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Quantitative Trading

  • #1
  • First Post: Oct 27, 2010 8:56am Oct 27, 2010 8:56am
Hello and welcome to this new thread.

Please feel free to post your quantitative trades here.
We will do the same.

The aim of this thread is to promote quantitative trading, and have people exchange ideas about entry and/or exit strategies.
And of course all trades can be posted here.
Now what is quantitative trading?
Its a technical strategy that relies on mathematical formulas to recognize opportunities. Most important: it keeps the human element out of trading decisions.
Now we sometimes overrule our models, but you get the picture.
No, we are not geeks. Nor mathematical wizards. Sometimes trading comes down to probabilities. And when the odds are in our favour we trade.

Who we are.
Between us, we have decades of experience in the financial markets, with both having worked in senior positions on the trading floors of some of the most prestigious global institutions. This invaluable experience gained at banks, such as HSBC, Commerzbank, Bank of Tokyo-Mitsubishi and Rabobank, has provided us with an in-depth understanding of the pricing and mechanics surrounding the Foreign Exchange, fixed-income and derivatives market.

Since 2007, we have been trading FX solely for our own account, working closely together, in order to build and develop an array of profitable trading models.

Feel free to call for any information.

Regards, Quantts
Amstelveen Holland
  • #2
  • Edited 12:00pm Oct 27, 2010 11:22am | Edited 12:00pm
Great to see you, Q!

I am more than happy to vouch for you as a person and also for your thread and new commercial venture. You are a true professional, Michael, someone who is totally transparent and honest in your approach to the markets. Anyone who has followed your site over the past year will be able to testify to the same. These qualities are often sadly lacking in such commercial ventures.

I'll certainly be closely following this thread in the coming weeks/months.

On a different note, I hope we soon catch up again in person and get to discuss some geeky, quant-based stuff over a beer or two.

Cheers, Paul
  • #3
  • Oct 27, 2010 12:01pm Oct 27, 2010 12:01pm
Many thanks for your kind words Paul. Much appreciated.
I hope to see you around on a regular basis.
And yes, catching up in person again would be great.


On:
Sell signals given in both EUR JPY and GBP USD overhere, but expectancy too low to trade them. We have confidence we will be trading thses pairs in just a matter of days.
EUR USD is doing just fine, although we took profit too soon on our sell from Monday evening.
  • #4
  • Oct 28, 2010 4:23am Oct 28, 2010 4:23am
We went long EUR USD at 13839. Entry is based on a short term model that has given profitable signals so far this year. Stop is nearby at 13791 and we are looking for a 100 pips profit.
Good luck.
  • #5
  • Oct 28, 2010 8:27am Oct 28, 2010 8:27am
Our objective on the long EUR USD positon was 100 pips from entry.
Now that we are halfway we have raised our stop loss to this entry price.
Objective still 13940, stop at 13840 now.

We do this because we want to keep our risk balanced with our potential profit. Risk with the old stop was 100 pips, while the potential profit was reduced to 50 pips. Now this is more balanced.
Regards,
  • #6
  • Oct 28, 2010 11:02am Oct 28, 2010 11:02am
We reached our target at 13940, and realised 101 pips profit.
Timing was perfect, at the close of the European markets.

362 pips profit this month, all in EUR USD and in just 6 deals.
All based on short term models.
Regards,
  • #7
  • Oct 29, 2010 5:13am Oct 29, 2010 5:13am
Good day,

We trade the major pairs, and focus on short term time frames.
That can be anything from 15 minutes to 4 hours.
A good entry is nice, but exit is more important.
For each pair in each time frame we have three exit strategies. All with their own stop loss and target price.
Market circumstances and the performance of a strategy over a period of time determines what strategy we use.


The number of winning deals is slightly lower than 50 percent.
But on average our winners realised 104 pips, while the average loss of a losing deal was 54 pips.
This explains our result of close to 3000 pips. (All figures from 2010)

Regards,
  • #8
  • Oct 29, 2010 6:26am Oct 29, 2010 6:26am
Quoting quantts
Good day,

We trade the major pairs, and focus on short term time frames.
That can be anything from 15 minutes to 4 hours....
How will you approach the FOMC statement release next week, as this undoubtedly throws up huge event risk? Will you steer clear until the dust settles and the market has digested the statement for clues, or answers, as to the levels of QE that will be unleashed?

The coming weeks could provide some excellent trading opportunities, with the incredible amount of uncertainty surrounding QE2. How much QE has the market currently factored into the price of risk assets? Will the Fed announce asset purchases of $500bn, $1,000bn or, as Goldman Sachs has predicted, $2,000bn? And over what period of time will these latest asset purchases take place? Interesting times ahead....

Good luck, Paul
  • #9
  • Oct 29, 2010 7:02am Oct 29, 2010 7:02am
We just sold EUR USD at 13857, with a stop at 13890.
Target is 13700.

Maybe this answers your question, Paul.
All events are discounted in our models. Including FOMC, NFP, you name it.
We will certainly not close any position because some figure is due.
The only thing we cannot handle are gaps. Therefore we dont take any position over the weekend.

On QE:
Fed's Evans already said that the Fed is in a liquidity trap. And yes, it surely looks like it.
I cannot see the point in buying another $500bn of assets, let alone $2000bn.
We shall see.
  • #10
  • Oct 29, 2010 7:47am Oct 29, 2010 7:47am
We were stopped out of our short EUR USD at 13890, losing 33 pips.
In this case the event (GDP Figures) did not work in our favour.

Regards,
  • #11
  • Oct 29, 2010 9:16am Oct 29, 2010 9:16am
Quoting quantts
We were stopped out of our short EUR USD at 13890, losing 33 pips.
In this case the event (GDP Figures) did not work in our favour.

Regards,
We could well see more choppy trading until the FOMC statement, with lots of money staying on the sidelines until there is some clarity to the course of future policy.
  • #12
  • Nov 1, 2010 11:59am Nov 1, 2010 11:59am
Much happening today, Michael?

Not a great deal from my side. I'll be keeping positions small until Thursday London session.

Speak later, Paul
  • #13
  • Nov 2, 2010 4:24am Nov 2, 2010 4:24am
We just took a long EUR USD position at 13971.

Longer term model went long on this occasion. For us that means a position with a target further out, and not a position we will sit on for days and weeks.
Mostly a 'long term' is closed within 48 hours, occasionally one week.
Target set at 14140.

Regards,
  • #14
  • Nov 5, 2010 9:12am Nov 5, 2010 9:12am
The first 6 months of the year we were quite busy dealing GBP USD and EUR JPY, but ever since we came back from holiday in September the pairs have not performed the way we want to see.
So we stick to EUR USD. This one keep just going this year. Plus 329 pips in October and plus 144 so far this month.

Looking at the return from our models on GBP and JPY we suspect it could take a little longer before we will trade them again.
This is also because we tend to set a target at about 150 pips from entry, which is difficult under the current market circumstances.


We went short EUR USD just before the NFP, but when the market did not go as low as we thought it would we took 'm back with an 18 pips profit.

Regards,
  • #15
  • Nov 13, 2010 8:11am Nov 13, 2010 8:11am
Quoting quantts
The first 6 months of the year we were quite busy dealing GBP USD and EUR JPY, but ever since we came back from holiday in September the pairs have not performed the way we want to see.
So we stick to EUR USD. This one keep just going this year. Plus 329 pips in October and plus 144 so far this month.

Looking at the return from our models on GBP and JPY we suspect it could take a little longer before we will trade them again.
This is also because we tend to set a target at about 150 pips from entry, which is difficult under the current market...
Just looked at the site and seen you're having another consistent month. Keep it up, friend.
  • #16
  • Nov 16, 2010 2:41am Nov 16, 2010 2:41am
Good day,

The last few days we've been busy updating our website.
From Monday November 22 onwards you need to register if you want to receive our publications.
It's for free until the end of 2010. And for free means for free.

Our most interested viewers asked us why we did not do more trades on shorter time frames. The answer is that when we enter a trade the minimum number of pips we aim for is 100.
Sometimes targets are set at 150 or even 250 pips, all depending on volatility and the time frame on which the entry is based.
By setting a target that far off we often miss out on some nice (very) short term moves indeed. But on the other hand we have a nice 104 pips average profit on our winning trades. The combination of this profit figure and an average loss of 54 pips on losing trades and a 46/54 split on winners/losers explains how we make money.
This is the market we feel comfortable in. Short term time frames (or scalping) are great, but not our trading style. You can't win them all.

Regards,
  • #17
  • Edited 10:59am Nov 23, 2010 10:58am | Edited 10:59am
Today we published some 300 pips on EUR USD.
Our short term model went short yesterday morning. And by midnight our time we went short on a "long term" trade.
Reasonably happy with the result, but looking at the decline now (13380 as we speak) the result could have been better.

But we wont complain!

We suspect some subscribers to follow publications. Got some nice feedback.
Maybe they enjoyed a 300 pip ride too.
Amazing, because our disclaimer is cristal clear... do not follow our trades !

We expect to be trading EUR JPY again anytime soon. The pair seems to have awakened.

Good luck.
  • #18
  • Nov 23, 2010 11:24am Nov 23, 2010 11:24am
Quoting quantts
The first 6 months of the year we were quite busy dealing GBP USD and EUR JPY, but ever since we came back from holiday in September the pairs have not performed the way we want to see.
So we stick to EUR USD. This one keep just going this year. Plus 329 pips in October and plus 144 so far this month.

Looking at the return from our models on GBP and JPY we suspect it could take a little longer before we will trade them again.
This is also because we tend to set a target at about 150 pips from entry, which is difficult under the current market...
I also stopped trading the yen pairs a few months ago...they were not moving well for me. I was only trading eurusd, but I have added eurjpy and cadjpy back now and they have provided me with some good pips this week. Maybe it was good timing or lucky for me to add them back to my porfolio this week.
  • #19
  • Nov 23, 2010 12:38pm Nov 23, 2010 12:38pm
Good timing for sure, Fxtrader.
Well done.

Its good to hear someone else stayed away from the yen too.
Some made us think we were the only ones not trading the currency.

We wrote it down earlier, our profit targets are a bit further out.
And if a pair stays in such a narrow range for months we can't make any money out of it.

Talking about luck: we've been lucky on EUR USD. And of course the result is thanks to some hard work too.

Good luck!
And timing is all.
  • #20
  • Nov 23, 2010 1:15pm Nov 23, 2010 1:15pm
Quoting quantts
Good timing for sure, Fxtrader.
Well done.

Its good to hear someone else stayed away from the yen too.
Some made us think we were the only ones not trading the currency.

We wrote it down earlier, our profit targets are a bit further out.
And if a pair stays in such a narrow range for months we can't make any money out of it.

Talking about luck: we've been lucky on EUR USD. And of course the result is thanks to some hard work too.

Good luck!
And timing is all.
I stopped trading the yen pairs just before the BOJ intervained in the markets, i might have missed the big movement after they intervained, but overally I have managed to stay out of bad trades. I am a swing trader and i target 120+ pips, but i take partial profits in between....so if a pair is in a range, i usually stay out until i see some good momentum.
I am still waiting to see how GBPJPY performs before I add it back to my porfolio...the PA has been appealing for me, so i stay out. But the other pairs I am trading has kept me busy and this week has been very kind on the equity curve....
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