1-A major ‘problem’ about classical quantitative analysis; majority of the people in this forum are not going to read that pdf, because this majority just don’t have the required math skills to actually understand it. Not saying that its not useful. A simple way to explain it would be that not everyone needs to be an engineer to use a cellphone. One just needs to know how to use it. So a better way to deliver your thread would be ‘how to actually make use of the information in the pdf’. Now, that would be way more helpful and may attract people to actually respond.
2-A good quantitative system should have some kind of visual. If you can post charts or even a video showing how to make use of the information / using the so called system, that would be extremely helpful. Not everyone is verbose by nature; there are also going to be people who understand better via visuals. In fact, visuals do help speed up understanding (especially regarding complicated topics), and hence then can get an actual discussion going.
3-I don’t understand it fully, but I would like to see you fully expound upon the system in your own words. Break it down into pieces for easier understanding for others. What I do understand is that this system is almost no different that most moving average crossover systems, other than a suggested use of a trailing stop, which is determined by average current rolling volatility of the market (via proxy using Sharpe ratio).
4-By actual definition, whats stated in that pdf isn’t quite a quant system. It can be part of a quant system thou, since what it merely does is to (attempt to) improve a certain edge (that may or may not exist;that most moving averages actually suffer, due to it being a lagging indicator).
3: “…which is determined by average current rolling volatility of the market (via proxy using Sharpe ratio).”
No what it does is it uses the moving average as a dynamic stop loss but it’s a little more complex than that. I don’t know how to word it without using maths, that’s why I told people to add me on skype because I explained it over VOIP.
4: in your definition of a Quant system how does this system lack? This pdf is the same source document that I was given from a hedge fund to test and optimize this quant system.
Uhm it kinda is logical… What do you think black box trading is? Everything is quantified and programmed into the system. A pure Quant system uses no discretion…
You have to start somewhere. If you draw a diagram or something, I am sure it helps + this way you don’t have to explain it over and over again.
Which hedge fund? IMO there is no reason for any hedge fund to expose what are they doing in a forum here. Trading is a war, my friend. That is the truth. I am not impressed…
Why don’t you do that yourself? If you set an example, others will (eventually) follow.
No, Trading is not a war. There are more than enough volumes in FX to go around for everyone. Its this kind of attitude that stumps growth in the community.
you never answered me on how this system I posted is not a Quant system…
Then why are 95% of traders in general still losers? It can’t be a statistical coincidence, right? If there is ‘more than enough volume in FX to go around everyone’, then nobody would be trading anymore. It would be way more ideal to just solve the problem logistically and directly; distribute the money freely to everyone.
Life itself is unfair enough. Trading itself, is even more unfair, if you know what the real game really is. I see that you don’t and insist on defending your assumptions (which has insufficient grounding).
Its not about how much there is in the market. Yes, there is a lot. But 95% of traders still lose. What does that really tell you?
If you want me to be frank, this is actually also the kind of attitude that will produce results in a trading equity. Which is more important? The ‘growth’ of this community or a trader’s equity?
A proper quant system has the following qualifications as far as I know :
-takes into account the basic 5 types of market data; time, price, horizontal volume depth, vertical volume depth, speed
-considers raw tick data as an input
-takes into account charts that move other charts; e.g. major exchange indexes
-has the most basic statistical analysis as a base; mean, std dev, freq distributions; and then the more advanced e.g. probability density, overlaying bell curves…etc
-considers non chart information such as news and option levels
-projects optimal price entries and targets, price and time based at any given moment in the market
So a general cross over system with some basic(?) research does not qualify in this view. There’s more, but theres most of what I can pull out of my brain for now.
Thats Exactly the reason why I say there is 1 Quant system… And that is INTUITIVE, BY TAKING MANY FACTORS INTO CONSIDERATION WITH-IN MICRO SECONDS IN SOME INSTANCES… The mental ability to crunch these many factors within the brain, and react accordingly…
Its more of a second nature ability, like chewing food before you swallow it…
EVERY SINGLE SYSTEM can be classified as a Quant system, all but maybe throwing darts at the board…
If your crunching numbers, looking at divergence, measuring angles, cutting percentages of moves, ala Fibs, its all Quant…
Its the ability to TAKE WHAT MATTERS FOR YOUR SITUATION, BY VARIABLE UNDERSTANDING…
Hehe… Relativity, it looks like the list of what a “proper” quant system should utilize is just the index for your thread lol…
I would agree with the importance of everything on that list, but you run into some issues when you try fitting “news” into a quant system… A lot of news that affects the market is qualitative in nature versus quantitative i.e. a central bank governor giving a speech that has a more dovish or hawkish tone then anticipated, or a presidential speech regarding the progress on the fiscal cliff… There is no way to code an algorithm to perceive pessimistic versus optimistic tone or context.
These types of qualitative events are the market drivers that make quant systems so challenging to be successful over a length of time…
Yeah I agree with you here. Thats why I do programming to ‘off load’ certain things off my mind. Helps to ease the process of live trading, improving my intuition.
The reason why I decided to respond to this thread is because IMO that ForexFraternity Blog guy took the definition ‘quant’ way too lightly (nevermind his spamming or breaking of forum rules, although I am aware of that too)… I was lightly provoked haha ;d In a funny way.
I hope he understands and starts to serious up in terms of behavior, thats all.
Haha => Well, I have more than all that, way more advanced stuff most peeps don’t know. Just not going to post them until time is right (or even maybe never).
Well, the trick is not to fit news. Let the news be. The main point of is not to determine the tone or direction, but just find correlations of price volatility and volume to certain news events, thats all. The higher the volatility tied to a particular event, the better. Volatility is a very key concept in most quant systems. It is the life, the blood of the market.
Most of my research has found there’s only a few news items really worth noting, otherwise let the rest of the news just be news;
-NFP
-Interest Rate changes
-Crude Oil Inventories
The rest I don’t worry too much, but sometimes I check Henry Liu’s page for a 2nd opinion, since his work is way better than mine.
Hey, Ive made EA after EA, trying to mimic my basic moves, for the same reasons…
The thing with FOrex is, we dont make the moves happen, we have to move with the happening…
When you expose yourself for extended periods of time, you greatly improve your chances of being caught up in something you dont want at that present time… The big guys are linked with every single platform broker on earth, they know what they want you to do…
Get your targets, and get out… This is why I stick and move, and cherry pick my trades, and expose it all up front… When I make my trade, I expect to win… Traders make it harder then it is… The key to the Whollllllllle deal is TO MAKE THE MOST OF EACH AND EVERY TRADE…
Sorry if I fell off the cliff, LOL, stopped smoking just 12 hours ago… (2.5 packs a day)
I Work hard in the paint, comin at you 2013, WOOF WOOF WOOF
I hardly trade any JPY pair nowadays, so to be frank, I don’t really know.
What I do know is this :
According to my global volume studies, JPY consistently ranks #4 at around 15% on non-asian hours in a H1 chart and in a D1 chart. It usually ranks #2 during asian hours in a H1 chart, overshadowed by USD (around 22% in H1 chart and 25% in D1 chart)
And we all know how slow asian hours are for most pairs.
Without even looking at news, but by volume alone (specifically global volume, something I’ve sort of created), one already can know any JPY pair movement isn’t driven by JPY itself, but by other currencies (kinda like bullying lol). That JPY related pairs are more active during non-asian hours than asian hours itself! (LOL)
But if one wants to answer from the news perspective, I dare say with confidence that JPY related news don’t drive JPY strongly enough. Other currencies’ news do that instead, via ripple effect.
But who cares…regardless of the reasons stated above, I dont really trade any JPY pair anyway, as my experience alone already tells me it doesn’t have the fluidity of volatility I need, unlike EURUSD and GBPUSD.
I will politely disagree with you about JPY news not driving it… and with a large degree of confidence I can say the JPY has moved 1000 pips in the last 3 months primarily because of events in Japan.
The Yen is being entirely driven by the BoJ and the economic stance of the political party elected in. Japan has suffered from low inflation and a shrinking export flow partly caused by the extremely strong yen. Now they have pretty much said “enough” and the BoJ has been increasing their government bond buying purchases and now within the last week, they have been talking about expanding the bond purchasing program to include buying other country’s bonds (essentially indirect currency intervention) This would have a huge impact on depreciating the yen.
The current inflation is around 1% and the economic advisor to the PM has been suggesting a 3% target… So they will have a lot of easing left to go to get there.
The economic advisor said this, “The yens weakening close to 95 or 100 yen per dollar would be evidence of the effectiveness of monetary policy. The BoJ should ease monetary ppolicy until inflation occurs, and the yen and prices are reacting appropriately”. its around 87 right now… it was 76 a few months ago.
So whether you trade the pair or not my point was that news… a qualitative input… has a huge impact on exchange rates. Whether or not you trade JPY, the BoJ actions will affect the other pairs because if they go through with foreign government bond purchases, a large majority will be US bonds. This will be a strengthening factor for the USD in months ahead.
It is hard to justify ignoring news when you see its direct impact on the markets
