Deltix Trading Quantitative Strategies. November 18, by The Deltix Quantitative Research Team. This paper describes trading implementation of quantitative automated quantitative FX trading strategy based quantitative macro news data provided by RavenPack. RavenPack sources news from a variety of sources from which it produces an array of analytics including sentiment, relevance and novelty in real-time, and which are available historically. We undertook the research and implemented the strategy in the Deltix QuantOffice research platform, a purpose-built C development studio with embedded math, statistics and data libraries. The historical data set used is described below:. As a measure of volatility, we calculated the annualized standard deviation of log returns inside 5 minute windows of sec bars i. We also calculated variance ratio [i]:. All statistics were calculated for 5 minutes before the time of the news release time and for 5 minutes after. For example, for US announcements scheduled for 8: The results, pertaining to US economic news data, are show below:. It quantitative clear from the results above that there is a significant change in short-term volatility of FX rates after the announcement of economic data. The next step in our research was to design and test a trading strategy which utilizes this observation. Upon receiving the news event, the strategy creates a long position if the price exceeds the buy level, and creates a short position if the market moves below the sell level. The strategy then closes positions five minutes after receiving the news event. In back-testing, order execution simulation was done using the relatively conservative Best Bid Offer trading Examining Transaction Costs in LME Metals. Automated Trading Strategy Using Earnings Date Revisions from Wall Street Horizon. The Importance of Maintaining a Quantitative Database of Quotes, Strategies and Trade Executions. CEO Ilya Gorelik explains automation of FX Trading strategy. Register now to receive informative email updates. Deltix provides software and services to buy-side and sell-side firms for quantitative research and algorithmic trading. Trading cover data collection and aggregation, advanced analytics, model development, back-testing, simulation and live trading. Deltix's expertise includes applying complex mathematics to big data sets to help clients gain actionable insights and perform "intelligent trading". Introduction This paper describes the implementation of an automated quantitative FX trading strategy based on macro news data provided by RavenPack. The historical data set used is described below: News Data from 1 March till 1 August Market Data from 1 March strategies 1 August News data was filtered by the following news types: We also calculated variance ratio [i]: The results, pertaining to US economic news data, are show below: Trading Strategy It is clear strategies the results above that there is a significant change in short-term volatility of FX rates after the announcement of economic data. Results [i] Variance Ratio statistics introduced by Lo and MacKinlay The following two tabs change content below. The Deltix Quantitative Research Team. Latest posts by The Deltix Quantitative Research Team see all. Featured Resources Research Papers: Trading Transaction Costs in LME Metals Automated Trading Strategy Using Earnings Date Revisions from Wall Street Horizon Webinars: The Importance of Maintaining a Time-series Database of Quotes, Orders and Trade Executions Video: Keep Up To Date With Deltix Register now strategies receive informative email updates. From The Deltix Blog Update: About DELTIX Deltix provides software and quantitative to buy-side and sell-side firms for quantitative research strategies algorithmic trading. Contact DELTIX 24 Prime Parkway Suite Natick, MA
Machine Learning and Pattern Recognition for Algorithmic Forex and Stock Trading: Intro
Machine Learning and Pattern Recognition for Algorithmic Forex and Stock Trading: Intro
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