Looking quantitative analyst position.

Discussion in 'Professional Trading' started by elabunsky, Feb 25, 2010.

  1. Hello,

    I'm looking quantitative analyst position in small / middle invest company.
    During the several years I'm researching entry and exit models for stocks and futures markets.
    Please, check out screen with AMD, AAPL, MSFT Out Of Samples and High Frequency model for FDAX futures.
    Read article "Surfing Your Positions With Unique Wave Stops" in the September issue of Technical Analysis of Stocks & Commodities http://www.trendmedium.com/download/SurfingYourPositionsWithWaveStops.pdf

    You can contact me via my web site: http://www.trendmedium.com/contact.php

    Eugene Labunsky.
  2. Just curious, after looking at your time frame from the image, have you backtested the strategy under different market conditions (like 2001-2007)?
  3. 2 year ago I made 2001-2007 WalkForwardTest (yes, it was WFTested) - http://www.trendmedium.com/wft/LongTestPoints.htm
    Please, check out how my system stable (old core, but with WaveStopLosses). My PC in 2007 year calculated this WFT 3 days.

  4. Hi,

    Another one research sample.
    FDAX (German DAX futures).
    418 trades during 35 trading days.
    22346 euro profit from 1 lot.

    Eugene Labunsky.
  5. Hi Eugene,

    So it looks like you are using some form of Genetic Optimization or even Genetic Programming to calibrate on previous price history and then selecting on the highest fitness value. And then these parameters and/or derived strategies are applied out-of-sample for the next day. And then everything is rolled forward one-day and re-estimated and applied?

    Is this correct? Is it K-Fold or is the lookback window constant? Ie the length of time in the past used in the genetic selection process...

  6. Hi Transatlantic,

    With genetic I'm looking parameters for entry conditions and adjust profit target/stop loss values.
    This is simple rule based on Moving Averages from Close-Open values (I understand that extra curve fitting will generate Unstable trading system).
    For Out Of Samples I loaded quotes before the Out Of Sample period, calculate system and then apply it on all days In Sample and Out Of Sample.
    For these sample I did not recalculate the model each day. This is Out Of Sample. I like more Walk Forward Test, but these samples are Out Of Samples.

    For futures models I'm not using genetic. There are not leaner models. For researching FDAX models I'm using quotes collected from with market live XTrader TT connection). Models entry/exit by ask/bid or limit order executed if price over/down the limit order price.

    Eugene Labunsky.