Quantitative and Algorithmic Trading

Hi Jackub,

learning weekend?


Wish you a nice time with all of this stuff.......

kind of ....
Thank You!

Great thread! I hope to learn a lot about this subject.
Thank you Infinitus!

Hi Umbeluzi,

I use this thread only seldomly. When I have time or simply find something interesting I publish or linbk it here. But anyway: it seems to be a fairly good resource to start some readings about quant trading.

Maybe you like to read also my other thread "The Club", where you can see, how I use the algos for my trading decisions.


http://www.forexfactory.com/showthread.php?t=433520

Thanks Infinitus. I'll follow this one also

How to Import Market Data Into Excel

http://exceltradingmodels.com/market-data-excel.php

http://www.numericalmethod.com/trac/...wiki/AlgoQuant

AlgoQuant

Python For Excel: Python-based alternative to VBA.

http://www.opentradingsystem.com/Pyt...xcel/main.html

http://quantlib.org/index.shtml

http://quantlib.org/images/QL-title.jpg
A free/open-source library for quantitative finance

http://research.stlouisfed.org/fred-...l_windows.html


FRED add in for Excel

http://www.quantmaster.in/QuantitativeFinance.aspx

Difference Between Quantitative and Algorithmic Trading

Useful Risk Modeling / Simulation Excel Add-Ons

http://risktical.com/2010/10/18/usef...excel-add-ons/

Statistical analysis of candlestick patterns


http://bspace.buid.ac.ae/bitstream/1...1/1/100068.pdf

Do Japanese Candlestick Patterns Help Identify
Profitable Trading Opportunities?
An Analysis on Selected Forex Markets

By
Aisha Ahmed Ameen
100068

Dissertation submitted in partial fulfilment of the requirement
for the degree of MSc in Finance and Banking
Faculty of Business


Strong evidence of the bullish hammer, the bearish hanging man and the shooting star
patterns in some currencies is found. The research finds that the frequency of pattern
appearance for the piercing lines and the dark-cloud cover patterns are the least among
the eight candle patterns. Also, the results show that the bullish hammer and the
bearish hanging man patterns can be traded in AUD/USD for the first six holding
periods and all the holding periods, respectively. The bearish hanging man and the
shooting star patterns can be traded in USD/CAD for all the seven holding periods. The
bullish hammer and the bearish hanging man patterns can be traded in EUR/USD for all
the holding periods. The bullish hammer, the bearish hanging man and the shooting star
patterns can be traded in GBP/USD, for the all holding periods, the first five trading
periods and all the holding periods, respectively. The bullish engulfing pattern can be
traded in USD/INR for all the holding periods. The bearish hanging man and the
shooting star patterns can be traded in USD/ZAR for all the trading periods. Moreover,
the bullish hammer, the bearish hanging man and the shooting star patterns can be
traded in USD/JPY for the first five holding periods of the hanging man and all the
holding periods of the other two patterns. Thus, these results reject the two null
hypotheses. Furthermore, the findings of the profitable Japanese candle patterns are in
line with the results found by Goo, Chen and Chang (2007); Lana, Zhanga and Xiongb
(2011); Haibin, Zhao and Wang (2012); Lu, Shiu and Liu (2012) on the studies that
examine the profitability of the Japanese candle patterns as technical trading rules in
particular. These results also support the evidence found using other profitable technical
trading rules in general by Longworth, 1981; Brock, Lakonishok and LeBaron, 1992;
Gencay, 1997;Osler, 2000; Saacke, 2002; Osker, 2003, 2006; Shik and Chong, 2007;
Lento and Gradojevic, 2007; Park and Scott, 2007; Stephen, 2008; Cekirdekci and Iliev,
2010 and Lönnbark and Lundström, 2012.




http://www.pitt.edu/~caginalp/Paper65.pdf

4. Conclusions
The out-of-sample tests on two distinct sets of data provide a very high degree of certainty that the
three-day patterns in candlestick analysis have predictive value. To the best of our knwowledge this is
the Žrst time a scientiŽc test has shown statistical validity of any price pattern. We have devised a test
that is almost entirely nonparametric by retaining key features of the patterns (involving inequalities
between open and close) but eliminating considerations, such as the magnitude of the trading range, etc.
This of course provides a slight bias against candlesticks, and the main result is strengthened...........................



http://cpdiags.wordpress.com/researc...ignals-part-1/

On the Efficacy of Candlestick Signals: Part 1

Summary
Fourteen well-known reversal candlestick patterns are scanned from a historical price record consisting of more than 4 million days and 2000 Equities. Pattern definitions are considered “quasi raw” due to the absence of filtering the signals on the basis of confirmation indicators, save for ad hoc reward/risk criteria.
A simple success rate measure of efficacy indicates a typical trading edge of 0-5% for bullish signals and -5 to 2% for bearish signals. Measuring the signal efficacy by expectation (or excess expectation, when considering the population of null signals) shows similar asymmetry. It is shown that the relatively poor prediction of trend following bearish signals is largely the consequence of the predominantly bullish macro-scale market trend over the historical record. When stratified by macro-scale market trend, the bearish and bullish signals have similar efficacies. This also emphasizes the importance of knowing the direction of major market trends when trading on reversal signals.
Considered together, and without knowing the macro-scale market trend, all signals yield annualized trade profits of between 27% and 67%, though these estimates do not factor in commissions and they do require numerous trades. At a minimum, filtering the signals according to macro-scale market trends would enhance these profits while reducing the number of trades required. Undoubtedly, the efficacy of these signals and the realizable profits are likely to be enhanced by further filtering using other confirmation indicators, a subject of ongoing research.




http://premium.working-money.com/wm/display.asp?art=329

CONCLUSION
The distribution of candlestick patterns, at least for the three most commonly occurring, has been consistent over time and through different markets. These three patterns are the white body, hammer, and black body.





http://ac.els-cdn.com/S1877050913009...e2ddc835702b81

On the Effectiveness of Candlestick Chart Analysis for the Brazilian Stock Market


5. Conclusions and further works
Even though the legitimacy of Morris’s belief, namely that “market psychology cannot be measured by
Statistics”, can be hypothetically admitted, the effectiveness of a predictive technique can and should be
evaluated quantitatively. Out of the 16 patterns studied for a group of 10 stocks that are representative of
Bovespa, with a history of 5 years of Brazilian stocks prices, 9 patterns can be considered relatively frequent
since they appeared with a frequency higher than 1%.
The comparison between results of this study and results by Morris [8] leaves a strong contrary impression
of granting generality to the predictive ability of candlestick patterns, because behaviors in the Brazilian market
were considerably different from those in U.S. Statistical analysis makes it evident that candlestick charting
analysis has no predictive power that could be generalized for the negotiation of individual stocks in the
Brazilian stock market. It agrees with results found by Horton [3]. Nonetheless, some of the studied candlestick
patterns did show a local ability of prediction as preconized for other markets, and other patterns showed a
significant predictive ability though for a behavior that is opposite to preconized, which indicates that the
technique has potential, but it probably must be developed specifically for each market and time. The pattern
with greatest predictive ability was Harami-Bullish for the first, second and fifth days. The pattern appearing
most frequently, but showing no effectiveness in prediction, was the Hanging Man. In summary, the main
results found in this work were: (i) evidences against the candlesticks prediction ability for Brazilian stock
market; (ii) the behavior of candlesticks in the Brazilian market agrees with findings of Horton for the US
market; and (iii) evidences against the results of the frequential analysis of Morris [8].
One could argue that may be different sources of the variation between our study and the one from Morris.
For example, the different results could be due to seasonal influences like the subprime crisis in EUA that had
consequences for the global economy and happened during the period considered in our analysis. This
argument does not hold, since we are analyzing the power of TA based on candlesticks for prediction of
variations in pricing in a overall sense and, so, it cannot depend on contingencies like the subprime crisis.
An interesting study for the near future is to compare the use of candlestick analysis with other TA
approaches adopted by Bovespa traders.



http://knowledgebase.mta.org/?fuseac...E5B5CF6045E6AF

The Accuracy of Candlestick Analysis Using the German Stock Market Index (DAX)

well, that is interesting:


Quantitative Candlestick Pattern Recognition (HMM, Baum Welch, and all that)

http://intelligenttradingtech.blogsp...k-pattern.html

ups......

ftp://www.econ.bgu.ac.il/courses/Sig...y%20market.pdf


Are candlestick technical trading
in the Japanese equity market?

Abstract

We show that candlestick charting, the oldest known form of technical anal-
ysis, is not profitable in the Japanese equity market over the 1975–2004 period.
Candlestick technical analysis, which was developed in Japan in the 1600s, is deeply
intertwined with Japanese culture and is very popular in Japan. However, there is no
evidence candlestick technical trading strategies add value in either the entire 30 year
period, in three 10 year sub-periods or in bull or bear markets.


Conclusion

We find the oldest known form of technical analysis, Japanese candlestick charting, is not
profitable when it is applied to large stocks in the Japanese equity market over the 1975–
2004 period. Candlestick technical analysis is distinct from the majority of other technical
trading rules in that it generates signals based on the relationship between open, high, low,
and close prices.
Candlestick technical analysis has recently been shown to be unprofitable on DJIA
stocks in the 1990–2002 period, but our investigation of its profitability in the Japanese
equity market is of interest for several reasons. Firstly, candlestick technical analysis
appears to be more widely used in Japan due to its strong links to Japanese culture and
history. Secondly, other technical trading rules have been shown to be more profitable in
Japan than the U.S. so it is possible candlestick charting is also more profitable in Japan,
which would justify its popularity there. Thirdly, we carefully investigate whether can-
dlestick technical analysis was once profitable but now is not and whether its profitability is
linked to bull and bear markets.
We employ the bootstrap methodology developed by Marshall et al. (2006) and apply
the same candlestick pattern recognition software to ensure consistency with their paper.
We find no evidence candlestick technical analysis is profitable when applied to the largest
100 stocks listed on the Tokyo stock exchange over the 1975–2004 period even prior to
adjustment for transaction costs. Candlestick technical analysis is not profitable for a
majority of stocks for any of the sub-periods or in bull or bear markets. This suggests the
popularity of candlestick charting in Japan may be due to links with Japanese culture rather
than the profits it generates for investors.

Elliott Waves and Fibonacci - Prechter

High probability
fibonacci zone analysis

A computational exploration of the efficacy of
Fibonacci Sequences in Technical analysis and
trading

http://epublications.bond.edu.au/cgi...=business_pubs

http://digitalcommons.macalester.edu...onors_projects

Concluding Remarks
Technical trading analysis remains enigmatic to the Academy, as no consensus has been
reached as to whether the continued existence of technical analysis provides sufficient evi-
dence to reject the EMH. This paper examined a hitherto unexplored technical trading tool,
Fibonacci retracements, and sought to explain these retracements using one of three mod-
els: the EMH, the AMH, or a stylized model based upon self-fulfillment. After examining
retracements for five currency pairs from 2003-2008 at three different data frequencies, the
evidence suggests that Fibonacci retracements exert little to no predictive power over ex-
change rates, and that, at least for this trading phenomenon, the EMH remains the best
explanation of the data observed.

Support for Resistance: Technical Analysis and Intraday Exchange Rates

http://papers.ssrn.com/sol3/papers.c...ract_id=888805


Among the technical trading signals supplied
to customers by foreign exchange trading
firms are “support” and “resistance” levels.
These levels indicate points at which an
exchange rate trend is likely to be
interrupted or reversed.
• A rigorous test of the levels specified by six
trading firms during the 1996-98 period
reveals that these signals were quite
successful in predicting intraday trend
interruptions.
• Although all six firms were able to identify
turning points in exchange rate trends, some
firms performed markedly better than others.
As a group, the firms predicted turning points
in the dollar-yen and dollar-pound exchange
rates more accurately than turning points in
the dollar-mark exchange rate.
• In addition, the predictive power of the
support and resistance levels appeared to
last at least five business days after they
were first communicated to customers.


Conclusion
This article has examined the predictive power of support and
resistance levels for intraday exchange rates, using technical
signals published by six active market participants from
January 1996 through March 1998. The statistical tests, which
use the bootstrap technique (Efron 1979, 1982), cover support
and resistance levels for three currency pairs: dollar-mark,
dollar-yen, and dollar-pound.
The results indicate that intraday exchange rate trends
were interrupted at published support and resistance levels
substantially more often than would have occurred had the
levels been arbitrarily chosen. This finding is consistent across
all three exchange rates and across all six firms studied. The
predictive power of published support and resistance levels
varies considerably across firms and across exchange rates.
It lasts at least one week. The strength estimates published
with the levels are not meaningful. These results are highly
statistically significant and are robust to alternative
parameterizations.