Tag Archives: Trend

R script: Complete videos with detail analysis of mean reversion or mean reverting trends for market forecasting strategy or trading model

R script: Complete videos with detail analysis of mean reversion or mean reverting trends for market forecasting strategy or trading model

Here is a more detailed set of R scripts with source code walkthrough demo

1. Backtesting a set of strategies
2. Jeff Augen example of volatility-spikes
3. Mean Reversion with Volatility spikes
4. Euler- demo with  Ornstein Uhlenbeck process which is a low level mean reversion

These will be posted fo Premium Mermbers so you can get your access now. Also, expect a webinar to come on this soon too.

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Instead of HPC getting easier , we are now confronted with increasing complexity and a new trend…

Instead of HPC getting easier (as we dreamed of many years ago), we are now confronted with increasing complexity and a new trend…

… emerging almost every year, such as multicore and manycore, scaling up and out, big data, digital manufacturing and the missing middle, green computing, and HPC in the Cloud. For many, especially the end-user, this is a very painful and growing mixture of technical, mental, and even political challenges which no-one is able to handle individually anymore.

HPC is getting crowded

isc-events.com

If HPC is moving towards into the cloud there is – at least to me – the question what data is to be calculated there and how to transmit this data into the cloud ?
Is it generated by web accesses on a lot of clients each connected with the cloud data base, or is it locally within the cloud on the HPC system(s) generated, or transferred over local internet connection into the cloud ?

 

]IMHO, it’s a problem of the right wrapping of really complex technologies. iPod’s story as an example might be annoying, but, well, Apple won because they gave minimal required functionality to their customers, and took away any need to think about formats, codecs, bitrates, tags and that stuff. Since HPC is getting easier, it becomes more and more important to simplify an access to HPC applications (not to clusters or HPC infrastructure or even to set of nodes) for typical everyday users of such apps – engineers, researchers, to anybody else who doesn’t have even imagination about administrative aspects behind HPC applications.

 

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The pendulum swings both ways. In technology that typically includes cycles of new hardware and software, the later always trying to address the failings of the former.

HPC will never get easier in one sense: as the computers become more powerful, the definition of a difficult problem will include previously-considered-impossible problems

 

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Is the Trend still your friend?

Is the Trend still your friend?

There are very few of the old adages I personally find helpul in today’s market enviorment. One of my favorites has always been, “The Trend is your Friend”. It was, however, declared during an age when markets would trend for prolonged periods in a relatively smooth and orderly fashion.

First, I am interested in everyone’s opinion on whether the globalization of markets, high volatility and wild price swings have invalidated (or, at least diluted) the utility factor of this wisdom.

Secondly, I am interested in how people view and define a trend.

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It seems to be, but time frame might be a quite short one… Actually I have seen during intraday that there are no more easy places for scalpers and pick up the day trend is the key to the

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You can only make money in trends, no matter you are a trend follower or swing trader, it is only the definition of the trend pattern that needs to be defined in order to attempt to capture it.

HFT are also trend followers in the sense that they capture deference in price from other slower HFTs when price gaps (as an example), they found such patterns that are happening these days and their adapt to it.

I think large trends still happen, and if their are not happening then maybe look for trends in smaller time frames or at support and resistance levels.

It is like finding the best hook for the fish in the sea you are in.

 

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I have long practiced taking trades only in the general direction of market prices. What I am experiencing more and more is once the trend direction is validated, it is often to short lived for my strategy to hit its profit objectives.

 

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the proverb is still alive and kicking. the trend is indeed your best friend. i see that you are facing a problem of right exits. try to work on it, my suggestion – start booking at 50%, 75% and 100% of your price objective by exiting 50%, 25% and 25% respectively. if it fails to meet your actual final price objective, just exit the last 25% on any reversal you sense to be strong so that atleast

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Notice that what looks like zig zag on a daily chart, might be a strong clear trend on the 5 min or hourly chart!

 

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I will agree in generally that it requires some sort of trend (i.e., directional price movement) to profit, even if it is on the micro level of a couple of ticks of data. Your statement about defining the trend pattern seems to be the challenge. A trend cannot be defined prematurely nor may it be defined to far after it started.

My profit targets are dymanicaly based on position size. I have tested various exit strategies as you suggested. What I experienced with scaling out of the position, is that the last contracts to be exited, had the burden of carrying the others that exited too soon which meant prices had to move further to reach the profit objective. The exit strategy I find most profitable is a trailing stop to lock in a percent of the profits once a threshold is reached.

I agree with you on the time frames though the challenge of timely defining the trend remains.

Thanks for your comments.

 

I think at least in USA equities, trends have been reduced significantly since the “crash”. In general markets have been alot more choppy. There is truth to questioning the trend is your friend because trends were dimenished, and in my opinion you either have to surff on top of the zig zag taking profit at tops and bottoms or dive deeper to smaller time frames in search of trends

 

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Women in Alternative Investments: Hedge Fund Outlook and Trend

Women in Alternative Investments: Hedge Fund Outlook and Trend

Rothstein Kass has released “Women in Alternative Investments – Industry Outlook and Trends,” a new report focused on trends impacting core…
http://compliancesearch.com/hedgefundsx/current-affairs/women-in-alternative-investments-hedge-fund-outlook-and-trend/

The study by Rothstein Kass expands on the research the firm has conducted on hedge fund, private equity and vc trends for the past several years. All the research reports are available on the Rothstein Kass websit. This study is of interest because it taps the perspectives of some of the industr yleaders — people who have started and/or manager funds. Read the full report at www.rkco.com.

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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!

Web Mining or quant analytics: trend or fad?

Web Mining or quant analytics: trend or fad?

Web-Mining (WM) techniques have been developed in order to analyze Big Data spread through the internet. WM remains a mysterious, almost occult field for any neophyte. In the popular imagination it is often perceived as an entanglement of algorithms, artificial intelligence, machine learning and sophisticated statistics from which, one does not always grasp the depth and scope, but thinks it may be useful in order to find “a diamant in a coal pile”. Paradoxically, in an increasingly rationalized world, technology appears as a blue chip.

WM is appealing because it is so complex and cabbalistic that it must necessarily be a reliable method to obtain relevant results. WM appears as a recipe which extracts totally new, ready-to-use knowledge from databases. As in the words of Greening, “WM is simultaneously a minefield and a gold mine”, depending on how the organization implements it.

What evolution for WM? Is it here to stay and is it useful at all? What would be its benefits for businesses?

Server logs are quite structured, internal data sinks. Such a doughnut of data does not make it Big in my opinion. Call detail records, dialer stats from inbound/outbound call centres fall into the same category but in content alot more exciting, personalized and in nature more bricks and mortar. Without recognizing the intrinsic complexity of the data itself, we are short changing the concept of Big Data. Consider 120mil misspelt and polluted address records in a country with 11 official languages and only 2 in 32 individuals are capable of producing their own address correctly? Unstructured, external data makes big Big.

For the mere fact that Server Logs are structured and internal, mining it is a fad and cannot be distinguished from call detail records that have been around forever! What cannot be a fad is little less data, which has an NP-Complete character in its resolve of correctness.

OK server logs (log files) are generally rather structured data which are used for analyzing usage patterns and users’ behaviors on the web. Analyzing log files is one task of web data mining, called web usage mining. But it is also possible to mine web page contents such as texts, images, videos, audio files. (web content mining) or mine hyperlink structures (web structure mining), the former being by definition far less structured than the latter, not to mention blog mining, collaboratire filtering, etc.

I see WM as a definite trend over in the UK especially within the high street banks. The volumes are challenging for retail banks (although nothing compared to their capital market brothers), one bank has an incremental of just over 1TB per month. Analytics are normally predictive with KXEN as the most common toolset.

@Frans – Great CDR insight. I recall last decade when I spent most of my time building out data warehouses for the likes of Vodafone across the global and Turkcell. Too much time was spent on party analysis to the detriment of packet data. Packet data is the Big data and akin to weblogs….

At iCrossing a major part of our business is web mining combined with strategic marketing consulting based on log analysis. Nothing tells you more about your customer than web logs. What they are looking for, why they are at your site, how much they spent on what… There is really nothing more essential for any Internet-based business than web mining and analytics.

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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!

Can you use Twitter to predict or forecast stock market activity and market sentiment and trends?

Can you use Twitter to predict or forecast stock market activity and market sentiment and trends?

Abstract:

Behavioral economics tells us that emotions can profoundly affect individual behavior and decision-making. Does this also apply to societies at large, i.e., can societies experience mood states that affect their collective decision making? By extension is the public mood correlated or even predictive of economic indicators? Here we investigate whether measurements of collective mood states derived from large-scale Twitter feeds are correlated to the value of the Dow Jones Industrial Average (DJIA) over time. We analyze the text content of daily Twitter feeds by two mood tracking tools, namely OpinionFinder that measures positive vs. negative mood and Google-Profile of Mood States (GPOMS) that measures mood in terms of 6 dimensions (Calm, Alert, Sure, Vital, Kind, and Happy). We cross-validate the resulting mood time series by comparing their ability to detect the public’s response to the presidential election and Thanksgiving day in 2008. A Granger causality analysis and a Self-Organizing Fuzzy Neural Network are then used to investigate the hypothesis that public mood states, as measured by the OpinionFinder and GPOMS mood time series, are predictive of changes in DJIA closing values. Our results indicate that the accuracy of DJIA predictions can be significantly improved by the inclusion of specific public mood dimensions but not others. We find an accuracy of 87.6% in predicting the daily up and down changes in the closing values of the DJIA and a reduction of the Mean Average Percentage Error by more than 6%.

Download from:

http://www.hedgehogs.net/pg/file/keny/read/5388146/research-paper-twitter-mood-predicts-the-stock-market

http://www.hedgehogs.net/pg/blog/JacobBettany/read/5387196/paper-suggests-twitter-mood-predicts-the-stock-market?goback=.gde_1297657_member_32643163

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!

Trend continues, Bank of America closes partial quant prop trading desk. More to come?

Trend continues, Bank of America closes partial quant prop trading desk. More to come?

http://www.bloomberg.com/news/2010-09-29/bank-of-america-is-said-to-eliminate-more-than-20-proprietary-trading-jobs.html

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

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!