This document contains information about an investment firm located at 328 Central Avenue in Harrison, NJ. It lists Chang Liu and Wei He as traders and Kairui Huo as the risk manager. The rest of the document discusses technical analysis indicators like MACD and RSI that are used in the firm's quantitative trading strategies, backtests of different parameter combinations for the strategies, and performance metrics for a long/short strategy from 2010-2014 compared to the S&P 500 benchmark.
QNBFS Daily Technical Trader - Qatar for January 31, 2018Aicha El-Mamy
The Index created a bearish engulfing candlesticks pattern on the daily chart and a double-top price formation on the intraday chart; expect weakness on the uptrend.
Directional movement index based machine learning strategy for predicting st...IJECEIAES
Intelligent stock trading systems are demand of the modern information age. This research paper proposed a directional movement index based machine learning (DMI-ML) strategy for predicting stock trading signals. Performance of the proposed strategy was evaluated in terms of annual rate of return (ARR), Sharpe ratio (SR), and percentage of profitable trades executed by the trading strategy. In addition, performance of the proposed model was evaluated against the strategies viz. traditional DMI, buy-hold. From the experimental results, we observed that the proposed strategy outperformed other strategies in terms of all three parameters. On average, the ARR obtained from the DMI-ML strategy was 52.58% higher than the ARR obtained from the buy-hold strategy. At the same time, the ARR of the proposed one was found 75.12% higher than the ARR obtained from the traditional DMI strategy. Furthermore, the Sharpe ratio for the DMI-ML strategy was positive for all stocks. On the other side, the percentage of profitable trades executed by the DMI-ML strategy soared in comparison to the percentage of such trades by the traditional DMI. This study also extended analysis of the proposed model with the various intelligent trading strategies proposed by authors in various literatures and concluded that the proposed DMI-ML strategy is the better strategy for stock trading.
Trading Strategies Based on Market Impact of Macroeconomic Announcementsby A...Quantopian
We examine returns of several US equity ETFs on the days of major US macroeconomic announcements and compare performance of the buy-and-hold strategy (B&H) with three different strategies that realize daily returns on the announcement days. We show that these strategies may outperform B&H.
QNBFS Daily Technical Trader - Qatar for January 8, 2018QNB Group
The Index continued with its bullish move away from downtrend channel seen on the daily chart. That is good news, and now the top border of that channel is expected to be a strong support for any correction.
Flexible Equity Euro Long-Short (Market Neutral) strategy_End of Nov. '17Giuseppe Piazzolla
This is an example of a monthly factsheet I build to track performance and risk data of a mandate I call 'Flexible Equity - Euro Long Short Market Neutral strategy'.
Actually, it is my track record in market neutral format.
QNBFS Daily Technical Trader - Qatar for January 31, 2018Aicha El-Mamy
The Index created a bearish engulfing candlesticks pattern on the daily chart and a double-top price formation on the intraday chart; expect weakness on the uptrend.
Directional movement index based machine learning strategy for predicting st...IJECEIAES
Intelligent stock trading systems are demand of the modern information age. This research paper proposed a directional movement index based machine learning (DMI-ML) strategy for predicting stock trading signals. Performance of the proposed strategy was evaluated in terms of annual rate of return (ARR), Sharpe ratio (SR), and percentage of profitable trades executed by the trading strategy. In addition, performance of the proposed model was evaluated against the strategies viz. traditional DMI, buy-hold. From the experimental results, we observed that the proposed strategy outperformed other strategies in terms of all three parameters. On average, the ARR obtained from the DMI-ML strategy was 52.58% higher than the ARR obtained from the buy-hold strategy. At the same time, the ARR of the proposed one was found 75.12% higher than the ARR obtained from the traditional DMI strategy. Furthermore, the Sharpe ratio for the DMI-ML strategy was positive for all stocks. On the other side, the percentage of profitable trades executed by the DMI-ML strategy soared in comparison to the percentage of such trades by the traditional DMI. This study also extended analysis of the proposed model with the various intelligent trading strategies proposed by authors in various literatures and concluded that the proposed DMI-ML strategy is the better strategy for stock trading.
Trading Strategies Based on Market Impact of Macroeconomic Announcementsby A...Quantopian
We examine returns of several US equity ETFs on the days of major US macroeconomic announcements and compare performance of the buy-and-hold strategy (B&H) with three different strategies that realize daily returns on the announcement days. We show that these strategies may outperform B&H.
QNBFS Daily Technical Trader - Qatar for January 8, 2018QNB Group
The Index continued with its bullish move away from downtrend channel seen on the daily chart. That is good news, and now the top border of that channel is expected to be a strong support for any correction.
Flexible Equity Euro Long-Short (Market Neutral) strategy_End of Nov. '17Giuseppe Piazzolla
This is an example of a monthly factsheet I build to track performance and risk data of a mandate I call 'Flexible Equity - Euro Long Short Market Neutral strategy'.
Actually, it is my track record in market neutral format.
Flexible Equity Euro Long-Short (Market Neutral) strategy_End of Oct. '17Giuseppe Piazzolla
This is an example of a monthly factsheet I build to track performance and risk data of a mandate I call 'Flexible Equity - Euro Long Short Market Neutral strategy'.
Actually, it is my track record in market neutral format.
QNBFS Daily Technical Trader - Qatar for January 03, 2018QNB Group
The Index has been on the right foot in breaking away from the recent downtrend; the current breakout could act as a technical catalyst to move the Index in a new bullish trend. Corrections could take place but if the Index remains above the 8,200, we may see a positive 1Q.
QNBFS Daily Technical Trader - Qatar for September 24, 2017QNB Group
The Index managed to close just above the 8,350 level; that is a good sign in the near term. Granted, volumes are expected to be muted for the day, but price formation looks positively stronger at a critical level.
Flexible Equity Euro Long-Short (Market Neutral) strategy_End of Nov. '17Giuseppe Piazzolla
This is an example of a monthly factsheet I build to track performance and risk data of a mandate I call 'Flexible Equity - Euro Long Short Market Neutral strategy'.
Actually, it is my track record in market neutral format.
QNBFS Daily Technical Trader - Qatar for November 01, 2017QNB Group
The Index closed in the red but remains above the 8,000 level; we remain optimistic on the positive divergence seen on the MACD and the RSI on the daily
chart.
Daily Technical Trader - Qatar January 28QNB Group
The QSE Index moved up again inside the Rising Wedge price formation. Such movements give no particular signal, but
the momentum indicators are showing positive potential to the move. This is the
volatility we were expecting, and this might take some time to settle.
QNBFS Daily Technical Trader - Qatar for September 26, 2017QNB Group
The Index continued with its bounce against the trend as we expected and this may continue in the short term. We need to see more volumes on the uptick to strengthen the move and validate it.
QNBFS Daily Technical Trader - Qatar for January 28, 2018Aicha El-Mamy
As we expected in previous reports, the Index continued with its bullish leg and approaching the 9,600 level; we expect to see resistance around that psychological level.
QNBFS Daily Technical Trader - Qatar for October 03, 2017QNB Group
We reiterate the notion that the Index remains around a critical intraday level of 8,300 and should sustain it. Otherwise, we may see it moving towards the 8,200 level.
QNBFS Daily Technical Trader - Qatar for October 23, 2017QNB Group
Another flat day above the 8,000 mark, no significant change has been noticed. Even though price momentum has been pointing mostly down (MACD<0 and price below its SMAs), volumes, however, remain subdued, which can deflate the negative momentum.
QNBFS Daily Technical Trader - Qatar November 01, 2016QNB Group
There has been a marginal uptick on the
Index through the previous session and
this could continue. We note that the
Index is moving just around the 200SMA
on the daily chart, which could act as a
support level.
QNBFS Daily Technical Trader - Qatar for February 01, 2018Aicha El-Mamy
The Index has been weak as we expected and we should keep an eye on today’s closing. Today’s closing around the current levels means further weakness maybe seen against the recent uptick.
Flexible Equity Euro Long-Short (Market Neutral) strategy_End of Oct. '17Giuseppe Piazzolla
This is an example of a monthly factsheet I build to track performance and risk data of a mandate I call 'Flexible Equity - Euro Long Short Market Neutral strategy'.
Actually, it is my track record in market neutral format.
QNBFS Daily Technical Trader - Qatar for January 03, 2018QNB Group
The Index has been on the right foot in breaking away from the recent downtrend; the current breakout could act as a technical catalyst to move the Index in a new bullish trend. Corrections could take place but if the Index remains above the 8,200, we may see a positive 1Q.
QNBFS Daily Technical Trader - Qatar for September 24, 2017QNB Group
The Index managed to close just above the 8,350 level; that is a good sign in the near term. Granted, volumes are expected to be muted for the day, but price formation looks positively stronger at a critical level.
Flexible Equity Euro Long-Short (Market Neutral) strategy_End of Nov. '17Giuseppe Piazzolla
This is an example of a monthly factsheet I build to track performance and risk data of a mandate I call 'Flexible Equity - Euro Long Short Market Neutral strategy'.
Actually, it is my track record in market neutral format.
QNBFS Daily Technical Trader - Qatar for November 01, 2017QNB Group
The Index closed in the red but remains above the 8,000 level; we remain optimistic on the positive divergence seen on the MACD and the RSI on the daily
chart.
Daily Technical Trader - Qatar January 28QNB Group
The QSE Index moved up again inside the Rising Wedge price formation. Such movements give no particular signal, but
the momentum indicators are showing positive potential to the move. This is the
volatility we were expecting, and this might take some time to settle.
QNBFS Daily Technical Trader - Qatar for September 26, 2017QNB Group
The Index continued with its bounce against the trend as we expected and this may continue in the short term. We need to see more volumes on the uptick to strengthen the move and validate it.
QNBFS Daily Technical Trader - Qatar for January 28, 2018Aicha El-Mamy
As we expected in previous reports, the Index continued with its bullish leg and approaching the 9,600 level; we expect to see resistance around that psychological level.
QNBFS Daily Technical Trader - Qatar for October 03, 2017QNB Group
We reiterate the notion that the Index remains around a critical intraday level of 8,300 and should sustain it. Otherwise, we may see it moving towards the 8,200 level.
QNBFS Daily Technical Trader - Qatar for October 23, 2017QNB Group
Another flat day above the 8,000 mark, no significant change has been noticed. Even though price momentum has been pointing mostly down (MACD<0 and price below its SMAs), volumes, however, remain subdued, which can deflate the negative momentum.
QNBFS Daily Technical Trader - Qatar November 01, 2016QNB Group
There has been a marginal uptick on the
Index through the previous session and
this could continue. We note that the
Index is moving just around the 200SMA
on the daily chart, which could act as a
support level.
QNBFS Daily Technical Trader - Qatar for February 01, 2018Aicha El-Mamy
The Index has been weak as we expected and we should keep an eye on today’s closing. Today’s closing around the current levels means further weakness maybe seen against the recent uptick.
5. [1] Murphy, John J. Technical analysis of the financial markets: A comprehensive
guide to trading methods and applications. Penguin, 1999.
[2]丁鹏. 量化投资: 策略与技术. 電子工業出版社, 2012.
[3] “Introduction toTechnical Indicators and Oscillators”
(http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:
introduction_to_technical_indicators_and_oscillators)
a) For historical constituent lists of the S&P 500,go toWRDS.
b) For historical stock prices of our stock pool, we download data from
http://finance.yahoo.com/ by Python.
c) To realize the purpose of Dollar Neutral, we use IVV (iShares Core S&P 500)
to hedge.
5
8. RSI compares the average price
change of the advancing periods
with the average change of the
declining periods. Early signaling
for entry and exit is the main
benefit of RSI.
A leading indicator is thought to be
the strongest during periods of
sideways or non-trending trading
ranges, while the lagging indicators
are regarded as more useful during
trending periods.
MACD Line: (12-day EMA - 26-day EMA)
Signal Line: 9-day EMA of MACD Line
MACD Histogram: MACD Line - Signal Line
RS: N days’ AveGain/N day’s Ave Loss
RSI: 100-100/(1+RS)
9. MACD Line: (12-day EMA - 26-day EMA)
Signal Line: 9-day EMA of MACD Line
MACD Histogram: MACD Line - Signal Line
RS: N days’ AveGain/N day’s Ave Loss
RSI: 100-100/(1+RS)
Long Signal:
1. MACD line > 0 And
2. MACD Histogram > 0
Short Signal:
1. MACD line < 0 And
2. MACD Histogram < 0
10. MACD Line: (12-day EMA - 26-day EMA)
Signal Line: 9-day EMA of MACD Line
MACD Histogram: MACD Line - Signal Line
RS: N days’ AveGain/N day’s Ave Loss
RSI: 100-100/(1+RS)
When to Close a Position?
If Long:
1. RSI(-1)>Critical Value AND
RSI(0)<Critical Value; OR
2. MACD Histogram < 0
11. MACD Line: (12-day EMA - 26-day EMA)
Signal Line: 9-day EMA of MACD Line
MACD Histogram: MACD Line - Signal Line
RS: N days’ AveGain/N day’s Ave Loss
RSI: 100-100/(1+RS)
When to Close a Position?
If Long:
1. RSI(-1)>Critical Value AND
RSI(0)<Critical Value; OR
2. MACD Histogram < 0
12. MACD Line: (12-day EMA - 26-day EMA)
Signal Line: 9-day EMA of MACD Line
MACD Histogram: MACD Line - Signal Line
RS: N days’ AveGain/N day’s Ave Loss
RSI: 100-100/(1+RS)
Long Signal:
1. MACD line > 0 And
2. MACD Histogram > 0
Short Signal:
1. MACD line < 0 And
2. MACD Histogram < 0
13. MACD Line: (12-day EMA - 26-day EMA)
Signal Line: 9-day EMA of MACD Line
MACD Histogram: MACD Line - Signal Line
RS: N days’ AveGain/N day’s Ave Loss
RSI: 100-100/(1+RS)
When to Close a Position?
If Short:
1. RSI(-1)<Critical Value AND
RSI(0)>Critical Value; OR
2. MACD Histogram > 0
14. MACD Line: (12-day EMA - 26-day EMA)
Signal Line: 9-day EMA of MACD Line
MACD Histogram: MACD Line - Signal Line
RS: N days’ AveGain/N day’s Ave Loss
RSI: 100-100/(1+RS)
When to Close a Position?
If Short:
1. RSI(-1)<Critical Value AND
RSI(0)>Critical Value; OR
2. MACD Histogram > 0
28. Graphically:
During every year, 95%VaR and 95% ES of strategy both are lower than SP500.
95%VaR and 95% ES together perfectly help us to control for extreme and tail loss
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