The Quantist

I'm going to use this thread to share some of my findings based solely on market modeling, statistics, and related projections, or collectively, quantitative market analysis. If some material comes across as abstruse, or just plain weird, I invite you to post your questions or concerns.

I'm looking forward to your posts.

I had to look up 'abstruse' but apart from that so far so good!

Should be an interesting thread, do you have a background in this type of analysis?

*subscribed*

Good stuff, looking forward to your posts.

Hell, I was going to let the OP get in to his stride before posting a "oooo, this should be interesting" post, but since you guys have all said your part...

Oooo, this should be interesting! Waiting in antisipation...

No pressure then

We'll just vamp until the main event....

Good to give the guy some encouragement though, think he has enough now.

Let's use math to skew the odds to us!!!

Whoa. Didn't quite anticipate this level of response (thanks for the pressure!), but I'm glad to see there are lots of you out there who are into this sort of thing. I firmly believe, from experience and theory, that "quanting" is the way to trade the markets, rather than rely on pure fundamentals. Probability is an overused word, but the real meaning behind it seldom understood. While I won't go into stats 101 here or disclose all the details about my models, I will post lots of "compiled" work in graphical form. I'm certain some of you will challenge them or disagree with them, and I'm sure they will sometimes be wrong (probability!!!), but remember, if we all traded the same systems with same triggers, we wouldn't be very profitable.

I build my own models and tools, train them and then test them in out-of-sample scenarios. Then I trade them.

I just checked out your site, very nice. Not much quant info though.

Thanks Spekkie. Yeah the site is still pretty new. Just launched it a few weeks ago, so I'm still in the process of putting stuff up. Also, aside from some pure technicals (which I often use in concurrence with quant), most of the projections and triggers are derived from mathematical and statistical models. That's why I said I publish "compiled" work, I can't really go into all the fourier transform covariance, wavelet studies, and other fun stuff that I do on daily basis. So that's really what you can expect from this thread.

There is some info on the blog: http://mnikolic.tumblr.com

But the charts there don't look very "quanty". Quants don't use candlesticks.

You are also an introductory broker to Dukascopy, as evidenced by a link on your site:
http://mnikolic.com/fundamentals/usi...ding-t-60.html

No offence but your website does not sound like a quant to me.

I haven't even started posting any analysis, but if you already find this thread useless, commercial, or whatever you'd like to label it, just don't follow it. I really have nothing to lose or gain here.

You mention overbought oversold a lot in your site, sound like technical analysis more than quantitative.

You say you cant go in to all your "fourier transform covariance, wavelet studies"? Why is that? Surely you can talk about it without giving away you edge.

Lets give him a chance to post guys he said his site is relatively new and does not contain all relevant information yet

Oh if you'd like to see some quanty bits, that's fine. Just didn't think a lot of people would be interested in them. Usually I get, "does that mean up or down".

And yeah I also use technicals in my studies, especially for S/R levels. Quantitative analysis can be wonderful at projecting frequency and direction, but can be less reliable with amplitude of certain market moves.

I guess that makes you a technical quant (-: Are you using Fourier in your analyses?

I guess it does!
For transformations, yeah, Fourier for frequency distribution and wavelets for time resolution.