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Global Macro FX

About to add a hedging beta to counter market crashes.
Quant Trader - My Blog: quantstop.blogspot (dot) com
RETURNS based on percentage weekly
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also french elleections near, neato
Quant Trader - My Blog: quantstop.blogspot (dot) com
I am developing an HFT stat-arb strategy. Look out for it
Quant Trader - My Blog: quantstop.blogspot (dot) com
14.01% profit margin
Quant Trader - My Blog: quantstop.blogspot (dot) com
Some Research i'm doing:
Inserted Video
Quant Trader - My Blog: quantstop.blogspot (dot) com
Quoting aroxalot
Some Research i'm doing: https://youtu.be/y87kJNaG_w0
what is the action taken if the model breaks??
Quoting Neo1
{quote} what is the action taken if the model breaks??
limiting leverage. Also the strategy is tested on a small balance first to verify it's effectiveness.
Quant Trader - My Blog: quantstop.blogspot (dot) com
Quoting aroxalot
{quote} limiting leverage. Also the strategy is tested on a small balance first to verify it's effectiveness.
but its meant to be working on big balance ??
Quoting Neo1
{quote} but its meant to be working on big balance ??
I should rephrase, the neural network discovers strategies and does early stage research. if they work it reminds me to check it out. I then code and algotrader for the strategy. The machine learning is only for researching the strategies. I then examine, tweak etc until they are perfect.
Quant Trader - My Blog: quantstop.blogspot (dot) com
Inserted Video
Quant Trader - My Blog: quantstop.blogspot (dot) com
Quoting aroxalot
{quote} I should rephrase, the neural network discovers strategies and does early stage research. if they work it reminds me to check it out. I then code and algotrader for the strategy. The machine learning is only for researching the strategies. I then examine, tweak etc until they are perfect.
what if you found an existing relation do u look for the fundamentals behin??
Quoting Neo1
{quote} what if you found an existing relation do u look for the fundamentals behin??
Yes, right now I am researching a system discovered by my neural network. It studies order flow. However the machine learning just knows it works, it doesn't understand why.
Quant Trader - My Blog: quantstop.blogspot (dot) com
Quoting aroxalot
{quote} Yes, right now I am researching a system discovered by my neural network. It studies order flow. However the machine learning just knows it works, it doesn't understand why.
what do you mean by order flow??
Quoting Neo1
{quote} what do you mean by order flow??
My model uses tick volume as an estimate of relative transaction frequency. Orderflow is the patterns in orders/volume
Quant Trader - My Blog: quantstop.blogspot (dot) com
tested my hft strategy for three days on limited capital+volatility allocation just to find out it I forgot to multiply my dynamic allocacation distribution by -1. lost .3% of return on trade size, but just restarted it, it's running and it's netting profit

AWESOME
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  • Post #37
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  • Last Post: Sep 15, 2017 9:47pm Sep 15, 2017 9:47pm
Do you have newer model?

I hope you would consider stoploss to avoid being hit by black swans.
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