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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 
2
Algorithmic trading strategies 
3
Premium selection of algorithms 
 
Self-optimizing ARIMA expert 
 
Finite Impulse Response Neural Network 
 
Finite Sta...
Attaching predictor to chart 
5 
 
Open new chart 
 
Chart analysis 
 
Expert Adviser 
 
Algorithm list 
• 
Forecast l...
Example of forecast on chart 
6
Exclusive trading strategies 
 
Signals derived from market forecasts 
 
Selectable forecasting algorithm 
 
Tailored f...
Selecting trading strategy 
8 
 
Open new chart 
 
Chart analysis 
 
Expert Adviser 
 
Strategy list 
• 
Trading advis...
Example of strategy on chart 
9
Symbols for trading signals 
 
Trading signals depicted as triangles 
 
Color indicates signal type 
Buy (Green) 
Sell s...
Forecast driven strategies 
 
Direct forecast – directly trade on forecasted price expectation 
 
Exact forecast change ...
Forecast and trend hybrid 
 
Exact price change – combined forecast and price correlation trading with commissions and th...
Intrinsic and custom strategies 
13 
• 
Two types of trading strategies 
 
Forecast driven built-in strategies 
 
Tradin...
Strategy Backtesting Engine 
14
Backtesting engine 
 
All standard trading statistics 
 
Separate analysis of long and short trades 
 
Full list of tra...
Creating backtest report 
 
Create or open a chart 
 
Select forecasting algorithm 
 
Select trading strategy or script...
Backtesting results 
17
Backtesting parameters 
18 
• 
Account: Number of shares to trade 
• 
Commission / trade : Trading commissions on entry an...
Expert System for Strategy Optimization 
19
Expert strategy scanner 
 
Universal strategy expert scanner 
 
Scans for optimal combination of: 
 
Trading strategy 
...
Expert strategy scanner 
21 
Watch progress bar while expert system scans strategies to find an optimal one 
 
Open new c...
Expert strategy scanner results 
22 
• 
On scan completion appears message with optimal strategy and algorithm 
• 
Confirm...
Expert strategy on chart 
23
Expert strategy performance 
24
Tools for Portfolio Analysis 
25
Portfolio optimizer 
 
Summary view of all symbols in portfolio 
 
Forecasted price and change per symbol 
 
Expert adv...
Open portfolio optimizer 
27 
 
Home & Basics 
 
Analysis (group) 
 
Radar (button) 
Add symbols to portfolio: 
1. 
Hom...
Batch expert scan 
28 
Batch expert scan on all symbols in portfolio for the best predictor and strategy combination 
 
O...
Portfolio affinity matrix 
 
Powerful tool for portfolio optimization 
 
Exclude closely correlated symbols 
 
Correlat...
Multiple affinity measures 
 
Correlation radius 
 
Kendall rank correlation 
 
Normal absolute difference 
 
Kruskal-...
Portfolio affinity matrix example 
31
Log relation analysis 
 
Discovery of symbol dependencies 
 
Calculates cross correlation of selected symbol with other ...
Log relation analysis example 
33
Scripting of Trading Strategies 
34
Trading script 
 
Easy scripting of your trading strategies 
 
Scripting language for auto-trading 
 
Non-procedural sc...
Trading script components 
 
Every strategy consists of four scripts: 
 
Buy script 
 
Sell script 
 
Exit long script...
Trading script editor 
 
Centralized management of scripts 
 
Persistent script storage 
 
Trading strategy script libr...
Trading script editor screen 
38
New trading script creation 
 
Strategy library > Add 
 
Give a name to new strategy 
 
Fill script code for buy/sell a...
Selector of trading script 
 
Scripts appear on bottom of strategy list 
 
Scripts are below “Trading Script” item 
 
S...
41 
Pioneers in the fractal exploration of financial markets 
Trading futures and options involves the risk of loss. You s...
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Quant Trader Expert

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Quant Trader Expert

  1. 1. Quant Trader Presented by Quant Trade Technologies, Inc. Market Forecasting and Optimization of Trading Models
  2. 2.  Trading Strategies  Backtesting Engine  Expert Optimization  Portfolio Analysis  Trading Script 2
  3. 3. Algorithmic trading strategies 3
  4. 4. 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 4
  5. 5. Attaching predictor to chart 5  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
  6. 6. Example of forecast on chart 6
  7. 7. 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 7
  8. 8. Selecting trading strategy 8  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
  9. 9. Example of strategy on chart 9
  10. 10. 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 10
  11. 11. 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) 11
  12. 12. 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
  13. 13. Intrinsic and custom strategies 13 • 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
  14. 14. Strategy Backtesting Engine 14
  15. 15. 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 15
  16. 16. 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) 16
  17. 17. Backtesting results 17
  18. 18. Backtesting parameters 18 • 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
  19. 19. Expert System for Strategy Optimization 19
  20. 20. 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
  21. 21. Expert strategy scanner 21 Watch progress bar while expert system scans strategies to find an optimal one  Open new chart  Chart analysis  Expert Adviser  Expert Adviser
  22. 22. Expert strategy scanner results 22 • On scan completion appears message with optimal strategy and algorithm • Confirm to apply expert selection to chart
  23. 23. Expert strategy on chart 23
  24. 24. Expert strategy performance 24
  25. 25. Tools for Portfolio Analysis 25
  26. 26. Portfolio optimizer  Summary view of all symbols in portfolio  Forecasted price and change per symbol  Expert advise on trade execution  Distinctive coloring of signals 26
  27. 27. Open portfolio optimizer 27  Home & Basics  Analysis (group)  Radar (button) Add symbols to portfolio: 1. Home & Basics > Symbol > Add to Favorites 2. Data manager > Add selected to portfolio
  28. 28. Batch expert scan 28 Batch expert scan on all symbols in portfolio for the best predictor and strategy combination  Open new chart  Chart analysis  Expert Adviser  Expert Adviser
  29. 29. 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
  30. 30. Multiple affinity measures  Correlation radius  Kendall rank correlation  Normal absolute difference  Kruskal-Wallis test  Friedman test  Hurst coefficient  H parameter 30 • Correlation • Asymmetry • Excess
  31. 31. Portfolio affinity matrix example 31
  32. 32. 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 32
  33. 33. Log relation analysis example 33
  34. 34. Scripting of Trading Strategies 34
  35. 35. 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
  36. 36. 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
  37. 37. 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 37
  38. 38. Trading script editor screen 38
  39. 39. New trading script creation  Strategy library > Add  Give a name to new strategy  Fill script code for buy/sell and enter/exit 39 • Validate and save the strategy • Strategy appears in strategy list
  40. 40. 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 40
  41. 41. 41 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. 2 N Riverside Plaza Suite 2325 Chicago, Illinois 60606 Quant Trade LLC (872) 225-2110

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