Quantitative Trading

It's obvious we missed some trades too. There were moves, and I am sure some made money out of them.
But most important to us is to stay in business.
So we'd rather miss some good trades then entering into losing ones.

JPY losing time could be over now. It looks like EUR JPY will be on the playlist again.
GBP JPY? Thanks, but no thanks.

GL.

hi,

Where can I learn more about Quantitative Trading?

Thanks,

Andrew

Hi Andrew,

Its easy to say you could read some books about it...but that is the simple truth. Check Amazon for QT and you will see whats for sale.
To start with I would suggest "High probability trading strategies" from Robert Miner.
Because that's where its al about. High probabilities. You never know whether you will win or lose when you enter a trade. You do know that a certain strategy has made you money over the last 1000 trades. Or 5 years.
(may that be back-tested)
So that same strategy may make money again in the time to come.
And then there is position sizing to keep you alive in case you encounter a losing streak of 13 deals.........when to exit..? Let it run or take profit/loss nearby.....there is more to it.


But depending on your experience in trading I would suggest to start with Mark Douglas' The Disciplined Trader.
And that is because some folks are able to lose money when given a profitable trading system.
It may sound easy to just follow the signals from your model, but it is not. There are always excuses not to enter a trade. NFP coming up, computer says "buy" but it looks offered, 10 yr yield breaks out, and so on.
Then I would suggest Van Tharp's "Trade your way to Financial Freedom".
Great book.
And I also liked "Trend Following" from Michael Covel.
Not that trend following is my trading style, but it's just good to see what others are doing in general And those guys made fortunes.


I am not saying you are inexperienced. This was just some advice to whoever thinks its useful.

Take care.
Michael

Hi Michael,

Thanks for the info, just wanted to know what is QT really all about. Care to share with me a brief description of it?

Thanks for the help.

Regards,

Andrew

In brief, quantitative trading comes down down to trading based on numerical techniques. Aka model, robot,
So its a computer model deciding when to take a position and what size.
The human emotional-gut-feeling-fundamental-analysis is left out completely.

Regards, Michael

Thanks for the info michael.

Regards,

Andrew

We went short EUR JPY today, based on a short term model.
Each model we trade has three different exits, and the target we set on this position is the one farthest away.
Which one we take depends on the performance of the "exit" over a set period.

There are times where the short stop does much better, but now is not that time.

Regards,

We took our short EUR JPY position back yesterday at about 20GMT.
Weekend-events can cause gaps, and gaps do not fit in our models.
Our profitability is partly based on keeping our stops nearby, at some 50 to 80 pips. Gaps of potentially hundreds of pips are too risky for us. The possibility that a gap can be in our favour is not worth the risk.

Nice weekend,

We went short EUR JPY a minute ago at 11127.
Stop is at 11180.

We should have re-opened this position when trading started some 10 hours ago, but some minor buy-signals prevented us from doing that.
The "old" situation that triggered our sell signal last Friday is back in place now, allowing us to sell.

Regards,

We took back our short EUR JPY at 11150 this morning.
The pair was losing momentum and we saw some minor buy signals again.
That was enough for us to close the position.

Next thing you know its a 100 pips lower!
Sometimes model trading is frustrating too.

But at least its consistent.

Regards,

Short eurjpy from 110.20, taken partial profits at 50pips and 100 pips, now waiting for the final target.

Consistency is the most essential aspect in trading...if yu are consistent with your strategy, you will be able to produce consistent results.

Right you are, Fxtrader.
Consistency has brought us some 3400 pips this year, so we can't complain.

We are keeping our models away from our personal opinion on currencies. We always have an opinion, and often we get a contrary signal and have to go against it our gut-feeling.
But its obvious our models perform much better than we would.

Regards,

We are short EUR JPY for hours now, but not much has happened. Same goes for the short EUR USD position. But overall these pairs seem to be gathering some downward momentum, so we are confident we wont be stopped out within the next few hours. After that its all unclear.
Stops nearby, as always.

Regards,

Still short EUR JPY, though they look like they will be stopped out in a few hours.
We went long EUR USD overnight, and just now we did our first deal in GBP USD since early September.
Short time frame, short stop strategy has come back alive, and the initial target we aim for is mid 158's with a possibility of 15900.

Regards,

Better late than never: Happy New Year !

We've been quiet for a few weeks. Did some deals, but we had a good year and did not want to risk too much. We lost pips in December, but thanks to very low leverage it did not cost too much.
Year end results some 3100 pips and a 60 percent return on our equity.

We are still in the process of setting up a Managed Account Service.
Actually, we expected to start on January 1, but some civil servants are sooo sloooow...

We have some positions running right now, hoping for a good start of the year.

All the best!
Quantts.

Quantts has changed its legal status and is now a B.V., which is something like a Ltd. We now offer Managed Forex Account Services.
Unfortunately this Service is not for U.S. citizens.
(That's not our decision, but Dukascopy Bank's, our partner bank).

Lower vola in the markets, hence the swings in our P&L are somewhat smaller too. Our breakdown indicator has left half of the possible positions open for trading. We hope volatility will pick up again this spring........ the sort of moves like we see in oil and gold would be nice.
For now we just have to live with the current market circumstances.

Regards,