FOREX QUANT

October 10, 2008

We’re Trading Multimarket Now

Filed under: Uncategorized — by TraderMade @ 7:37 am

It’s been a while since the last post in this blog.

We’re moving to the next level, we’re trading multi market now, not only FX. So we need a more appropriate tittle and address to host our updates. We’ve been continue writing stuffs at this new address at http://tradermade.wordpress.com.

To our subscribers, please kindly update your subscription to the new address.

Regards,

Darma

August 5, 2008

Great News from Robb Evans

Filed under: Uncategorized — by TraderMade @ 6:26 am
Tags: ,

This is what we have today. Yay.. ! :-)
Finally our clients will get all their money back. :-)

ROBB EVANS & ASSOCIATES, LLC

Receiver of

Forex Liquidity LLC
11450 Sheldon Street
Sun Valley, California 91352-1121
Telephone No.: 818 768-8100
Facsimile No.: 818 768-8802

August 4, 2008

NOTICE TO NON-FX ASIA CUSTOMERS

This message is to inform you that Robb Evans and Associates LLC, the receiver of Forex Liquidity LCC, has entered into an agreement to transfer all the accounts, which are not part of the FX Asia accounts, to Global Futures & Forex, Ltd. (GFT).
This transfer was approved by United States District Court, Central District of California. You will receive information regarding GFT on August 5, 2008 and additional information regarding your account at the time of the transfer on August 6th, 2008.

Once the transfer is completed, everything regarding your account will be serviced by GFT, a financially stable FCM registered with the Commodity Futures Trading Commission (CFTC) and a member of the National Futures Association (NFA). In addition, GFT is regulated by the Australian Securities and Investment Commission (ASIC) in Australia, the Financial Supervisory Agency (FSA) in Japan, and the Financial Services Authority (FSA) in the United Kingdom.

Please note that GFT will be in contact with you about your trading account transfer, including accessing your funds, which will be available for either trading activities or withdrawal. Updates and information will be available from GFT via online at http://www.gftforex.com/trade as well as via a special toll-free hotline 1.888.694.0011; international customers call 616.956.6423.

For additional information about the receivership in the CFTC v. Forex Liquidity LLC case or the Court approved orders, please refer to the receiver’s website at http://www.robbevans.com/html/forexlq.html.

Thank you,

Robb Evans & Associates LLC

(*)

June 13, 2008

FXLQ New News Out

Filed under: Uncategorized — by TraderMade @ 4:56 am
Tags: ,

Another news’ been out today. A fellow (Nickname TripTrap) in the FF forum has just posted Lillian’s reply to his mails.

The Receiver just filed the 2nd report with the Court this week. Below please find the link to our report:

http://www.robbevans.com/pdf/forexlqreport02.pdf

We are filing the motion for the distributions with the Court in a very near future. Once the Court approves our motion, distribution can be made. The hearing date will most likely be scheduled on July 14th. As required by law, the hearing for the motion is required to be scheduled within a reasonable timeline from the time the motion is filed to allow all parties to have a chance to review/oppose to the motion. Therefore, if we file the report in mid-June, the earliest the Court can approve the motion would be somewhere around mid-July.

Very truly yours,

Lillian Lee
Deputy to the Receiver

And there’s also another additional answers from Lillian:

Lillian,

Thank you for the fast reply and all the news!

Do you think it is likely for those that have claims will oppose the motion to distribute funds delaying us even more? Also, how long in these cases does it generally take for the checks to be sent out to the customers once the court approves of the motion?

Sincerely,

———————————————————————————————————-,

I really do not know who will oppose to our motion or how the Court will decide at this point. The possible parties who may oppose to the motion would be FXLQ’s shareholders, mainly Mr. Gray, brokers and creditors (as they won’t receive 100% of their claims, at least not now). Let’s hope that it will not affect the Court’s approval for the distribution to customers.

Based on our other cases, typically the distribution can be made within few weeks (many times within a week) from the Court’s approval.

Regards,
Lillian Lee
Deputy to the Receiver

(*)

June 12, 2008

Some Volatility Heaven (or Hell)

Filed under: Uncategorized — by TraderMade @ 2:42 pm
Tags: , ,

some forward trades

Compared to the FX market which i’ve been trading it for the past 6 years now, this HSI market is such a volatility heaven. Its 1min chart has a nice form that’s very suitable for technical trading, thus providing lots of opportunity for doing intraday scalp trades. But need to keep tight SLs because the volatility can also bring hell up to the surface. lol.

(*)

June 4, 2008

HSI Today

Filed under: Uncategorized — by TraderMade @ 9:44 am
Tags:

Our baby channel for this morning:

hsi channel toda

and then dropped downward, sold it at market for a 80pts target.

tgrt

(*)

May 28, 2008

Intraday Volatility Breakout System

Filed under: Uncategorized — by TraderMade @ 4:50 pm
Tags: , , , ,

Following a successful forward test on the GBPUSD conducted by our friend in Bali, we then realized that this particular system must had a good potential for several other markets with high volatility behavior. The first thing that came up in mind was the Hangseng index. Then we asked for a demo account from our close friend at Topgrowth Futures, where we were once teamed up in developing trading systems and trained their traders last year. We really like their “Pro-iTrading” platform. It’s very responsive, with good spread and commission for trading the Hangseng, very user-friendly interface, making it an ideal platform for running an intraday trading strategy.

And as expected, the system has been going well (so far) in this market. We’re going to continue the test and watch how it will perform. Good luck to us.

(*)

May 23, 2008

Beautifully Recurring Pattern

Filed under: Uncategorized — by TraderMade @ 11:25 pm
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One thing that keeps occurring repeatedly in the fx market is: a beautifully recurring volatility pattern.
Yeap, it’s soooo beautiful.

(*)

May 3, 2008

Credit Hedge Arbitrage

Filed under: Uncategorized — by TraderMade @ 7:29 am
Tags: , , , ,

After a successful acquisition of a multifinance company in the year of 2006, and heavily restructured the company along 2007, Risenberg launched its first credit hedge arbitrage program. The purpose of the acquisition was to provide an efficient vehicle for Risenberg to develop and run its arbitrage system. The acquisition was a deal worth IDR 10 Billion (USD 1.1 Million). Risenberg partnered with another group of investors in the deal and had been approved by the Department of Finance of Indonesia.

By participating in the program, corporate investors are able to gain an opportunity in an alternative asset class that has a very low correlation to the traditional market (ie. stock and bonds). The program is able to deliver a fixed 11% – 14% annual return to participants. The program exploits a continuous arbitrage opportunity that exclusively accessible only by a small number of players in Indonesia’s interbank money market. This is a close ended investment program, will only be available until a IDR 50 Billion (USD 5.5 Million) is reached.

For more info on the program, please contact Risenberg at www.risenberg.com

(*)

April 17, 2008

Intraday Volatility Calendar

Filed under: Uncategorized — by TraderMade @ 5:49 am
Tags: , , , ,


http://www.forexfactory.com/calendar.php

This is an example of an economic calendar that I prefer calling it as “Intraday Volatility Calendar”. The default time stamp is in Eastern Time, so do adjust it to local time to get a better sense of it.

This is where i consider some fundamental analysis- to some extent- is acceptable, that is for volatility anticipation alone, not for directional analysis. And I prefer the word “anticipation”, because I don’t like the word “prediction”, lol.

(*)

April 11, 2008

Receiver’s Notice to Customers of FXLQ

Filed under: Uncategorized — by TraderMade @ 7:18 am
Tags: ,

FXLQ notice

Here’s an update on the case:

On March 31, 2008 the Commodity Futures Trading Commission (CFTC) filed an unopposed motion with the United States District Court to extend the March 31, 2008 deadline for FXLQ to reply to the CFTC’s complaint by 60 days or until May 30, 2008. The United States District Court granted the motion on April 2, 2008.

This proposed extension does not affect the Receiver’s intentions to make a recommendation to the United States District Court for an interim distribution to FXLQ’s customers within 60 days.

Visit the receiver’s FXLQ pages.

(*)

April 10, 2008

Interest Rate Arbitrage Trading System

Filed under: Uncategorized — by TraderMade @ 6:34 am
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Arbitrage Distribution

We have just added more participants in one of our trading system. The latest one is the proprietary credits desk of Bank Mandiri, the largest bank in Indonesia. We’re still doing some tweaking on our data bridge to make a smooth data exchange between our side and theirs. Our IT people is now installing the bridge in our branch offices to smooth the hedging procedure.

The system is based on some arbitrage approach. All i can say now is it generally exploits interest rate difference between different market levels. Some mild optimization practices have been employed to maximize the profit margin per trade, which now is reaching a 10 basis point.

We are currently running this system for Bank Eksekutif, Bank Bukopin, Bank Muamalat, and several high net worth individuals. An average of 10% to 11% annual yield (nett, after tax) have been delivered to our clients. A maximum of 2%-3.5% drawdown is the level of anticipated short term negative cash flow. It’s not really a draw down because it’s actually in the form of an open trades. We’ve also been considering that forming some offshore business unit where tax regulation is better might increase the efficiency of it. Singapore or Cyprus or Hongkong, perhaps.

We’re now preparing to tap Bank BNI’46 into the system. They have a very deep pool of liquidity which will add more robustness.

Good luck to us! :)

(*)

March 18, 2008

M*nkey

Filed under: Uncategorized — by TraderMade @ 7:17 pm
Tags: , , , ,

monyet

“A domino of thoughts”, if you like.
My friend who read my previous blog entry, wrote a deeper thoughts on quals and quants’ approach in investing. He said that both quals and quants share the same key in their investing: consistency and understanding.
And that reminds me of many technical traders who use technical tools like trend lines, mathematical indicators, basic or exotic technical tools, but they never have any consistent method in their trading. They just do a ‘comprehensive analysis’ in each trading decision to be made. And to my knowledge, comprehensive doesn’t necessarily mean applying any method/strategy consistently.
An even more sarcastic coment from a fellow is that he call technical analysts as Mony*t (M*nkey). lol.

(*)

March 17, 2008

A Technician is Not Necessarily a Quant

Filed under: Uncategorized — by TraderMade @ 7:22 pm
Tags: , , , ,

An interesting discussion with one of my CFA teacher over emails after our brief discussion in the class the days before. At the end we both agree that technical analysis is a fail approach in investing.

On Mon, Mar 17, 2008 at 1:57 PM, P.M. wrote:
Untuk yang waktu itu nanya ttg John Simmons, (sorry, lupa namanya), here is the link to John Harris Simmons.
http://en.wikipedia.org/wiki/Renaissance_Technologies#_note-WSJ
http://en.wikipedia.org/wiki/James_Harris_Simons

——-start quote—–
Like many other quantitative funds, their RIE Fund had difficulty with the higher volatility environment that persisted throughout the end of ummer 2007. According to an August 10th article in Bloomberg by Katherine urton, “James Simons’s $29 billion Renaissance Institutional Equities Fund has fallen 8.7 percent so far in August when his computer models used to buy and sell stocks were overwhelmed by securities’ price swings. The two-year-old quantitative, or ‘quant,’ hedge fund now has declined 7.4 percent for the year. Simons said other hedge funds have been forced to sell positions, short-circuiting statistical models based on the relationships among securities.”
———-end quote————–

My comments:

John’s track record and methodologies have not stood the test of time.
Almost $4 billion of his total net worth of $5.5 billion only earned in 2004, 2005 and 2006. Last year, his fund suffered as market has swung wildly. Compare that to Warren Buffett’s track record for over 30 decades, which consistenly outperforms market about twice the rate of Standard and Poor’s performance.

And I dont think investment decisions should be delegated to computers.
After all, investment is very subjective and deals heavily with human psychology, which can’t be quantified.

If things get worse, and if the computers still tasked to decide which action to take, we will see another comparable for Long Term Capital
Management, a bankrupt, quantitative hedge fund that also utilised computer model, and had two Nobel prize winners as the directors: Myron Scholes and Robert C. Merton.
Check: http://en.wikipedia.org/wiki/Long_term_capital_management
Attached is the latest letter from Buffet to the shareholders.
Have a good day,

regards,
PM

On 3/17/08, Darma wrote:

Dear Pak PM, a very interesting comment of you, Pak..

we — the quants’ fans — have been very aware of what happened to LTCM.
We’re more considering LTCM as a sample of a mistake that also happen frequently to many discretionary traders. Barings’ Nick Leeson, and the more recent gigantic loss experienced by Societe Generale caused by a reckless discretionary trader is an example of what a big magnitude of a loss, a discretionary trading practice can cause.

In the case of LTCM, those Nobel prize winners were very confident that the low probability events will not happen, much like betting the market wont swing too far away from the twice of it’s standard deviation. Their biggest mistake were they didn’t expect the unexpected to happen. They were dead wrong, and it cost them big.

But a durable quantitative models isn’t about prediction, which we believe is impossible to be done consistently even using any sophisticated mathematical models.

Some durable market models are even done using some simple common sense to exploit some recurring simple market pattern like the “turtles” or any other mechanical trend followers have been doing.

This particular breed of Quants are even expecting the unexpected to happen, an event that will drive the market to make exploitable movement. Some links on this are:

http://www.turtletrader.com/trend_followers
http://www.tradingblox.com/originalturtles/
http://www.turtletrader.com/why.html

You might also want to check on these names: Richard Dennis, Paul Tudor Jones, John W Henry, Ed Seykota, etc.

Although it’s the most popular, but trend following isn’t the only kind of strategy that’s adopted by Quants. Some other kinds are: the range trading strategies, the opening range breakout strategies, etc.

There are a very diverse universe of mechanical trading strategy, ranging from the very short term to the long term strategies. Trend following is only one of them.

I’m getting more interested in knowing your comment on this, Pak. After all, i’m just a learner, a “Quant’s wannabe”, if you like. hehehe…

And I’m very glad to be knowing you, Pak.


rgrds,

Darma

On Mon, Mar 17, 2008 at 3:59 PM, PM wrote:
sorry lg sibuk

tapi brief comments: value is not the same with price. Value is what you get, price is what you pay. and this can’t be quantified :)

and the names that you mentioned never come to my radar. Dont know whether the names appear on the radar of any non-quant fans. If possible, give me the the web links to their strategies, and most important, the performance.
And we will take it from there.

I doubt that their performance will match that of the fundamentalists. If they already outperformed the market for around 20 years (means that they already experienced the bearish period of 1990s and early 2000), then the names may be worth analysing. But if their performance are only accounted for during the bullish period (where everyone is making money, and those who borrow make even bigger money), then these methods have not passed the test of time.

The problem with the trend following is that the method cant predict the turning points (bull all the time during bull period, or bearish all the time during bearish period. The method cant tell when the bear or bull market will end. This is the single biggest weakness of quant (and its siblings: the technical analysis).

Most of us will live to our 70s or 80s (hopefully……..), so I am interested to know which method will pass the test of time so I can live comfortably when I am old. So far, only 2 investment methods worth mentioning: the fundamentalist (if you know what you are doing) and the index investing (if you dont know what you are doing). Other methods, to my knowledge, have failed.

rgds,
PM

Darma to PM

ya pak. very true.
i think an important note is that a true trend following quantitative models arent trying to predict those turning points. predicting turning points is not what “following” means. and i also consider those technical analysts as a dumb group of people, using those lines and mathematical indicators to predict market, trying to outsmart the market. but as long as they still trying to predict, they’ll never be able to perform better than the market.

thanks greatly for the discussion, Pak. I’m learning a lot from it, especially on the test of time thing :):):)

rgrds,
Darma

PM to me 4:54 PM (18 minutes ago)

sama sama
btw katanya quant fans. Koq sekarang komennya lain? Jadi no fans? yg bener yang mana neh?

rgds,
PM

Darma to PM show details 5:12 PM (2 minutes ago)

hehe, saya quants fan, pak. but not a fan of technical analysis.
they two are very different things. technical analysis and quantitative trading are very different. i always mention technical analysts as “tukang ngecap”, no better then a broken clock. even a broken clock is right twice a day. lol.

using trendlines, mathematical indicators, and all those sounds like sophisticated mathematical formulas, doesn’t mean that one trading using a quantitative strategy, Pak.
the common thing I’ve seen is those technicians trade the market using discretionary strategy, they even don’t know what a positive expectancy of a strategy is.
Yes, they use those technical analysis mumbo jumbo, to give a rocket scientist like of explanation to back their BS prediction. hehehe..

rgrds,
Darma

(*)

March 8, 2008

Free Upgrade to Windows Mobile 6

Filed under: Uncategorized — by TraderMade @ 10:20 am
Tags: , , , ,

Have just successfully completed a Windows Mobile 6 treatment for my Treo 750v (HTC Cheetah). It’s available for free for Treo handheld devices at Palm’s website until October 2008.
The most interesting benefit is that after the upgrade, plugging in the 750v device to USB sync cable will also recharge the battery. I used to bring the charger everywhere I go because it wasn’t recharging when connected to the computer with the sync/data cable like what it does with my previous Ipaq PDA.

Regarding the possibility to use the device as a wireless modem with it’s wireless sharing utility, creating a virtually close-range hotspot, I haven’t tried this yet since there’s no bluetooth in my laptop.

Go to Palm’s website for this free treatment.

(*)

March 4, 2008

They’re Like a Broken Clock

Filed under: Uncategorized — by TraderMade @ 10:42 am
Tags: ,

Reading analysis and market recommendation by some analysts in the newspaper, or in my email inbox, or in Friendster bulletin board (yeah, there’s one there), reminds me of this Polish proverb:

Even a clock that does not work is right twice a day.

(*)

March 3, 2008

Some Hints from the World’s Largest Hedge Fund

Filed under: Uncategorized — by TraderMade @ 12:54 pm
Tags: , ,

I have just read this wikipedia entry on Renaissance Technology (www.rentec.com), an investment management firm founded by John H. Simon. It’s the world’s largest hedge fund, handling assets worth USD 35.4 billion.

Some interesting points:

  • It uses market modelling, mechanically process market (price) data to generate trade decisions.
  • It trades easily traded financial instruments, not exploiting any complex instruments.
  • The models generally perform badly in highly volatile market.
  • They don’t use high leverage.

Some excerpt from the wikipedia entry:

Scientifically based investment strategy
For over two decades, Renaissance has been at the forefront of research in mathematics and economic analysis. Renaissance employs more than 150 scientific specialists, including mathematicians, physicists, astrophysicists and statisticians, half of whom have a PhD, who review market data to find statistical relationships that predict the price movements of commodities, currencies and stocks. These employees come from countries as diverse as Japan and Cuba [3].

Renaissance uses computer-based models to predict price changes in easily-traded financial instruments. These models are based on analyzing as much data as can be gathered, then looking for non-random movements to make predictions. Renaissance represents a validation of the quantitative trading model and trades with such high frequency that it (the Nova fund, specifically) accounts for over 10% of all the trades occurring on NASDAQ some days.

It is worth noting that Nova trades execute purely electronically on direction from a computer model. Medallion fund trades are (in large part) executed through a trading desk, whose goal is to increase the value of the positions the model directs the desk to take by timing market trends and executing in novel fashions (including intra-desk trading).

Renaissance trades at margin levels uncharacteristically low among hedge funds. This allows them to significantly reduce exposure risk, while the efficiency of their computational model allows for consistently high returns.

Like many other quantitative funds, their RIE Fund had difficulty with the higher volatility environment that persisted throughout the end of summer 2007. According to an August 10th article in Bloomberg by Katherine Burton, “James Simons’s $29 billion Renaissance Institutional Equities Fund has fallen 8.7 percent so far in August when his computer models used to buy and sell stocks were overwhelmed by securities’ price swings. The two-year-old quantitative, or ‘quant,’ hedge fund now has declined 7.4 percent for the year. Simons said other hedge funds have been forced to sell positions, short-circuiting statistical models based on the relationships among securities.”

It has just received approval from the Securities and Exchange Board of India (Sebi) to operate in the nation’s stock markets as a foreign institutional investor (FII), according to a report in the Business Standard. (CNBC).

(*)

February 12, 2008

FX Spot Equivalent Futures contracts (SEFs)

Filed under: Uncategorized — by TraderMade @ 4:17 pm
Tags: ,

Traders prefer using OTC Spot FX to exploit movement in the currency market. Although generally is not regulated in some extent, OTC spot FX provides a much more flexible trading condition compared to exchange traded currency futures (CME). This includes the minimum initial capital required to open an account, and the availability of a very flexible position sizing (you can trade 1 unit at oanda or micro lots at several FX brokers), and also the automatic rollover practice (i was told that exchange traded currency futures contracts need to be closed and automatically re-opened at the end of every trading day, resulting difficulties to track P/L of a certain mid-term positions).

But as we can see, the global currency market is still in its very early development stage. Regulation and market structure are still looking for its best form. One recent development is the introduction of the FX Spot Equivalent Futures contracts (SEFs), introduced by the U.S. Futures Exchange (www.usfe.com) in Chicago.

SEFs replicate spot foreign exchange markets in a U.S. regulated exchange environment. Trading is the same as on over-the-counter platforms, but with the customer protections and transparency of a regulated and cleared U.S. futures exchange.

Brokers available for trading this SEFs are: Lind-Waldock, MF Global Futures (Chicago), Daniels Trading, Infinity Futures, and MF Global Direct (UK).

More pointers:

  • Immediately access continuous markets with competitive bid/ask spreads provided by USFE’s dedicated market makers
  • Enjoy the opportunity to place orders and get filled inside the quoted market
  • Have your positions automatically rolled forward at the end of each day at no cost
  • Receive or pay a fair positive or negative end-of-day carry, with no bid/ask spread applied
  • Trade with all the safety, security, and protections that a fully U.S. regulated and cleared futures exchange provides

More info:
U.S. Futures Exchange
141 W. Jackson Blvd., Suite 1460
Chicago, IL 60604
T +1 312-356-3900
F +1 312-356-3901

FXLQ Update: Retail Clients Have Priority

Filed under: Uncategorized — by TraderMade @ 6:44 am
Tags: , ,

A buddy in the Forexfactory Forum posted today an update in a thread regarding the FXLQ crisis.

I spoke to a lady at the receiver law firm. They are awaiting FXLQ and other associated parties for responses, by February 15th.

Then, they will await until March 31st until they make any formal recommendations to the judge… as FXLQ may file for appeal or settle something with CFTC by then. FXLQ has $26million in cash, and $30million in liability. They need to get $6 million to be back in business… a seemingly trivial sum of cash in this business and to meet excess fund requirements.

If in fact there is dissolution, they will recommend that retail clients have priority.

Funds will be returned within two months of March 31st….

This has been a nice indication that trading with a regulated broker, even if it’s an OTC kind of market, still is a wise choice. In an event like this, clients have a proper protection. But we’ll need to wait for another 3 months to get this premise be proven completely.

(*)

January 28, 2008

Cash is a Business’ Lifeblood

Filed under: Uncategorized — by TraderMade @ 5:18 pm
Tags: , ,

Cash is a business’ lifeblood. CASH, if managed well, a company will remain healthy and strong. Managed poorly, a company will go into some cardiac arrest.
When cash management hasn’t been considered an important issue, then the company’s short-term stability and it’s long-term survival might be in danger.
Today i have just found out that a poorly managed cash flows between branch offices might harm a business severely.
Will fix the issue immediately.
A first priority now.
Forming a centralized treasury system might be the answer. Some internet banking bridge between branch offices might need to be tapped. Klik BCA is the first choice but will study what the other banks might offer in this particular problem.
And some fresh cash injection might be needed too.
A very important lesson learned today.
‘Doohhhhh!!

(*)

January 21, 2008

Trading/Charting Platform for Indonesian Stock Market

Filed under: Uncategorized — by TraderMade @ 9:27 pm
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Have been looking for several alternatives of charting or trading platform for Indonesia Stock Market (BEI). There must be some securities who have their own online trading platform, such as the Etrading (www.etrading.co.id), havent found another yet. And some non-broker data providers are the RTI and IMQ.
Havent tried any of them, tho. It’d be nice if theres some trading platform with an integrated charting module where some realtime simulation can be done. Metastock could be the one. Need to ask around about that one.
Have also found this ChartNexus free platform, with free 3 years historical data for Indonesian stocks, but unfortunately there’s no intraday, and can not be used to do some demo or trading simulation. But it can be used to backtest some end-of-day strategy by using their paid expert module.

(*)

January 20, 2008

FXLQ Update: Waiting for January 28

Filed under: Uncategorized — by TraderMade @ 5:56 pm
Tags: , ,

According to this latest press release regarding the case in CFTC’s website (January 10), the hearing would be at January 28, 2008.

…the CFTC filed an ex parte motion seeking an order imposing a blanket freeze on FXLQ’s assets, ensuring access to FXLQ’s books and records by representatives of the Commission, and appointing a temporary receiver to marshal FXLQ’s assets. The Court granted this motion and entered a statutory restraining order (SRO). The Court then scheduled a hearing for January 4, 2008 to allow the Defendant to show cause why the SRO should not remain in place and why a preliminary injunction should not be entered finding that FXLQ violated the CEA, and ordering FXLQ not to violate the CEA. Recently, the show cause hearing was rescheduled to January 28, 2008.

It would be next week. In the meantime, the court has orderd that the assets to be under the control of the Court-appointed Receiver Robb Evans & Associates LLC. The Receiver will post the most current information at http://www.robbevans.com/html/forexlq.html.

(*)

January 12, 2008

Another FSA(UK) regulated MT4 FX Broker

Filed under: Uncategorized — by TraderMade @ 2:16 pm
Tags: ,

It’s been always interesting to find another FX broker, especially the ones those are located in UK, where FSA watchdogging the brokerage business there.
Moreover, this ActivTrades® broker (www.activtrades.com) use Mt4 as their FX trading platform.
Here are some info from their website:

ActivTrades® is located in London and registered with the Financial Service Authority under ref nr 434413. We offer direct access brokerage on all major financial markets combined with the latest and best integrated platforms/solutions for trading Futures, Options, CFDs and Forex instruments.

Direct access to the market.

ActivTrades® provides quick and reliable access for trading the following instruments:

  • Futures and Options on all major markets like CME, CBOT, NYMEX, COMEX, LIFFE, EUREX, IDEM and Euronext, including open outcry markets.
  • CFDs on most traded futures, including CFDs on stock indexes, interest rates and commodities, with guaranteed stops and narrow spreads.
  • Forex trading on as many as 28 amongst the most traded currency pairs, plus Gold and Silver, with narrow spreads, competitive swap rates and guaranteed stops.

We allow futures, CFD and Forex trading with extremely low margin requirements. Our platforms display real-time market prices and depth of market screens where provided, using the very latest routing and risk technologies. We pride ourselves on lightning-fast execution and confirmation supported by our dedicated customer service team. Forex and CFDs are traded through MetaTrader4.

(*)

January 11, 2008

Trend Following the Intraday FX

Filed under: Uncategorized — by TraderMade @ 9:41 am
Tags: , , , ,

I am going to base the following view with a certain definition of trend following: entering trades when the market start to go in a certain way, maintaining the open trades as long as the market still move in the same direction, and finally exit the trades when the expected trend discontinued. Purely following. The purest form of this strategy can be seen in Curtis’ white paper that was able to be downloaded freely in his website several years ago. Another form of a pure trend following system can be found in Michael Covel’s first book.

So..
In my experience, trading intraday in the FX market by purely following the trend like that, wouldn’t work as good as when we do a pure trend following system in the daily timeframe. The volatility behavior of the intraday price movement would kill the system by producing too many whipsaws. Even if we used some advanced entry technique to exploit a running trend by using multiple entry like what the turtles do, the wild volatility in intraday FX market is a beast can not be tamed with that prescription.
Using a pure trend following system to trade the intraday FX market would be like asking Mr. Bean cleaning your office desk. It would be such a terrible mess. lol.

Intraday market has its own characteristic, thus need to be handled with different approach.
Would elaborate more into that in another posts next time.

(*)

January 9, 2008

ATR-derived Stop Loss Level

Filed under: Uncategorized — by TraderMade @ 10:22 am
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After reading my online buddy’s blog entry about MAE/MFE analysis, i thought it’d be worth posting this note about how we calculate stop loss level based on ATR (Average True Range).

Using a fix n pips distance for SL and/or TP is the simplest way a trader would do. But sometimes, the market would perform differently from time to time. Sometimes the market moves wildly with longer candle body, sometimes it moves very calmly with a very low volatility. A fix n pips SL/TP wouldn’t fit into the always changing market’s volatility behavior.

Moreover, we surely want to test a strategy in several different currency pairs. And because each pair would have different volatility behavior, using an ATR-derived SL/TP level would provide us with a system that can literally self-fit into any kind of volatility behavior.

These are some sample lines from our strategy. It calculates ATR first:

atr_SL = iATR(Symbol(), 0, prm_normalization_atr_period, 1) * prm_SL2atr_ratio;

and then this atr_SL value is used to calculate SL distances as follows:

stoploss = NormalizeDouble(Ask + atr_SL, Digits);

so the value of the SL distance would be based on ATR, not a fix n pips.

(*)

January 8, 2008

Anticipating Price Feed Difference between Brokers

Filed under: Uncategorized — by TraderMade @ 2:34 pm
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We have noticed a significant difference in the performance of our systems in several brokers. We have been wondering what may be the cause of it. When we examined the situation more closely, we found that an exact same algorithm has produced fewer trades in a more-filtered price feed environment.

How can this happen? Well, generally, the OTC FX market is a bilateral market, between the market-maker type broker with the traders. Thus the price quoted by each brokers would not be the exact same price. Some brokers apply some filtering algorithm for their feed, creating a smoother chart that may effect the performance of certain trading systems.

So, we have just added some adjustment into one of our algorithm, by adding/subtracting a certain pips off the trigger level as can be seen in the picture below:

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December 25, 2007

We Wish You…

Filed under: Uncategorized — by TraderMade @ 12:21 pm
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Forexquant is wishing everyone a great new year and a joyful Christmas.

I hope you’ll have a great holiday while I’ll have to gather with my branch managers, conducting a year-end meeting this week in Jakarta.

We’ll be shaping up for a brighter future. Good luck to us!

(*)

December 23, 2007

FXLQ Update: $8 Million of Incoming Funds

Filed under: Uncategorized — by TraderMade @ 2:32 pm
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In a pdf file found in CFTC website (court complaint details document), it is stated that the deficit is now only a $3 million (as of December 13, 2007). This means that a nearly $8 million were coming during the period between Dec 7 to Dec 13. And still several days before the hearing on Jan 4, 2008.
Good luck to us

(*)

December 20, 2007

FXLQ’s Numbers from CFTC

Filed under: Uncategorized — by TraderMade @ 11:11 am
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CFTC’s number: as of December 7, the adjusted net capital deficit is $11.6.
But, according to several clients who contacted FXLQ for updates on the situation, there has been several million dollars incoming wires into FXLQ’s account at US banks/FCM since the MRA took place. We don’t have any numbers on how many millions they are actually.

Here is the complete copy of the press release on December 19, 2007:

Release: 5426-07
For Release: December 19, 2007

CFTC Sues Futures Commission Merchant Forex Liquidity LLC Alleging Undercapitalization in Excess of $11.6 Million

Washington, DC – The U.S. Commodity Futures Trading Commission (CFTC) announced today that on December 13, 2007, it sued Forex Liquidity LLC (Forex Liquidity), a registered Futures Commission Merchant (FCM) in Santa Ana, California, charging it with being undercapitalized in excess of $11.6 million and also with failing to maintain required books and records.

On December 14, 2007, the CFTC won an asset freeze and other emergency relief that will enable the Commission to freeze the remaining assets of Forex Liquidity and safeguard the interests of its customers.

According to the CFTC complaint, as of November 30, 2007, and perhaps earlier, Forex Liquidity’s net capitalization was below the minimum required by the Commission. As a Forex Dealer Member of the National Futures Association (NFA) offering to be the counterparty to retail customer foreign currency transactions, Forex Liquidity is required to have a minimum adjusted net capital of $1 million; instead, according to the complaint, as of December 7, 2007, it had an adjusted net capital deficit of approximately $11.6 million.

Forex Liquidity is also alleged to have been unable to produce required financial documentation regarding its assets and liabilities. For example, according to the CFTC’s complaint, Forex Liquidity represented in reports and discussions with NFA that its assets at one time included a $35 million ABN-AMRO bond located in Switzerland. The complaint further alleges that Forex Liquidity represented to the NFA that the ABN-AMRO bond (or its proceeds) were transferred to a U.S. registered broker dealer, Commonwealth Financial Network (CFN); however, CFN does not have an account for Forex Liquidity and the account number that the defendant provided to NFA was fictitious.

Accordingly, the CFTC also charged Forex Liquidity with failure to maintain books and records of its business transactions, specifically, current ledgers that accurately reflect its assets and liabilities.

In the ongoing action in the U.S. District Court for the Central District of California, the CFTC seeks an order of permanent injunction against the defendant, monetary penalties, and other relief. The Honorable Cormac J. Carney, U.S. District Judge, issued the restraining order freezing the assets of Forex Liquidity and prohibiting the defendant from destroying documents or denying CFTC staff access to books and records.

The CFTC appreciates the assistance of the National Futures Association in this action.

The following CFTC Division of Enforcement staff members are responsible for this matter: Peter Haas, Richard Foelber, Paul Hayeck, and Joan Manley.
Last Updated: December 19, 2007

Hopefully, we’ll get more facts in the hearing scheduled for January 4, 2008. If they’re good numbers, some other FCMs might be interested in buying the business. In that case, an approximately 1 month would be needed to complete the whole process and we’ll be able to resume trading on our clients’ accounts.

(*)

December 19, 2007

FXLQ: Important Notice 12/18/2007

Filed under: Uncategorized — by TraderMade @ 2:33 pm
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Here is an email FXLQ sent to our client.
We’ll be waiting for the hearing in the District Court on January 4, 2008.

Tuesday, December 18, 2007
RE: Account # 1xxxx

To our Valued Clients:

We have temporarily suspended operations due to a Commodity Futures Trading Commission lawsuit filed against the company in Federal Court. Please be assured that as soon as we are able, we will return any messages.

There is a hearing in the U.S. District Court scheduled for January 4, 2008 where we hope to resolve all issues the CFTC has with our company.

Thank you,

Forex Liquidity LLC

(*)

Time Dimension of the Market

Filed under: Uncategorized — by TraderMade @ 1:49 pm
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Several short term trading systems we have been developing for the FX market relays heavily on the distinctively unique and consistent nature of volatility behavior between market’s sessions.

We even haven’t found any ways to substitute our time-constraint filters with something purely derived from price-only data. It’s like we actually have a different kind of market for each session that is divided by a rigid time mark, not by some hints those can be found in price action.

This has been bringing some serious thought for us, because we thought that we have to stick to our philosophy to relay our systems purely on price action. But then we realize that the market has the dimension of time along with the dimension of price.

And to our surprise, I found this interesting observation by Mr. Steenbarger, Ph.D. In one of his post today in his blog, he stated a similar conclusion as ours:

What we can see is that these seem to be different markets. Indeed, the daily correlations among the three range from .12 to .18, suggesting that what the market does during one time period is only very weakly related to what it will do in the next one.

Although his research is about the stock market, particularly the S&P, this has put us into believing that time dimension is very truly exists, as we also been observing the same phenomenon in the FX market.

This confirmation from Mr. Steenbarger’s research has put a new item to our research agenda, that we will need to check market’s average range for each session. This would probably be useful for developing a better opening range breakout model, by having a better measurement of the opening range width. And for our range trading model, we might get a better basis for the entry and exit strategy. The keyword would be determining the historical and average range of sessions.

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