Quant studio expert

Market Forecasting and

Optimization of Trading Models

Quant Studio

QuantStudio - Intelligent Trading Expert Adviser 2

• Trading Strategies

• Backtesting Engine

• Expert Optimization

• Portfolio Analysis

• Trading Script

Algorithmic trading

strategies

Quant Studio - Intelligent Trading Expert Adviser 3

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

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

Example of forecast on chart


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

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

Example of strategy on chart


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

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)

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

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

Strategy Backtesting

Engine


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

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)

Backtesting results


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

Expert System for Strategy

Optimization


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

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

Expert strategy scanner results


• On scan completion appears message with

optimal strategy and algorithm

• Confirm to apply expert selection to chart

Expert strategy on chart


Expert strategy performance


Tools for

Portfolio Analysis


Portfolio optimizer


• Summary view of all symbols in portfolio

• Forecasted price and change per symbol

• Expert advise on trade execution

• Distinctive coloring of signals

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

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

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

Multiple affinity measures


• Correlation radius

• Kendall rank correlation

• Normal absolute difference

• Kruskal-Wallis test

• Friedman test

• Hurst coefficient

• H parameter

• Correlation

• Asymmetry

• Excess

Portfolio affinity matrix example


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

Log relation analysis example


Scripting of

Trading Strategies


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

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

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

Trading script editor screen


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

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

About StockFusion


Copyright © 2014 Technical Bazaar Solutions Pvt ltd . 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.

The product names used in this document are for identification purposes only. All

trademarks and registered trademarks are the property of their respective owners.

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.

Date post:	13-Jul-2015
Category:	Business
Upload:	vishal-doshi
View:	1,578 times
Download:	0 times

Quant studio expert

Business