Tag Archives: table

Demo MySQL C Insert Java Select with Positions Database Table

Demo MySQL C Insert Java Select with Positions Database Table

A nice a combo of MYSQL calls

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How to create trading idea watchlist table in a Postgres database with SQL to Excel

How to create trading idea watchlist table in a Postgres database with SQL to Excel

Yes this ia all done in quick video help generate the nerve center of my internal trading system

 

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SQL is here:

How to create trading idea watchlist table in a Postgres database with SQL

— Table: test.watchlist

— DROP TABLE test.watchlist;

CREATE TABLE test.watchlist
(
longs character varying(25),
shorts character varying(25),
longentry money,
shortentry money,
spread numeric(10,0),
perc numeric(5,0),
weeks numeric(3,0),
week1 numeric(3,0),
week2 numeric(3,0),
week3 numeric(3,0),
week4 numeric(3,0),
week5 numeric(3,0),
week6 numeric(3,0),
week7 numeric(3,0),
week8 numeric(3,0)
)
WITH (
OIDS=FALSE
);
ALTER TABLE test.watchlist
OWNER TO testuser;

——
SELECT
*
FROM
test.test.watchlist
WHERE
longentry = ‘0’ AND
perc = 00.0

 

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I wonder that Did you know MATLAB has table arrays and regression modeling?

I wonder that  Did you know MATLAB has table arrays and regression modeling?

I am plan to add more neat demos courtesy of this powerful tool

I wonder: Did you know MATLAB has table arrays and regression modeling?
Q & A on what is the best way to stream Excel data into SQL database table with DotNet CSharp? – See more at: https://quantlabs.net/blog/2014/03/q-a-on-what-is-the-best-way-to-stream-excel-data-into-sql-database-table-with-dotnet-csharp/#sthash.mhhIQdJ8.dpuf
I have included the links on where to get the software from Paul to play around with:
Dynamic surface from Paul Cottrell Poseidon software – See more at:https://quantlabs.net/blog/2014/03/dynamic-surface-from-paul-cottrell-poseidon-software/#sthash.G1yuKcUU.dpuf
Is it worth to have a Tim Sykes binge to see how his strategy really works
Most sensible review of Timothy Sykes I have ever read so where do I stand? | Quant Academy Trading Ideas | Forum
FX Options: Using Technical Analysis to Improve Directional Trading in UK | Traders In Your Local Area | Forum – See more at: http://quantlabs.net/academy/forum/traders-in-your-local-area/fx-options-using-technical-analysis-to-improve-directional-trading-in-uk/#sthash.7ejGMwEh.dpuf
Hope this help
Bryan

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Q & A on what is the best way to stream Excel data into SQL database table with DotNet CSharp?

Q & A on what is the best way to stream Excel data into SQL database table with DotNet CSharp?Answers below:
> Hi Bryan,
>
> Your cswatcher is watching csv file, can you suggest direction for
> watching excel file?

–> I am using now  *** for  Excel which does streaming withj IQFeed or IB

Is it good to convert excel file to csv then
> import into sql?

–> You could easily export the Excel into SQL via C#

Can SSIS watch excel file and streaming changed data
> into new record in sql table? What is the best way?

–> I have never used SSIS but this might be a decent option. I currently wrote a pair trading C# application which build Excel worksheets using the legacy Interop API. it is very slow and not recommended. I have also seen this as well for Office 2013:
http://msdn.microsoft.com/en-us/library/bb448854(v=office.14).aspx
This might be the lightest and modern way to use C# to populate your SQL table.

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DOTNET C# sample code on how to call SQL Server 2014 OLTP in-memory database or table for potential HFT

DOTNET C# sample code on how to call SQL Server 2014 OLTP in-memory database or table

As I dig further into this SQL Server 2014 OLTP (in memory database) functionality, I am starting to realize it removes the need of StreamInsight as well simplifies the queries to call large data tables with market data. This could get interesting as my brain is coming up with some interesting ideas.

The basic idea is to create your database and table with In Memory feature associated, create a new native store procedure which you call within your C#. I don’t think there would much performance difference if you called from Visual C++ but C# would be much easier.

Basically, SQL Server will translate the stored procedure into C files which then creates a DLL. I found some examples on how to access this through Interop resources which can be done through ADO.NET, ODBC, or OLE DB. You choose but which one is more efficient so let me know your thoughts there by commenting.

If this is the case on what I assume, it is quite possible it will remove the need of complex event processing (CEP) or at least simplify it.

Here are some articles on this.

C# Code samples:

http://msdn.microsoft.com/en-us/library/dn247642%28v=sql.120%29.aspx

http://www.qumio.com/Blog/Lists/Posts/Post.aspx?ID=20

Interop services:

http://msdn.microsoft.com/en-us/library/dn247642%28v=sql.120%29.aspx

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Quant analytics: Have group of robust and stable automatic trading strategies for buy side Alpha generation. Looking for place to employ them

 

Quant analytics: Have group of robust and stable automatic trading strategies for buy side Alpha generation. Looking for place to employ them.

Hello,

Have group of robust and stable automatic trading strategies for buy side Alpha generation. Looking for place to employ them.
(Prop-trading desk, Hedge Fund, Asset managing firm or other, preferred location – Asia)

Type of strategies: Directional trading. Mid term frequency.
Capacity: 50-100m USD with out algo-execution assistance.
Markets: US & Asia Equities and Futures + FX spot.
Approach: Systematic with clear and understandable alpha. (Idea generating/executing processes is fully automated).
If you are looking for already sustainable and fully equipped trader, who are able to generate investment decisions and trading strategies with above average P&L and do this autonomous with self-sufficient programming skills. You find him.
Any variants of collaboration are welcome.
Will be next few weeks in business trip around Asia and can meet personally, to discuss models and show performance/track records in details.

# Here is portfolio performance of US and Asia equities systems.
http://dl.dropbox.com/u/19915855/Portfolio.pdf

(Performance of futures portfolio will be later, I’m in process of counting statistics for each system separate)

 

dl.dropbox.com

I can add to portfolio exposure to 2 types of Alpha.

* Systematic long/short alpha on futures. (CTA/managed futures type).

Futures markets Asia & US + FX SPOT.
(Traded futures contracts: Hang Seng index, Sydney Price index, Hang Seng China Enterprises Index, Gold, Crude Oil, S&P 500, US TRX 10/30 and some others. )

PS: Main part of alpha is coming from Asian exchanges + Gold and Crude Oil.
(FX: EUR, GBP, AUD, NZD, SGD)

* Long only (Beta One).

(US & Asia only liquid stocks)

Here is some statistics from futures trading portfolio.

Light Sweet Crude Oil (WTI) Futures
Ratios:
Win/Loss = 1.75
%time in market 5.61%
PF = 1.87
Target revenue 25% annually
Margin to Equity ratio 10-15% (counted on Overnight Initial value)
Average position holding time 6-7 hours.

Hang Seng index (HKFE)
Ratios:
Win/Loss 0.49
%time in market 13.67%
PF = 3.76
Target revenue 30% annually
Margin to Equity ratio 15% (counted on Overnight Initial value)
Average position holding time 24 hours.

Sydney Price index
Ratios:
Win/Loss 0.45
%time in market 10.24%
PF = 2.25
Target revenue 30% annually
Margin to Equity ratio 10% (counted on Overnight Initial value)
Average position holding time 56 hours.

Footnotes:
This is LONG/SHORT directional type of trading models. And positions are holding overnight.
Risk profile of all models are correlated with direct exposure to price movement of future contact price. And can be clearly priced and targeted in every trade with exact accuracy. All of them have fixed stop losses. Overnight gaps are included in statistics.

Some old “back tests” before starting public tracking in 2011.
http://dl.dropbox.com/u/19915855/FX_portfolio.pdfhttp://dl.dropbox.com/u/19915855/Global%20Grows_portfolio.pdfhttp://dl.dropbox.com/u/19915855/Issumboshi_portfolio.pdf

Some of strategies were better then in hypo theoretical tests periods along last year, some were not, but model 1m USD portfolio on collective2 closed with above 20% profit and average Margin to Equity ratio was less 20% level whole year.
http://directionalfuturestrading.collective2.com/

Feel free to contact me for any details,

==

 

This is detail disclosure of process decision taking and trading methodologies used in Asian futures portfolio.

Investment objectives.
Get Systematic Alpha from US & Asia futures markets with directional automatic trading strategies.

Investment process.
In program will be used robust strategies on the tactical basis.
Mainly 3 classes of mid frequency strategies will be used:

* Trend followers for exposure to beta on a tactical basis (Alternative for Gold/Crude Oil and Bespoke for Hang Seng, EUR).

* Momentum trading via taking short term trades in the market direction based on catching temporary “drawback” moving in the direction opposite main trend for last days and then returning to the main trend.

* Contrarian – Mean reversion trading.

All strategies have formalized overlay, programmed, tested and confirmed their edge, all cycle fully automated. (Market analysis – Trading idea generation – Order execution)

Competitive advantage.
Systematic approach with clean and understandable edge focused on Asian futures exchanges and top liquid Real Assets.

Risk Management.
Risk profile of all models are correlated with direct exposure to movement of future contact(FX) price. And can be clearly priced and targeted in every trade with exact accuracy. All trading models have fixed stop losses. Overnight gaps are included in statistics.

Core:
Sydney Price Index /Short term Trend follower/
Hang Seng China Enterprises Index /Short term Trend follower/
Hang Seng Index /Short term Trend follower/
Hang Seng Index /Short term Momentum trading/
Hang Seng Index /Mid term Mean reversion trading /
Hang Seng Index /Mid term Trend follower /

Real assets:
Light Crude Oil /Short term Momentum trading /
Light Crude Oil /Mid term Momentum trading/
Gold /Mid term Trend follower /

Here you can look on the detail statistics of strategies that will be in the Core.
http://dl.dropbox.com/u/19915855/Strategies.pdf

PS: Will be in Hong Kong next few weeks.

 

 

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