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Global Macro FX

  • #21
  • Mar 25, 2017 12:59pm Mar 25, 2017 12:59pm
About to add a hedging beta to counter market crashes.
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  • #22
  • Apr 18, 2017 1:11pm Apr 18, 2017 1:11pm
RETURNS based on percentage weekly
Attached Image (click to enlarge)
Click to Enlarge Name: RETURNS.png Size: 25 KB
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  • #23
  • Apr 18, 2017 2:22pm Apr 18, 2017 2:22pm
also french elleections near, neato
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  • #24
  • May 11, 2017 3:10pm May 11, 2017 3:10pm
I am developing an HFT stat-arb strategy. Look out for it
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  • #25
  • May 11, 2017 3:11pm May 11, 2017 3:11pm
14.01% profit margin
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  • #26
  • May 14, 2017 11:28am May 14, 2017 11:28am
Some Research i'm doing:
Inserted Video
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  • #27
  • May 14, 2017 3:44pm May 14, 2017 3:44pm
Quoting aroxalot
Some Research i'm doing: https://youtu.be/y87kJNaG_w0
what is the action taken if the model breaks??
  • #28
  • May 14, 2017 3:45pm May 14, 2017 3:45pm
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
  • #29
  • May 14, 2017 3:47pm May 14, 2017 3:47pm
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 ??
  • #30
  • May 14, 2017 3:51pm May 14, 2017 3:51pm
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
  • #31
  • May 14, 2017 3:53pm May 14, 2017 3:53pm
Inserted Video
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  • #32
  • May 14, 2017 5:15pm May 14, 2017 5:15pm
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??
  • #33
  • May 14, 2017 6:03pm May 14, 2017 6:03pm
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.
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  • #34
  • May 14, 2017 6:36pm May 14, 2017 6:36pm
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??
  • #35
  • May 15, 2017 11:58am May 15, 2017 11:58am
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
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  • #36
  • May 18, 2017 2:13pm May 18, 2017 2:13pm
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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  • #37
  • Last Post: Sep 15, 2017 8:47pm Sep 15, 2017 8:47pm
Do you have newer model?

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