Quant Trader. Market Forecasting and Optimization of Trading Models. Presented by Quant Trade Technologies, Inc.

Transcription

1 Quant Trader Market Forecasting and Optimization of Trading Models Presented by Quant Trade Technologies, Inc.

2 Trading Strategies Backtesting Engine Expert Optimization Portfolio Analysis Trading Script 2

3 Algorithmic trading strategies 3

4 Premium selection of algorithms Self-optimizing ARIMA expert Finite Impulse Response Neural Network Finite State Markov Automation Stepwise Best Regression Square Root Regression Square Regression Logistic Regression 4

5 Attaching predictor to chart Open new chart Chart analysis Expert Adviser Algorithm list Forecast line appears on the chart Only one forecast allowed at any moment Select None to remove forecast 5

6 Example of forecast on chart 6

7 Exclusive trading strategies Signals derived from market forecasts Selectable forecasting algorithm Tailored for automatic optimization Universal for all markets and time frames Simple technical rules Easy statistical interpretation 7

8 Selecting trading strategy Open new chart Chart analysis Expert Adviser Strategy list Trading advises appear on the chart Only one strategy allowed at any moment Select None to cleanup advises 8

9 Example of strategy on chart 9

10 Symbols for trading signals Trading signals depicted as triangles Color indicates signal type Buy (Green) Sell short (Red) Exit short (Blue) Exit long (Gray) Only one signal is allowed per bar 10

11 Forecast driven strategies Direct forecast directly trade on forecasted price expectation Exact forecast change filter our direct forecast trades with trading commissions Exact forecast threshold filter our direct forecast trades with entry and exit thresholds (equal to point size in case of futures) 11

12 Forecast and trend hybrid Exact price change combined forecast and price correlation trading with commissions and thresholds Safe balance enter on forecasted price against current price and exit on the actual price trend observed Safe exit combined forecast and price correlation trend over several bars with commissions and thresholds 12

13 Intrinsic and custom strategies Two types of trading strategies Forecast driven built-in strategies Trading script custom strategies Standard strategies on top of the list Forecast required Custom strategies on bottom of the list 13

14 Strategy Backtesting Engine 14

15 Backtesting engine All standard trading statistics Separate analysis of long and short trades Full list of trade executions Profit / loss evaluation per trade Profitability chart of capital evolution Account for entry / exit commissions Fixed capital and capitalization tests 15

16 Creating backtest report Create or open a chart Select forecasting algorithm Select trading strategy or script User charting ribbon: Chart analysis (ribbon tab) View (ribbon group) Performance (button) 16

17 Backtesting results 17

18 Backtesting parameters Account: Number of shares to trade Commission / trade : Trading commissions on entry and exit from the trade Minimum change: Minimum price change to trigger trading signal. This should be equal to point value, if any 18

19 Expert System for Strategy Optimization 19

20 Expert strategy scanner Universal strategy expert scanner Scans for optimal combination of: Trading strategy Forecasting algorithm Winner selection based on a number of advanced trading statistics Intelligent randomized scan 20

21 Expert strategy scanner Open new chart Chart analysis Expert Adviser Expert Adviser Watch progress bar while expert system scans strategies to find an optimal one 21

22 Expert strategy scanner results On scan completion appears message with optimal strategy and algorithm Confirm to apply expert selection to chart 22

23 Expert strategy on chart 23

24 Expert strategy performance 24

25 Tools for Portfolio Analysis 25

26 Portfolio optimizer Summary view of all symbols in portfolio Forecasted price and change per symbol Expert advise on trade execution Distinctive coloring of signals 26

27 Open portfolio optimizer Home & Basics Analysis (group) Radar (button) Add symbols to portfolio: 1. Home & Basics > Symbol > Add to Favorites 2. Data manager > Add selected to portfolio 27

28 Batch expert scan Open new chart Chart analysis Expert Adviser Expert Adviser Batch expert scan on all symbols in portfolio for the best predictor and strategy combination 28

29 Portfolio affinity matrix Powerful tool for portfolio optimization Exclude closely correlated symbols Correlated symbols similarly behave on market changes It decreases stability of portfolio Keep portfolio of less correlated symbols Increase probability of some symbols growing while others downtrend 29

30 Multiple affinity measures Correlation radius Kendall rank correlation Normal absolute difference Kruskal-Wallis test Friedman test Hurst coefficient H parameter Correlation Asymmetry Excess 30

31 Portfolio affinity matrix example 31

32 Log relation analysis Discovery of symbol dependencies Calculates cross correlation of selected symbol with other symbols in portfolio over a range of time lags If strong correlation exists, then correlated symbol can serve as a predictor in multiple regression model Multiple classical and nonparametric proximity measures 32

33 Log relation analysis example 33

34 Scripting of Trading Strategies 34

35 Trading script Easy scripting of your trading strategies Scripting language for auto-trading Non-procedural scientific language Vector programming language Designed specifically for developing of trading systems Large collection of built-in vector operations and technical indicators 35

36 Trading script components Every strategy consists of four scripts: Buy script Sell script Exit long script Exit short script All strategy scripts are optional At least one entry and exit script should be filled for the strategy to execute 36

37 Trading script editor Centralized management of scripts Persistent script storage Trading strategy script library Editing of buy/sell and entry/exit in four side-by-side windows Side bar script function guide with immediate insertion capability Script validation with error reporting 37

38 Trading script editor screen 38

39 New trading script creation Strategy library > Add Give a name to new strategy Fill script code for buy/sell and enter/exit Validate and save the strategy Strategy appears in strategy list 39

40 Selector of trading script Scripts appear on bottom of strategy list Scripts are below Trading Script item Scripts do not need forecasting algorithm Algorithm field can be left empty Scripts appear in the list when added to trading script library Scripts disappear from the list when removed from trading script library 40

41 Pioneers in the fractal exploration of financial markets 2 N Riverside Plaza Suite 2325 Chicago, Illinois Quant Trade LLC (872) Quant Trade, LLC. All rights reserved. No part of the materials including graphics or logos, available in this Web site may be copied, reproduced, translated or reduced to any electronic medium or machinereadable form, in whole or in part without written permission. Quant Trade, LLC has been a Commodity Futures Trading Commission (CFTC) registered Commodity Trading Advisor (CTA) since September 4, 2007 and a member of the National Futures Association (NFA). Trading futures and options involves the risk of loss. You should consider carefully whether futures or options are appropriate to your financial situation. You must review the customer account agreement and risk disclosure prior to establishing an account. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. Past results are not necessarily indicative of futures results. The risk of loss in trading futures or options can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition. Information contained, viewed, sent or attached is considered a solicitation for business. 41