak profit level of the actual position. Your broker API may have a simple method like P&L in USD. If not, you percent of move since entry. Note that position will go negative due to spread but if you have positive momentum, it should break out

4. confirm your max and min for break out when shorting or longing

5. always cut your loss once your position goes against you e.g. direction/momentum may come back but cut at approx 10% – always to minimize loss !

6. watch as many assets your hardware → the more the higher the # of opportunity

5. watch at a lower time frame like 1 minute since there are more opportunity but know how to minimize false positives and fake noize (this is the problem)

6. you can allow the profit for monster profit, I have seen if you hold position for many hours 7 or 8+ you will find huge profit but don’t get greedy, your pogramming logic should allow this instead of hard stop loss

7. note that I have scrapped 3 versions and rewevamping for a 4th time to keep the code tight, expect to keep doing that as part of your strategy development

IB

A CCOUPLE OF MONTHS IF Value of DELTA (safe zone) HIT CERTAIN VALUE e.g. iron condor
Fibonacci
Think or Swim
TRON
stop loss at 2 SD

#1 goal in forex trading is not to lose money but profit is 2nd

Video courses on Interactive Brokers and Dukascopy forex 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!

Meetup Jan 15: Trading results with systematic process

I have a question for you: What are your trading results looking like for 2018? First off, an apology over the horrible jargon typing from the world’s worst typist. This was concocted in a severe hurry but hopefully you will enjoy this twisted jargon that follows:

What are your trading results looking like for 2018? I have scheduled another Meetup online for this Monday (as in 2 days). I wanted to talk about lessons learned about my current strategy for doing automated forex trading. There was lots to learn before I think I am getting not just winning trades but bug results. I am willing to talk about the psyche of trading when human greed kicks in versus following computer code logic. This is a tough battle to overcome but I think this is an important discussion to understand the psyche of this.

After talking to dozen upon dozens of retail traders who do and rely on technical analysis and indicators have their heads literally poisoned with negative propaganda that negates their trading results. I have fallen for that in so many ways in the last few weeks. Let’s address that if you ever want to transform yourself into having an automated or algorithmic or systematic trading setup.

More traps are laid out one must overcome with this notion of over-engineering their strategies with all these complicated indicators hoping that the moon will provide 5 Elliot waves to give them mercy in lucrative riches. Or how about those Fibonacci retracement levels that for some reason never work out. Seriously, if you believe in that, you will be putting these thoughts into the top 3 remorses of your life while you sit on your death bed.

One thing I found, simplicity and math is the key to all your ills. Also, you need to ensure you have a decent reliable broker who is not going to kick you of your profitable runs just before it hits that stop loss. I hear these stories weekly because of the corrupt brokers they choose.

As you can tell, there is lots to discuss this Monday at 7PM EDT so let’s set it up shall we?

Bryan Downing is inviting you to a scheduled Zoom meeting.

Topic: Bryan Downing’s Systematic Trading Results

Time: Jan 15, 2018 2:00 PM America/Toronto

Join from PC, Mac, Linux, iOS or Android: https://zoom.us/j/788140615

Or iPhone one-tap :

US: +16699006833,,788140615# or +16465588656,,788140615#

Or Telephone:

Dial(for higher quality, dial a number based on your current location):

US: +1 669 900 6833 or +1 646 558 8656

Meeting ID: 788 140 615

International numbers available: https://zoom.us/zoomconference?m=WMi7HozrCPZBMZrO8xu4mwi9LJzGp-_v

 

Minimize loss with linear regression for algo forex trading

Video courses on Interactive Brokers and Dukascopy forex automated trading

Questions and answers new to forex 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!

Will clearing houses be systematic risk because of Bitcoin and Litecoin rises

Will clearing houses be systematic risk because of Bitcoin and Litecoin rises

here are the links for the latest video/podcast

https://www.bloomberg.com/news/videos/2017-12-11/interactive-brokers-ceo-concerned-about-bitcoin-video

https://coinmarketcap.com

https://economictimes.indiatimes.com/markets/stocks/news/this-cryptocurrency-with-5700-return-in-2017-is-giving-serious-competition-to-bitcoin/articleshow/62034177.cms

https://www.cnbc.com/quotes/?symbol=BTC%3D

https://www.investopedia.com/news/litecoin-future-cryptocurrency/

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!

Is Google TensorFlow the right machine learning framework to go with for systematic trading

I just wanted to go over with you a recent article found here at KD Nuggets. They’re a very popular website for machine learning, data science. I don’t think we need to go into all the hubbub about machine learning, but lets talk about some of the open source libraries out there from various companies.

We’ve got Tensor Flow right up there as easily the number one and then Scikit Learn, Theano and Keras are the other ones. There’s Torch, a few other ones, but the one library that’s easily number one is Tensor Flow from Google. I put up another article where it was something like 80% of the … It’s a huge number of people that use Tensor Flow versus other libraries as I’ve just mentioned. It’s open source. It’s done in C Plus Plus, but it’s heavily interfaced with Python.

There’s Theano, which is another alternative. I think it’s a little older. It’s easier to use as far as I know and it’s just not growing as fast because Tensor Flow is pretty cryptic when it comes to the working of the coding front end of it. I still want to do a course on it. I just posted a standard course found on Coursera using, I think it was MatLab and Octave. We also have Theano, which is a mature library, but I think this is dropping off.

Moving onto other, there’s Torch from Facebook, it’s Lua. It’s kind of smart how it’s done, but there is an interface with Python and as I said, Python is a standard way to go about doing machine learning.

Scikit is another one. That’s fairly old as well. I think it was done 100% in Python. Unfortunately, that seems to be dying off. I know Apple’s got a few. I don’t really think that’ll take off as long as Google and Tensor Flow have pretty well entrenched the whole market for machine learning libraries and frameworks.

There’s the other one called ‘Caffe, Caffe Two’. I’m not even going to mention that. I don’t think it’s worth it. There is Apple coming out, but I really think that the … Swift is getting popular, but more on the back end. I just don’t see a Swift any of the Apple technologies picking up where Google Tensor Flow is at.

There’s Keras as well, which is built on top of Tensor Flow. It’s more for an easier way to interface with Tensor Flow, but all in all I think Tensor Flow is pretty well the standard and will be the standard for a while. We haven’t even talked about the Google Deep Mind, which is another project, which seems to be growing. I’m not sure if that is built upon the Tensor Flow, but apparently that’s getting big too. That’s going to be like the equivalent of the next generation.

Those are all the current machine learning libraries out there, but if you want, if you’re a betting guy and you want to bet the future, yeah, Tensor Flow seems to be the one to go with. Hope that’ll help you out.

I have made available my questionnaire for those who are seeking one on one help in algo or automated trading. Please find this Word Document to download here:

 

 

https://quantlabs.net/blog/2017/11/one-on-one-questionnaire-for-algo-or-automated-trading-help/

 

You can always answer this which you can by attach to respond to this email or at support@quantlabs.zendesk.com.

 

You can also watch these videos to understand why this is being offered:

 

https://www.youtube.com/watch?v=HaCrh2puSwg

 

You can find more details on reasoning for this questionnaire here:

 

https://quantlabs.net/blog/2017/11/one-on-one-questionnaire-for-algo-or-automated-trading-help/

 

Thanks 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!

What you can learn for forex algo automated systematic trading

What you can learn for forex algo automated systematic trading

This to address today’s commentary on my Meetup groups from my recent Meetup event

Hot sizzling forex trading Meetup in Jul

Monday, Jul 10, 2017, 7:00 PM

9 TO Forex Traders Went

Check out this Meetup →

Quant Finance

Toronto, ON
1,455 Members

Quant Finance group talking hedge fund, investment, quant analytics, and quant tech development. This includes MatLab, C++, C#/.NET, Java, Excel, VBA, Python, R, etc. I would …

Check out this Meetup Group →

Social media resources:

https://www.youtube.com/user/quantlabs/playlists

https://www.facebook.com/groups/quantlabsnet/

https://www.instagram.com/quantlabsnet/

Read or download my Ebooks at:

Trade Like a Boss Download Report

Join my Analytics Membership if interested

https://quantlabs.net/analytics/order-analytics/

Events https://quantlabs.net/blog/events-on-facebook-page/

or https://www.facebook.com/pg/quantlabsnet/events/

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!

First systematic trading report for quant analytics Fed Reserve snapshot

First systematic trading report for quant analytics  Fed Reserve snapshot

Fed Reserve analysis June 19

There is a complete data package with raw files from the source as well

This is for my Quant Analytics members

https://quantlabs.net/analytics/order-analytics/

 

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!

Systematic hedge funds join industry top performers

Systematic hedge funds join industry top performers

Computer-driven hedge funds join industry top performers

The move to include systematic funds by LCH shows the prevalence of modern quantitative trading strategies at hedge funds. The industry has largely shifted away from using solely discretionary methods to incorporating systematic trading and analysis of big data.

https://www.ft.com/content/9981c870-e79a-11e6-967b-c88452263daf

Join my FREE newsletter to learn more about how automation can help in your 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!

Demo of my systematic pair trading arbitrage long short selection

Demo of my systematic pair trading arbitrage long short selection

When done right, this script can chose trading pairs (long short) which have 25% returns! Some as high as 50%

Download the data here

data

Join my FREE newsletter to see when this analytics service is ready fo launch

 

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!

Slides on systematic trading strategies

Slides on systematic strategies

Here are some very interesting and detailed mathematical strategies that you should consider when developing low-level trading models. This will showcase the power of math versus some technical chart chasing trading opportunity. That’s what all these unknowingly technical analyst amateurs do.
Check out this set of slides which will intrigue you about the advancement of math in trading

What REAL quant and HFT looks like from advanced math PHD doctorate book

When you look at this, I also need to remind you of this book which will show the advancement of mathematical formulas for any high frequency trader.

Check out this book here

I know we are nowhere close to using these advanced trading strategies but I follow more simplistic approaches like fundamental. With a combined solid baseline of economic analysis, you have a major advantage that no one else will see this type of data. But the question is what do you do with it? What do you think my upcoming analytical service will be about?

As they say get it while it’s hot, the remnants of my Quant Elite membership will be removed in coming months.

 

As a result, I highly recommend you to check out my Quant Elite membership.
You could always join here

Thank 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!

Slides on systematic strategies

Latest slides on systematic strategies

All from Attilio Meucci’s world who has some great example code for trading risk analysis

This is the major link you want:

 

 

In this issue you will find:
1. ARPM Education
Slides: Systematic strategies
2. ARPM News
Exhaustion and relief at the ARPM Bootcamp
3. ARPM Pointers
3.1 “Did you know?”
3.2 Featured white papers
3.3 Quant discussions

 

1. ARPM Education
Slides: Systematic strategiesSystematic strategies are dynamic quantitative portfolio construction techniques inspired by the key theorems of the asset pricing. Systematic strategies are also known as “quantitative strategies”, or “rule-based strategies”, or, with abuse of nomenclature, “smart beta”, or “alternative beta”, or “exotic beta”, or “quantitative alpha”, or “factors” or “risk premia”.
In this set of slides we describe:
– Signal identification (fundamental, pricing and statistical) and signal filtering
– The Fundamental Law of Active Management and its connection to expected returns
– The construction of factor-replicating portfolios with one or more signals
– BacktestingSee presentation ]   [ Join discussion ]
 

2. ARPM News
Exhaustion and relief at the ARPM BootcampThis year we had a record turnout at the ARPM Bootcamp: 333 attendees from all over the world!
However, wading through 6 days of instruction, marching through networking events and the Gala Dinner, practicing on the ARPM Lab, crawling under the MATLAB Day and the Python Day, and running through all the other activities in that one fiery week of August took a toll on our crowd, see for yourself:
ARPM is a proud sponsor of the one-day workshop
New Themes in Finance, Insurance and Energy Markets
September 22nd, 2016
Università del Piemonte Orientale, Department of Economics and Business, Novara (Italy)

[ Website ]  [ Program ]
Registration is free but mandatory. To register write to manfin@uniupo.it
 

3. ARPM Pointers
3.1 “Did you know?”

  • The Arbitrage Pricing Theory can be derived by assuming a linear factor model for the stochastic discount factor [Comment]
  • Two jointly t-distributed random variables cannot be independent  [Comment]
  • An arbitrary European-style option can be written as a portfolio of call options with the same expiry and different strikes [Comment]
  • The sample mean and sample covariance are very sensitive to the inputs, and thus are not robust estimators [Comment]
3.2 Featured white papers

The Advanced Risk and Portfolio Management Research Paper Series on SSRN collects rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us.
Featured white papers:

3.3 Quant discussions

View our technical discussions on the Advanced Risk and Portfolio Management Group on LinkedIn. Join to contribute papers, code, or thoughts. We have a no-advertisement policy. Featured quant discussions:

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!