Thursday, January 27, 2011

Why are they earning?

I don't know exactly why... but Simplistic and LSSVM are winning...

I'm using alfas and sample-points from machines machines on January 24th, adjusting thresholds according to the "please please, don't lose my money at all" principle (thus, every open position should result in earnings) applied the day before.

And they are earning money, about 6% in two days (with a deposit of 1.000 euros).

I need to test it more....

Thursday, January 20, 2011

SimpleSVM with RSI limits for EURCHF: 9 to 4

I don't know, but working with SimpleSVM (limited by RSI, as I explained before) in the following way:
- 9:00 AM, get 720 samples of 1 minute for EURCHF, EURUSD, USDCHF
- Training SimpleSVM with this values and getting started
- It goes fine, for five hours (16:00)... and starts to fail until the night
I don't know why, so I'm testing again and again. Maybe the machine is learning
some kind of human pattern appliable at workable hours. I don't know.

Friday, January 14, 2011

SimpleSVM with RSI limits for EURCHF

Trading against the wind!

The idea is: in an ascending trend, open long position when RSI cross 30 and short positions according to SimpleSVM limited to RSI conditions (like this post, but acting over EURCHF).

Starting operations on January 11th, this system has opened 3 short positions, earining 0.2% (for each one) and one long position earning 0.2% in one day.

Let's see how it's going on...

Tuesday, January 11, 2011

RSI signaling for EURCHF

As simple experiment, I'm trying to earn money buying and selling CFD for EURCHF.

Sample time was 1 minute.

Using this simple pattern: open short position if RSI(14) is over 73, open long position if it's under 26, profit was about 0.2% during January 11th 2010 in the first 30 minutes.... But lot of short positions were being opened thanks to RSI(14) were over 73, losing more than 5% in the following 12 hours.

As I'm trying to perform High Frequency Trading, these results are invalid. What a pity!

Monday, January 10, 2011

SimpleSVM with RSI limit for SP500 and EUREX

After analyzing what appened here, I've detected RSI indicators where "out of recommended ranges", thus, near to 70 when opening failure LONG positions, near to 30 when opening failure SHORT positions...

So, I've tried to include a "RSI limit" acting in this way:
  • Don't open long positions if not RSI (t-K)>70 and RSI(t-K/2)<70 and RSI(t)<70, at the same time, -for ascending trend-; don't open long positions if not RSI(t)>30 when prices are descending.
  • Don't open long positions if RSI(t)>=70 when trend is ascending and don't open short positions when trend is descending and RSI(t-K)<30,RSI/t-K/2)>30, RSI(t)>30 are not verified.
Thus, the idea is: don't go if RSI is not confirming the signal.

Machines with these modifications are being tested against SP500 and Eurostoxx from this moment..... we will see if they're working or not.....


Friday, January 7, 2011

About me

Ugh, I've forgotten it!

My name is Luis F., I'm a Spaniard from Spain, MSc in Maths, programmer since 1999 (with all those unuseful certifications from Sun and Microsoft), former information security auditor (CISA, CISM certified), former enterpreneur (please, don't try to create an enterprise in Spain, don't try) and Masters in Quant Finances.

I love computer programming. I'm earning money programming computers and making people enjoy the art of dealing with computers.

I love Maths. I would like to make money with Maths.

I'm turning into Quant Analyst (to manage my money) because computer programming has no secrets, and has no new challenges for me.

That's all. I will no tell you anything about my family and hobbits, because they are too valuable to share with you (remember, I don't know who you are, your intentions...).

But, if you want more information on the algortihms, or you would like to investigate with me (and get rich, of course), email me. Don't worry.

Ah, and I'm happy.


ModifiedSVM for SP500 and EUROSTOXX

Trying to apply modified SVM (a quite simplified method a will describe in future) only to index data (open/close/high/low/volume), the results were:

  1. For SP500 long prediction is quite good. SP500 is going up with a huge loses ModifiedSVM is avoiding. Short prediction is "almost" good: no points were predicted to get short.
  2. For EUROSTOXX, machine crashes: market was long, but, suddenly, (january 6th, at 13:30) it started to get very short. My ModifiedSVM decided to go in long at 13:30.... oohh!!!

  • Samples each 15 minutes
  • Training with 96 samples, the most recent ones
  • Stop Loss decide after testing training, looking for the greatest benefit
  • Two machines for each index: one for short and one for long positions.

  • MQ4 code (working on MetaTrader) to get index values
  • MQ4 code to operate in real time on MetaTrader platform
  • Matlab to train and test the machine


Welcome to my own list of practices I'm trying to get rich trading with forex, indexes, stocks in a CFD, options or spot way.

Remember: I don't need you to visit this blog; I'm going to get rich, so go away! (And don't discover my secrets...)