bulls and bears

Quantitative Trading & Algos News. 20, April 2018

News clippings covering Quantitive Trading, Trade Strategy, and Quant Finance. Algo developers and traders in the crowdsourced community can see terms or phrases which drew the attention of our portfolio managers and product team.


 

Strategy Diversification: Combining momentum and carry strategies within a foreign exchange portfolio

…pared to the returns of two indices, the S&P500 and the BTOP50, to determine if their combination leads to an improvement in risk-adjusted returns. The strategies used are two common foreign exchange trading strategies– the momentum strategy and the carry strategy. Data from the 20-year period 1993-2013 on eight of the major currencies is used.

The first trading strategy, momentum, relies on the existence of sustainable price trends. These trends are driven by an increase in liquidity demands, which can be caused by increased market risk (as greater hedged risk leads to greater demand) as well as the buildup o…
2018-04-13 13:43:58+00:00 https://www.quantnews.com/strategy-diversification-combining-momentum-carry-strategies-within-foreign-exchange-portfolio/

CloudQuant Thoughts: In everything we do, we use algorithms of some sort. Our approach to trading strategy and risk allocation is strongly influeneced by AI.

Instinet fined for algo trading and market access breaches

…ved execution priority over proprietary orders within its alternative liquidity pool, alongside general failures to maintain risk management controls and the smart order routing of its electronic and algorithmic trading systems.

When deciding on the penalty, the SFC said it took into consideration that Instinet fully cooperated with the regulator and carried out independent reviews to identify problems with its systems.

Instinet was also penalised in the US last week by the Financial Industry Regulatory Authority (FINRA), and major exchange operators including Nasdaq, NYSE and IEX, for market access violations…
2018-04-16 13:38:48+01:00 https://www.thetradenews.com/instinet-fined-for-algo-trading-and-market-access-breaches/

Pragma Securities commits to FX Global Code

…duct suite can play an important role in helping market participants meet their best execution, transparency and ethics obligations.

Mechner adds: “In today’s fragmented and fast moving FX market, algorithmic trading and trade analytics are indispensable tools for achieving and demonstrating best execution. As an independent vendor, Pragma will continue to help our customers achieve their business objectives under the FX Global Code.”


2018-04-19 00:00:00 http://www.hedgeweek.com/2018/04/19/263380/pragma-securities-commits-fx-global-code

 

SEC Charges Advisor in $1.4 Million Fraud Scheme: Enforcement

…According to the complaint, Chahal lured investors by falsely claiming to be an experienced and successful trader who could generate above-market returns for clients through a low-risk trading strategy. In reality, Chahal had substantially no experience working in the financial or securities industry or trading securities on behalf of clients.

The complaint further alleges Chahal initially invested client funds in a variety of investments, but suffered significant trading losses. According to the complaint, instead of disclosing the losses, Chahal lied to his clients about their investment ret…
2018-04-20 00:00:00 https://www.thinkadvisor.com/2018/04/20/sec-charges-advisor-in-1-4-million-fraud-scheme-en/

Video: When Analyzing General Electric, Take Stock of Your Cost Basis

…day, following better than expected earnings.

When analyzing the stock, it’s important to take stock of your cost basis, or the price you paid to enter the stock, according to Shawn Cruz, manager of trading strategy at TD Ameritrade.

GE shares are down 50% over the past year.

For exclusive investing insight from Jim Cramer, get 24/7 access to Jim’s charitable trust portfolio with a free trial to Action Alerts PLUS!

Subscribe to our Youtube Channel for extended interviews, Cramer Replays, feature content, and more!…
2018-04-20 11:01:12-04:00 https://www.thestreet.com/video/when-analyzing-general-electric-take-stock-of-your-cost-basis-14562929

Manipulation of the CFD market in Australia? Eat porridge for two years

… are potentially damaging to CFD issuers if followed assiduously. CySec’s rules effectively prohibit negative slippage. Over a prolonged period of time and in a market full of scalpers (clients whose trading strategy is to ‘hit’ brokers off-market) this could result in the bankruptcy of brokers. The author commends the NFA and FCA for their rules on fair market pricing. Though, different in their approach, both operate to ensure that brokers can operate within the general market while prohibiting nefarious behaviour when it comes to pricing of the financial instruments. – James O’Neill, Director, ILQ Australi…
2018-04-10 12:14:50+03:00 https://financefeeds.com/manipulation-cfd-market-australia-eat-porridge-two-years/

Alphabet Stock May Complete Long-Term Top

… deal because the March decline tested four-year wedge support, raising the odds for an eventual breakdown that drops the stock into a primary downtrend.

[Learn to analyze stock charts and develop a trading strategy in the Technical Analysis course on the Investopedia Academy]

GOOGL Short-Term Chart (2016 – 2018)

Volatile price action since October 2017 has carved a potential double-headed head and shoulders top that requires a steep descent from current levels to complete the right shoulder. A breakdown would generate a 200-point measured move target, dropping the stock below $800. The 200-week exponentia…
2018-04-20 08:23:00-06:00 https://www.investopedia.com/news/alphabet-stock-may-complete-longterm-top/

3M Company Reports Oversold, Below Key Levels

…t $76.2 during the week of Oct. 14, 2011. The 12x3x3 weekly slow stochastic reading is projected to end this week at 17.13, below the oversold threshold of 20.00.

Given these charts and analysis, my trading strategy is to buy weakness to the April 2 low of $209.47 and reduce holdings on strength to my semiannual risky level of $225.33. (For more, see: How 3M Makes Its Money.)…
2018-04-20 07:28:00-06:00 https://www.investopedia.com/news/3m-company-reports-oversold-below-key-levels/

JPM launches ESG bond index, hires PM for quant team

…alternative beta and quantitative equity portfolio managers. Based in New York, he will report to Yazann Romahi, chief investment officer of the QBS team.

JP Morgan said the QBS team, which conducts quantitative research in factor-based investing, launched 16 new products and doubled assets under management in 2017.

Prior to joining JP Morgan, Lowe was an independent consultant advising asset managers and RIAs in asset allocation and portfolio construction. He also worked as a senior advisor at AlphaSimplex.

Previously, Lowe served as the chief investment officer for State Street Global Advisors’ global equitie…
2018-04-19 12:39:00 http://citywireusa.com/news/jpm-launches-esg-bond-index-hires-pm-for-quant-team/a1111869

Want to know what Tier 1 banks teach their FX desks? Look no further

…iled in a bankruptcy auction on December 23, 2008.

Creditors of Lehman Brothers Holdings Inc. retain a 49% common equity interest in the firm, now known as Neuberger Berman Group LLC. In Europe, the Quantitative Asset Management Business has been acquired back by its employees on November 13, 2008 and has been renamed back to TOBAM.

Barclays acquisition

On September 16, 2008, Barclays PLC announced that they would acquire a “stripped clean” portion of Lehman for $1.75 billion, including most of Lehman’s North America operations.

On September 20, 2008, a revised version of the deal, a $1.35 billion (£700 million) plan …
2018-04-10 14:49:56+03:00 https://financefeeds.com/exposed-lehman-brothers-internal-fx-training-manual-want-know-tier-1-banks-teach-fx-desks-look-no/

Hedge fund assets reach new record high, says HFR

…al ED hedge fund capital to USD835 billion. Special Situations led ED sub-strategy inflows, receiving USD1.6 billion in new capital and raising ED: SS capital to over USD380 billion. Activist and ED: Multi-Strategy funds received USD814 million and USD920 million in inflows, respectively. The HFRI Event-Driven (Total) Index returned +0.15 per cent in Q1 2018, while the HFRI Event-Driven Index (Asset Weighted) Index gained 0.73 per cent.

Fixed income-based Relative Value Arbitrage strategies also experienced inflows in Q1 2018, attracting USD2.3 billion of new capital and increasing total RVA assets to US…
2018-04-20 00:00:00 http://www.hedgeweek.com/2018/04/20/263410/hedge-fund-assets-reach-new-record-high-says-hfr

Tesla’s Testing a Key Price Floor: Chart

…are still out there in force.

Longer term, for Tesla to turn fully bullish again, shares need to muster the strength to push through the $350 to $380 range, the price ceilings that represent Tesla’s trendline resistance level and the top of the rectangle pattern, respectively.

The good news for Tesla bulls is that there are an abundance of potential catalysts on the horizon between now and the end of 2018 that could trigger buying.

That said, patience is a virtue in this stock right now – and the price action is king….
2018-04-20 12:43:41-04:00 https://www.thestreet.com/investing/tesla-testing-a-key-price-floor-14562912

Does Great-West Lifeco Inc. Offer Investors the Best Value Today Among Canada’s Life Insurers?

… or near their 52-week lows are generally a good idea to begin with, what’s more in the case of Great-West stock is that the shares now find themselves resting just atop the company’s 200-week and 50-month moving averages.

Moving averages are technical indicators that can help traders and investors identify if a particular stock is showing signs of strength or weakness.

Stocks that remain above their moving averages indicate a “bullish” sentiment — that investors are still firmly behind a stock.

Some say that cases like Great-West stock, where the shares are just above their moving average, present the best bu…
2018-04-20 00:00:00 https://www.fool.ca/2018/04/20/does-great-west-lifeco-inc-offer-investors-the-best-value-today-among-canadas-life-insurers/

EUR/USD Advances for a Third Consecutive Session

…EUR/USD Advances for a Third Consecutive Session

EUR/USD advanced in European trading on Tuesday to climb above its 20-day moving average, on pace to post a third consecutive day of gains. Although there is some momentum behind the recent rally, the pair remains within a broader range that has been playing out for most of the year.

Friday’s reversal from important technical support followed an underwhelming U.S. jobs report. The dollar has traded broadly weaker since. EUR/USD was lingering around a rising trendline that connects a…
2018-04-10 10:45:00-06:00 https://www.investopedia.com/news/eurusd-advances-third-consecutive-session/

 

 


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