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  #51 (permalink)  
Old 19-05-2010, 02:16 AM
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@ac thats why quant is not popular as initial cost of practicing it is very huge, but it doesnt mean retail cant trade. We dont need expert of pc/math/physics but need to have proper market sense & common sense which all of us have. See what quants mostly do is look out for the data series which is out of reach for common public for that they pay extra to exchanges. Like flash method which is on receiving end for dow crash. But there are other methods too which doesnt need extra setup like pair trading, in short idea is look for the data which is within our reach, simply take, watch out the option - spreads in first 5 min of trade, also one can use trading fill execution (not latency but actual fill for delivery ). I am just giving examples without research only try to make sense of using quant for retail traders. When i find workin model i might post it here depend on its success ration
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  #52 (permalink)  
Old 19-05-2010, 02:21 AM
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@momentumsignal totally agree with you, once i told d2 about this danger of satyam like situation. I think solution is not take individual stocks only based on corelation coefficient but portfolio of it as explained by anirudh in one of his post but again how we will execute 10 to 20 orders at a time ?
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  #53 (permalink)  
Old 19-05-2010, 02:38 AM
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(+) + ( +) = +
( - ) + (-) = -
(+) x ( +) = +
(-) x (-) = +
(-) x ( -) = +
(+) x ( -) x (+) = -
(+) x ( -) x (+) x ( -) = +
...............................
.....................................
...........................................
Infinite way, one solution...why choose lengthy path when shorter is available.

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  #54 (permalink)  
Old 19-05-2010, 05:25 AM
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@d2 i cant believe bro when an iitan post such a smart reply, really india is raising for sure. By the way we discussed so many quant methods how about this .. Short china and long india
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Old 19-05-2010, 12:57 PM
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Originally Posted by devdas View Post
(+) + ( +) = +
( - ) + (-) = -
(+) x ( +) = +
(-) x (-) = +
(-) x ( -) = +
(+) x ( -) x (+) = -
(+) x ( -) x (+) x ( -) = +
...............................
.....................................
...........................................
Infinite way, one solution...why choose lengthy path when shorter is available.


People wont we satified with 1 re pencil to write with
They need MONT BLANK
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  #56 (permalink)  
Old 19-05-2010, 09:48 PM
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Ajax i understand what you mean, but quant approach or any other systemic approach is not for increasing profits over existing method but reducing market attached risk, the more sophisticated the approach lesser will be the risk, imagine 2% returns with 20% risk & 0.5% returns with quants with 3% risk. You can increase your exposure by 17%
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Last edited by alex; 19-05-2010 at 09:50 PM.
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  #57 (permalink)  
Old 19-05-2010, 10:02 PM
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Totally agree with Alex,

When u start getting older , u can not be as aggressive as u were in ur youth. A person would better seek for less risky but still profitable setups like quant trading.
I've always noticed, Not every trader can do pair trading. Reasons r many like lack of funds , lack of patients , lack of concentration also lack of understanding to the theory. Some tries for a while , steps into wrong trades in earlier stages and leave that by saying this thing doesnt work simply. But fact is , If its not working , then why do people ( specifically successful quant traders ) r still trading it?

Well , I've worked abit on this as per my understanding , taken successful trades in commodities as well as stock futures. I do better like to do pair trading.

Pair trades r more like market neutral strategies , which saves/keeps u away from directional risk of market. Though if done without proper understanding and research, it can be a disaster.

Here i would also like to share an experience , which happened with one of my clients few ( probably 3 ) years ago. He shorted one lot of GMRInfra and bought one lot of IVRCLinfra , unfortunately that trade became a nightmare for him , he couldnt cut his losses in earlier stage and ended up with a heavy loss.
Mistakes he made was he didnt look after the trade size ( which needs to be somewhat equal) plus he didnt take trade in right direction and the biggest thing , he was not sure where he should book losses.

But its for sure , with proper research , its possible to benefit from pairs. Adheer Pai is best example over here. His work over this subject is really worthy. Guys ask him questions he will clear doubts for sure.

Darshiit
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  #58 (permalink)  
Old 19-05-2010, 10:56 PM
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RTM is a concept applicable to a vast array of tactics and not a theory/strategy. The given article is a gross generalization.
Perhaps you have gone through 100s on international research papers on the subject, can confirm it



Originally Posted by anirudhsnewworl View Post
Finding good mean reversion opportunities is straightforward: you simply need to define a range across some time span, and take contrarian positions when the underlying moves beyond that range. Here are some rules for a very basic (but effective) mean reversion strategy:

# Note the intraday high and low of the prior week. We use intraday prices rather than closing prices to get a more accurate picture of the prior week's trading range.

# If the underlying closes above (below) the prior week's range, sell (buy) the underlying at the close.

# Exit the trade 7 days later or when a new signal is generated, whichever comes first.

Now, this is obviously just one strategy among many you could use. We're using a weekly range as our basis, but other timeframes are worth exploring as well, including even intraday ranges. Nor should you restrict your research to price levels alone - viable strategies can be developed using moving averages and Bollinger Bands, for example. Our exit criterion is also somewhat arbitrary; performance is robust across shorter and longer holding periods. Notice that we allow for new signals to reverse our exposure; however, the average holding time per trade was still 6.8 days, indicating that most trades were exited based on our time condition, rather than due to an offsetting signal

this is not a strategy for traders who can't bear to lose: trades were profitable only about 53% of the time, though the winners were about 25% larger than the losers.

Originally Posted by anirudhsnewworl View Post
Anatomy of Technical Trading: Black Swan Or Mean Reversion - Bo Peng -- Seeking Alpha

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Old 19-05-2010, 11:02 PM
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Originally Posted by alex View Post
...imagine 2% returns with 20% risk & 0.5% returns with quants with 3% risk. You can increase your exposure by 17%

leveraging is a art, everyone up from the beginner level practices it, but it only takes a lot of live trading experience to appreciate it
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  #60 (permalink)  
Old 19-05-2010, 11:28 PM
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True, you are the best person to confirm that, thing is high risk high return strategies cant be leveraged but low risk low return strategies can be leveraged also how long the trade is exposed in the market should taken into account. Thats the beauty of quant you in and out within 5 min to seconds with leveraged account and even in pair trades risk value of the time automatically get negated as two are opposite positions.
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