Quant Trader
Presented by Quant Trade Technologies, Inc.
Market Forecasting and Optimization of Trading Models
Trading Strategies Backtesting Engine Expert Optimization Portfolio Analysis Trading Script
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Algorithmic trading strategies
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Premium selection of algorithms
Self-optimizing ARIMA expert Finite Impulse Response Neural Network Finite State Markov Automation Stepwise Best Regression Square Root Regression Square Regression Logistic Regression
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Attaching predictor to chart
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Open new chart Chart analysis Expert Adviser Algorithm list
• Forecast line appears on the chart • Only one forecast allowed at any moment • Select “None” to remove forecast
Example of forecast on chart
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Exclusive trading strategies
Signals derived from market forecasts Selectable forecasting algorithm Tailored for automatic optimization Universal for all markets and time frames Simple technical rules Easy statistical interpretation
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Selecting trading strategy
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Open new chart Chart analysis Expert Adviser Strategy list
• Trading advises appear on the chart • Only one strategy allowed at any moment • Select “None” to cleanup advises
Example of strategy on chart
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Symbols for trading signals
Trading signals depicted as triangles Color indicates signal type
Buy (Green) Sell short (Red) Exit short (Blue) Exit long (Gray)
Only one signal is allowed per bar
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Forecast driven strategies
Direct forecast – directly trade on forecasted price expectation
Exact forecast change – filter our direct forecast trades with trading commissions
Exact forecast threshold – filter our direct forecast trades with entry and exit thresholds (equal to point size in case of futures)
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Forecast and trend hybrid Exact price change – combined forecast
and price correlation trading with commissions and thresholds
Safe balance – enter on forecasted price against current price and exit on the actual price trend observed
Safe exit – combined forecast and price correlation trend over several bars with commissions and thresholds 12
Intrinsic and custom strategies
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• Two types of trading strategies Forecast driven built-in strategies Trading script custom strategies
• Standard strategies on top of the list Forecast required
• Custom strategies on bottom of the list
Strategy Backtesting Engine
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Backtesting engine
All standard trading statistics Separate analysis of long and short
trades Full list of trade executions Profit / loss evaluation per trade Profitability chart of capital evolution Account for entry / exit commissions Fixed capital and capitalization tests
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Creating backtest report
Create or open a chart Select forecasting algorithm Select trading strategy or script User charting ribbon: Chart analysis (ribbon tab) View (ribbon group) Performance (button)
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Backtesting results
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Backtesting parameters
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• Account: Number of shares to trade • Commission / trade : Trading commissions
on entry and exit from the trade • Minimum change: Minimum price
change to trigger trading signal. This should be equal to point value, if any
Expert System for Strategy Optimization
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Expert strategy scanner
Universal strategy expert scanner Scans for optimal combination of:
Trading strategy Forecasting algorithm
Winner selection based on a number of advanced trading statistics
Intelligent randomized scan 20
Expert strategy scanner
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Watch progress bar while expert system scans strategies to find an optimal one
Open new chart Chart analysis Expert Adviser Expert Adviser
Expert strategy scanner results
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• On scan completion appears message with optimal strategy and algorithm
• Confirm to apply expert selection to chart
Expert strategy on chart
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Expert strategy performance
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Tools for Portfolio Analysis
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Portfolio optimizer Summary view of all symbols in portfolio Forecasted price and change per symbol Expert advise on trade execution Distinctive coloring of signals
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Open portfolio optimizer
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Home & Basics Analysis (group) Radar (button)
Add symbols to portfolio: 1. Home & Basics > Symbol > Add to Favorites 2. Data manager > Add selected to portfolio
Batch expert scan
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Batch expert scan on all symbols in portfolio for the best predictor and strategy combination
Open new chart Chart analysis Expert Adviser Expert Adviser
Portfolio affinity matrix
Powerful tool for portfolio optimization Exclude closely correlated symbols Correlated symbols similarly behave on
market changes It decreases stability of portfolio Keep portfolio of less correlated symbols Increase probability of some symbols
growing while others downtrend 29
Multiple affinity measures
Correlation radius Kendall rank correlation Normal absolute difference Kruskal-Wallis test Friedman test Hurst coefficient H parameter
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• Correlation • Asymmetry • Excess
Portfolio affinity matrix example
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Log relation analysis
Discovery of symbol dependencies Calculates cross correlation of selected
symbol with other symbols in portfolio over a range of time lags
If strong correlation exists, then correlated symbol can serve as a predictor in multiple regression model
Multiple classical and nonparametric proximity measures
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Log relation analysis example
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Scripting of Trading Strategies
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Trading script
Easy scripting of your trading strategies Scripting language for auto-trading Non-procedural scientific language Vector programming language Designed specifically for developing of
trading systems Large collection of built-in vector
operations and technical indicators 35
Trading script components Every strategy consists of four scripts:
Buy script Sell script Exit long script Exit short script
All strategy scripts are optional At least one entry and exit script should be
filled for the strategy to execute 36
Trading script editor
Centralized management of scripts Persistent script storage Trading strategy script library Editing of buy/sell and entry/exit in four
side-by-side windows Side bar script function guide with
immediate insertion capability Script validation with error reporting
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Trading script editor screen
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New trading script creation
Strategy library > Add Give a name to new strategy Fill script code for buy/sell and enter/exit
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• Validate and save the strategy
• Strategy appears in strategy list
Selector of trading script Scripts appear on bottom of strategy list Scripts are below “Trading Script” item
Scripts do not need forecasting algorithm Algorithm field can be left empty
Scripts appear in the list when added to trading script library
Scripts disappear from the list when removed from trading script library
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Pioneers in the fractal exploration of financial markets
Trading futures and options involves the risk of loss. You should consider carefully whether futures or options are appropriate to your financial situation. You must review the customer account agreement and risk disclosure prior to establishing an account. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. Past results are not necessarily indicative of futures results. The risk of loss in trading futures or options can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition. Information contained, viewed, sent or attached is considered a solicitation for business.
Quant Trade, LLC has been a Commodity Futures Trading Commission (CFTC) registered Commodity Trading Advisor (CTA) since September 4, 2007 and a member of the National Futures Association (NFA).
Copyright @ 2012 Quant Trade, LLC. All rights reserved. No part of the materials including graphics or logos, available in this Web site may be copied, reproduced, translated or reduced to any electronic medium or machine-readable form, in whole or in part without written permission.
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