Site Development, August 2014
Saturday, 09 August 2014 11:15

The high volume of robot traffic makes uninterrupted operation of the site problematic. To help reduce this problem, I have:

  • created a blogspot.com resource, Forex Automaton, which is used to post trading system output

  • made most of the site password-protected

  • upgraded the hosting plan

  • reduced Google crawling rate

 

Asymmetry of the inter-market correlation peaks reveals leader-follower effects in FX.

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Danica 9am | Danica 3pm |Demi | Heidi

 
Market Correlations. FORTS Derivatives Market Diagnostics. August 2014.
Sunday, 11 May 2014 12:46

FORTS metaanalytics August 2014

Maraging Partners, a Moscow-based FX management advisory firm, continues publishing its monthly quantitative FORTS analysis. An English version is available at the link.

 
What are the goals of the project?

Our primary goal is to maintain a public information service providing financial markets forecasts, based on our proprietary forecasting tools: an automated trading system -- a Forex Automaton™. A live forecasting system operating on daily time scale, Danica, is online since late December 2009. An hour-scale forecast system, Heidi, and a daily signal EUR/USD system running a model portfolio, Demi, were launched in August 2010.

Our secondary goal is to discover, quantify and monitor the very existence of sustainable opportunities for profit-making via systematic trading. Or simply put, to monitor the degree to which these markets are more predictable than a "fair game" -- to a trader without access to insider information.

 
ForexAutomaton 2013. The Fifth Annual Summary of Researh Progress
Sunday, 14 April 2013 16:53

Success of algorithmic trading has as much to do with the market as with the nature of the algorithm. While the algorithms may vary and may have terms such as artificial intelligence, adaptivity, machine learning, neural networks and the like associated with them, the phenomenology of what it is that the machines are "learning" all comes down to correlation measurements of varying order -- pairs, triplets, quadruplets... -- over a variety of time lags and time scales, performed on the market time series.

ForexAutomaton began its life on April 02, 2008, five years ago. Year V was exceptionally productive for the project. Here are the main highlights of this annual review:

  • An Index of Correlation Strength (CERCSI) and a Predictability Index have been formulated and the history of these measures has been established.
  • Index of Correlation Strength reveals that a regime switch in the market dynamics took place in Summer 2007.
  • Danica, the daily forecast system, has confirmed its status of an "Anti-System", delivering its forecasts in the non-random and consistent opposition to the market reality.
  • The challenge of regime switch has been addressed by implementing an algorithm, nicknamed Twisted Pair, to incorporate sensitivity to two basic types of memory effects: trending and reversion to the mean.
  • Danica, the daily forecast system, and Heidi, the hourly system, have been upgraded with the Twisted Pair algorithm.
Read more...
 

World Time

New York: 2:59 London: 7:59 Berlin: 8:59 Tokyo: 15:59

Op-ed

Maraging Partners, a Moscow-based currency consultancy, have published their FX market view for Q3 of 2014. The report covers EUR/USD, USD/RUB, and EUR/RUB, and combines news-based and quantitative approaches. Maraging Partners expect lower EUR/USD by the end of Q3 2014: "Our forecast remains unchanged: the crisis around Ukraine has passed its peak and is being pushed to the back burner. Meanwhile, an important differentiating factor which used to work for EUR -- the growth and integration of the European markets -- does not look as promising as before.

The credit slowdown in Russia will not by itself weaken the RUB because the low sovereign debt creates no need for financial repression in Russia while the reduced rate of credit creation, everything else being equal, is not bad for the RUB.

The visible part of Western sanctions against Russia amounts to the fight against evasion of taxes and other risks by placing assets abroad, a fashionable subject in the age of financial repression, no doubt, but not necessarily relevant. So-called stealth sanctions are warnings to investors that should they buy Russian assets now, it will be illegal for them to sell such assets after more substantial sanctions are imposed. These are verbal interventions of sorts, and as long as they are believed to be credible, they do influence the markets."

See full text of the report on the Maraging Partners web site.