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2008 Jan 19 - Sat

Trading Site of the Day -- aiQUANT: Biologically Inspired Algorithms for Modeling Financial Markets

In the About Page for aiQuant, he has an interesting diagram (taxonomy) of Biologically Inspired Algorithms (BIAs) in which he is interested. There are few there that I've not yet come across, and which are probably worthy of further study.

I think the author of the site does a good job of bringing much of the math down to earth to be accessible in an applications oriented method. The way he explains the Hilbert Transform and the z-Transform are admirable in terms of how they can be used with regard to financial time series.

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2007 Oct 19 - Fri

Trading Site of the Day -- StreamBase: Event, Databases, and (unrelated) Charting

StreamBase has a developers kit for using their Event Stream Processor and database. They have an article on Using the StreamBase opentick Adapter to Build Market Data Applications. The database itself could be a useful alternative to SmartQuant's historical data tables, but the downside is that compression may not be available. I've only skimmed the site. I'm hoping the code behind the referenced article shows enough that I could re-code it for an IQFeed or Genesis data stream.

While on the topic of coding, some one pointed out ZedGraph as a possible alternative for showing charts. It is open source.

On the other hand, I've been leaning towards ChartDirector for C++ as it, as it says, has an API for C++, as well as a host of other languages.

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2007 Sep 15 - Sat

Trading Site of the Day -- Trade-Ideas: Real Time Idea and Signal Generation

In another article, I referenced the Trade-Ideas Blog. I don't recall ever making it over to their web site. Today I made it over to their site by way of an article there on Scalp Traders Access Their Best Trades with Trade-Ideas. They have links from their to a page they have whichreferences a bunch of their signals. I've coded several of those signals elsewhere, but this opens a whole new vista on possible trading opportunities from a scalping perspective.

Another page references how their analysis engine uses different time frames, different data types, and different statistics to come up with its signals.

I like how they do mini charts to provide an idea of daily and weekly price movements.

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2007 Sep 13 - Thu

Trading Site of the Day -- Teresa Lo: Power Swings

Teresa Lo is a retired securities analyst who has a site called PowerSwings. Here analytical skills and powers of commentary show through. Two pages of interest, one on Volatility and one on Intraday Trading Strategies are recent articles with some good meat.

For intraday trading, she boils it down to:

  • Use small discretionary setups to scalp the first half-hour, especially when the market is really emotional. I particularly like small flags and gap plays documented in The Ultimate Trading Course.
  • Avoid getting killed after the first hour, when the market usually settles down and starts to chop. Stay out.
  • Get on board the train if it leaves the station in the afternoon for a trend day into the close.

Once I get into the swing of things, I'm hoping I can break her rule #2, which is where I think with contrarian Limit orders, one can make money in that sort of market condition.

She also promotes here Ultimate Trading Course. I don't know if it is a good thing or a bad thing, perhaps someone could let me know.

Her site links to a number of high quality blogs. WSJ Real Time Economics for one.

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2007 Sep 08 - Sat

Trading Site of the Day -- Non Dealing Desk: Forum for Forex

For those who want to get inside the wild-west business of forex, Non Dealing Desk Forum appears to be a good one with which to start.

It has quite a number of forum sections, but then ones at the top of the list have to do with 'Non-Dealing Desk Brokers', 'Dealing Desk Brokers', and 'Broker Selection Criteria'. Other forums feature real life examples of what can happen to a trader when submitting trades and stop orders.

Forum participants discuss the pros and cons of various brokers and of what to watch out for.

So even though one sees many advertisments in print and the web for $500 sign up accounts, they really are a guise for taking your money the easy way if you aren't prepared for trading desks trading against you and taking out stops on a regular basis.

So really, in the world of forex, it is caveat emptor. Choose your broker wisely, and above all, really hnow what you are doing (which ironically, may not be possible for the neophyte trying to get started).

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2007 Aug 14 - Tue

Trading Site of the Day -- Implied Volatility Data

I would say, based upon the sites I've seen so far, at least from a volatility point of view, is probably the best for information regarding volatility and its uses. As far as I can tell, they provide data only, no brokerage services. For trading purposes, ThinOrSwim can nicely supply that requirement.

IVolatility provides various and sundry scanners, the best option choice for the day, many different ways to analyze options and their combinations, as well as a knowledge base for honing your skills for any type of market. They also have, what seems to be, a weekly Trading Digest Blog, which comes out on each Monday, for helping to identify the type of market, and the types of trades to do in that market type.

Anyone can by naked calls in a rising market. The true traders ar those who can make the right option combination in a rising market, a falling market, or a sideways market.

I wish I know about this site when I first learned about options.

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2007 Aug 12 - Sun

Trading Site of the Day -- Seeking Alpha: Stock Market Opinion & Analysis

Seeking Alpha is a site containing mostly, if not all, reader contributed articles. It is quite active, even on a Sunday. One get commentary and opinion on the market in general, as well as industries and companies in specific.

One article, in particular, caught my eye today: The 'Plunge Protection Team' Working Overtime: A Play-By-Play. Gary Dorsch writes an article that does a good job of time-relating intra day market gyrations with public comments from the US President, Henry Paulson, as well as a number of other key news releases.

Perhaps by focussing on key news articles during the day, such as real time news feeds by The Fly on the Wall, one can ride and profit the market changes as they occur. That may improve the profitability of those trading the market futures such as YM.

The RSS feeds to the web site are numerous and well categoriized.

One other note to make regarding the Seeking Alpha web site. For those wanting to get noticed in the world as an 'expert' or as a 'blogger' or both, writing regular informative articles for the site would probably be of benefit. Publicity would be free.

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2007 Aug 09 - Thu

Trading Site of the Day -- QWAFAFEW: A four letter word for those who can't count?

Really, that means: Quantitative Work Alliance for Applied Finance, Education, and Wisdom. Quite a mouthful. Anyway, this appears to be a current and running site for quants in various stages of the game. Regular meetings are held, and the site is chock full of presentations regarding Hedge Funds, Regression, Portfolio Construction, Simulations, etc.

Plus it has a random quote section, one of which I found rather pointed:

When asked what it was like to set about proving something, the mathematician likened proving a theorem to seeing the peak of a mountain and trying to climb to the top. One establishes a base camp and begins scaling the mountain's sheer face, encountering obstacles at every turn, often retracing one's steps and struggling every foot of the journey. Finally when the top is reached, one stands examining the peak, taking in the view of the surrounding country side and then noting the automobile road up the other side! . Robert J. Kleinhenz

Here is a self description of the group:

QWAFAFEW is an informal organization of quantitatively oriented professionals in various aspects of financial services (primarily investment management). The group was formed ... to provide a venue for quantitative researchers to discuss their evolving work with peers. ... The members span the gamut from owners and senior executives of investment related organizations to recent entrants to the industry.

Another good quote. I wonder where they get their database from.

A new scientific truth does not triumph by convincing its opponents and making them see the light, but rather because its opponents eventually die, and a new generation grows up that is familiar with it. . Max Planck

On another track, they have a link to a recent New Yorker article, called Hedge Clipping, where they have an interview with an ex-analyst, now academic, Harry Kat, who has developed some software to emulate trading styles of hedge funds that he could find that had published data about their returns and asset type usage. He charges clients one third of one percent of the moeny they invest using the software. The interesting thing I learned in the article is that it is typical for fund managers to make 2 percent of the value invested, plus twenty percent of any profits that the fund generates. A nice little return, for the fund manager. Just so long as the fund generates significant enough returns to cover the percentages.

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2007 Aug 07 - Tue

Trading Site of the Day -- Market Delta: See Inside the Chart

I am now, quite simply, amazed. I knew what I was for and was thinking that it wasn't truly original, but I had not been able to find it. Until now. Of course, it was already there, but I just didn't know what to look for.

In a previous post, I discussed the sequence of events I encountered in realizing the power of the Market Profile, and that it will yield good information about a symbol's meanderings. Market Profile is mostly about price brackets over the course of a period of time, which is typicall a day's duration broken down into 30 minute intervals.

But knowing that volume has much to do with interpreting market activity, I knew that Market Profile needed that 'something extra'.

Market Delta takes the Market Profile concepts, adds volume information at the bid/ask/trade perspective, and provides versatile and flexible mechanisms for viewing the data in any volume related market (which excludes straight forex, but includes forex futures). Market Delta demonstrates dramatically the concepts that I knew to be possible.

Market Delta's web site has excellent training and tutorial materials. There are video presentations as well.

Market Delta works with feeds from Interactive Brokers and IQFeed, as well as others. One of the others is a broker called CQG, one that I have not heard of before, and gets a variety of reviews at www.elitetrader.

In an article called Market Profile: A Best Practice in Trading, Brett Steenbarger makes a good point that is useful in overall trading that I like to keep in mind: "be aware of value areas at one level larger than the timeframe being traded". In an Amazon review of the "Markets in Profile" book, he further enhances this by quoting from the book: "If you can correctly identify which timeframe is in control of market activity, and you have a good understanding of how the individual timeframes generally behave, then you are in a stronger position to trade, invest, and effectively control risk." I'd like to add that the same holds true for keeping track of what occured in previous time frames. Points of Control (POC), which are price points at which highest volume occurred, are good sources of support and resistance, and are an example of points of information available from previous and larger time frames.

He also makes reference to a site called WINdoTRADEr. The page to which I have linked has some interesting screen captures of the market profile in action and how previous time frames relate to following time frames.

As a side note, in a previous message, I introduced 'proprietary trading firms'. Brett says "the best strategy for finding solid proprietary trading firms is to go to the futures exchanges themselves and obtain a list of their clearing members. You'll find major prop firms within such a list. The CME education dept maintains a list; they're quite helpful--".

As another side note, of marginal interest, to make something painfully obvious, some traders build bars from ticks, rather time. And in building tick bars, they will use tick counts of 233, 37, 610, etc. And until I looked it them up, I didn't realize those are actually Fibonacci number series elements.

Anyway, to wrap this up, Market Profile and Market Delta appear to have the concepts for which I've been looking for: showing how the markets move, and offering insight into making the best use of the information relating to bid/ask/price and volume, at each price level.

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2007 Aug 05 - Sun

Trading Site of the Day -- Trader's Narrative

I was pointed to Trader's Narrative through a link at Elite Trader via a thread regarding margins and haircuts (the two being the same thing). This link points to a list of proprietary trading firms, where Genesis Securities is listed as one. I guess I have an exam to write to get a better haircut!

It seems that once a person has passed what is known as the Series 7 exam (a 6 hour, 250 question General Securities Representative Examination), one can join a proprietary trading firm and enjoy margins in the 20-1 region. Regular retail traders get 4-1 during the day and 2-1 over-night. There are a number of preparation books listed at Amazon. One poster suggested Securities Training Corporation.

Trader's Narrative blog also has an entry regarding the use of the McClellan Summation Index as it relates to the Nasdaq and NYSE markets. According to that index, the markets can fall some more and still be above previous declines.

A couple of links later, I found myself at VIX and More and a summary page on the McClellan Summation Index, which is basically an advance/decline tool. VIX and More should probably be on a Trading Site of the Day entry by itself. Anyway, from there, I got to where there is a description of the actual calculation at the McClellan Financial Publications.

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2007 Aug 04 - Sat

Trading Site of the Day -- Futures & Options Trader: A Magazine for Free

Who says the best things in life aren't free. I'd rank the monthly Futures & Options Trader magazine as good bang for the buck. By signing up, you get a monthly email with a link to download a pdf file full of the type of content you'd see in regular glossy magazine. For free.

This month's issue is 52 pages in length and has articles relating to the Gold market intra day performance, Lumber futures as they relate to weather, Put-Call parity analysis, Bull Call ladders, technical analysis with the Price Movement Index, plus a number of additional articles and regular features.

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2007 Aug 03 - Fri

Trading Site of the Day -- Currency Trading: Under-hyped, for once

This is site is 'different'. I can't put my finger on it. I'm sure it has corporate backing of some sort, but that could be and probably is totally irrelevant. The definite good thing about is that it has a good intro reference library to currency trading. It discusses such things as the fundamental pip, how to spot forex scams, and how to choose a broker and open an account. The site is a quick read.

The caveat is that choosing a successful trading strategy is up to the reader, which when doing currency, equities, options, derivatives, or whatever, is the hard part.

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Disclaimer: This site may include market analysis. All ideas, opinions, and/or forecasts, expressed or implied herein, are for informational purposes only and should not be construed as a recommendation to invest, trade, and/or speculate in the markets. Any investments, trades, and/or speculations made in light of the ideas, opinions, and/or forecasts, expressed or implied herein, are committed at your own risk, financial or otherwise.