How the strategy of quantitative trading are created and work at the market Forex?
The difficult mathematical apparatus is the cornerstone of creation of strategy of quantitative trading that means use of special application programs for automation of search of models. If at this stage the company uses standard MATLAB, EViews products, etc., then after tests for stories the found strategy are checked for compatibility with already existing in specially programmed environment.
The trading system is based on the principle "the more strategy, the better", the same concerns also the number of tools. The purpose of such expansion – to provide higher profitability at smaller risk in comparison with a certain reference point.
To achieve optimum profit, the following tactics is used: the time interval on which values of quotations of the prices are fixed is chosen (for example, only closings or all tikovy transactions). The received values can be analyzed:
as a certain function, then the task of the coder comes down to approximation, finding of the equation capable to describe it with the minimum error;
as temporary ranks, then by means of mathematical statistics the most exact method of the analysis decides on check on the forward tests of his ability to the most exact forecasting of future values of currencies.
In the first case, having the description of a function graph, the trader defines the period of fluctuations and receives possible pivotny points of maxima and minima, in the second – trends. As additional filters it is possible to start search of the entropy allowing to determine the speed of change of quotations: delay will indicate on флэт, and acceleration – the end of a trend that it will allow to put "clever feet", in advance fixing the transaction until the end of the movement or closing a position with the minimum loss when the trend ends.
One more direction of the econometric analysis is search of microeconomic selections: global bid history breaks into the minimum set pieces with the parts of templates which are in advance defined inside.
Problem of this strategy – to find the suitable site in the past which is most coinciding with a part of a template in the current movement. Further the system predicts future movement on the basis of copying of price dynamics from last micropiece of history.
The found set of the trading systems in three above-mentioned directions develop in one strategy which is constantly traded and optimized by criteria attract management. In addition the trader can include the forecast of these economic indicators, inserting the models showing interrelation of reaction of quotations and studied on historical data, but this unusual occurrence.
Investigating a set of open algorithms (which already became obsolete), models very seldom meet the built-in analysis of macroeconomic, only Price Action is generally used.
Indispensable conditions for work of quantitative strategy:
High liquidity and free convertibility of currency pair or contract CFD;
Diversification and raskorrelyation, existence in a portfolio of a large number of tools with low coefficient of coherence of changes of quotations;
Set of at the same time working algorithms.