This document describes Quant Studio, a software for algorithmic trading that provides tools for market forecasting, backtesting trading strategies, and optimizing trading models. It allows users to select from various forecasting algorithms and trading strategies, backtest strategies on historical market data, and optimize strategies using an expert system. The software also includes tools for portfolio analysis such as a portfolio optimizer and affinity matrix for assessing correlation across symbols. Custom trading strategies can also be created using the built-in scripting language.

1. Quant Studio
Market Forecasting and
Optimization of Trading Models

2. • Trading Strategies
• Backtesting Engine
• Expert Optimization
• Portfolio Analysis
• Trading Script
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3. Algorithmic trading
strategies
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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
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5. Attaching predictor to chart
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
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6. Example of forecast on chart
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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
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8. Selecting trading strategy
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
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9. Example of strategy on chart
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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
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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)
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12. Forecast and trend hybrid strategies
• 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
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13. Intrinsic and custom strategies
• 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
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14. Strategy Backtesting
Engine
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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
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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)
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17. Backtesting results
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18. Backtesting parameters
• 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
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19. Expert System for Strategy
Optimization
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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
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21. Expert strategy scanner
Watch progress
bar while expert
system scans
strategies to find
an optimal one
Open new chart
Chart analysis
 Expert Adviser
 Expert Adviser
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22. Expert strategy scanner results
• On scan completion appears message with
optimal strategy and algorithm
• Confirm to apply expert selection to chart
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23. Expert strategy on chart
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24. Expert strategy performance
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25. Tools for
Portfolio Analysis
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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
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27. Open portfolio optimizer
 Home & Basics
Analysis (group)
 Radar (button)
Add symbols to portfolio:
1. Home & Basics > Symbol > Add to Favorites
2. Data manager > Add selected to portfolio
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28. Batch expert scan
Batch expert scan on
all symbols in portfolio
for the best predictor
and strategy
combination
Open new chart
Chart analysis
 Expert Adviser
 Expert Adviser
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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
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30. Multiple affinity measures
• Correlation radius
• Kendall rank correlation
• Normal absolute difference
• Kruskal-Wallis test
• Friedman test
• Hurst coefficient
• H parameter
• Correlation
• Asymmetry
• Excess
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31. Portfolio affinity matrix example
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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
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33. Log relation analysis example
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34. Scripting of
Trading Strategies
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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
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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
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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
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38. Trading script editor screen
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39. New trading script creation
• Strategy library > Add
• Give a name to new strategy
• Fill script code for buy/sell and enter/exit
• Validate and save
the strategy
• Strategy appears in
strategy list
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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
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41. About StockFusion
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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
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