MARKET IN TRAFFIC LIGHTS - PowerPoint PPT Presentation

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MARKET IN TRAFFIC LIGHTS

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... setup parameters of the user like transaction costs, risk free rates etc. ... forecasting, send by SMS messages from Mobiles and answers with SMS messages. ... – PowerPoint PPT presentation

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Title: MARKET IN TRAFFIC LIGHTS


1
MARKET IN TRAFFIC LIGHTS
  • Designed for the next Users
  • Private Investors
  • Professional investors in Broker
  • companies
  • Run mode
  • Real Time combined with the Day-to-Day Market
    scanner

2
TECHNICAL SPECIFICATIONS
  • Written in Visual Basic (VBA)
  • Access
  • Excel
  • Outlook
  • The software was running in the environment of a
    broker company for 2 years
  • Code Size
  • 34,000 lines, 682 pages, 302 procedures.
  • All real time in excel, all daily saves in Access

3
MAIN OBJECTIVES
  • Real time Hopping trading
  • Substitutes Unreliable real time Human Contact
    Information with Objective Computer real time
    search
  • Real time Intraday watch
  • Real time Intraday forecasting combined with
    Day-to-Day seasonal forecasting
  • Intarday short listing and optimal portfolio

4
OTHER OBJECTIVES
  • Intraday virtual trading
  • Intraday continuous clearence
  • History of Virtual trading

5
Outline of Inputs
  • Reads past historic Day-to-Day close data of
    assets from a Data Base
  • Reads past Intraday Evenly granulated data of
    assets from a Data Base for the last n-days (e.g
    5 days)
  • Reads past clearance data of virtual trading
    from a Data Base
  • Reads interactive setup parameters of the user
    like transaction costs, risk free rates etc.
  • Reads e-mail questions about forecasting or
    prices from Outlook

6
Outline of Setup Parameters
  • Size in minutes of the Intraday session and
    preliminary session
  • Sizes of time scales to handle
  • Which assets or derivatives to handle
  • Transaction costs
  • Make of the Volumes information or not
  • Risk parameters calibrations (confidence
    intervals, acceptable probabilities of VaR ,
    risk-free rates etc)

7
MAIN FUNCTIONALITIES
  • Scans in real time the market and selects
    opportunities
  • Makes real time forecasting in many real time
    scales
  • Combines forecasting at different time
    scalesLong-term, seasonal, short term, real time
    etc
  • Calculates in real time the correlations
    structure of the market, and risk metrics for all
    the assets
  • Calculates in real time optimal portfolio of the
    market in many time scales.
  • Performs automatic virtual trading based on the
    above on all or selected assets.
  • Makes real time clearance of the virtual trading
    and saves final daily clearance.

8
Other Functionalities
  • Calculates lateral real time statistics of the
    market (Like average percentage change of the
    market, average on volumes, average on
    capitalization, variance of percentage changes
    etc)
  • Calculates continuously in real time, technical
    analysis, like support-resistance, spectral
    analysis etc. in various time scales
  • Includes in the optimal portfolio both securities
    and derivatives.
  • Performs evenly space granulation of the ticks of
    all relevant assets, for the needs of real time
    forecasting.
  • Reads and Answers e-mail questions from outlook
    for real time forecasting, send by SMS messages
    from Mobiles and answers with SMS messages.
  • Sends real time SMS messages to mobile phones for
    Buying or Selling an asset.

9
Simulation Functionalities
  • Virtual trading in continuous Intraday time
  • Simulation of the next day based on the
    forecasting
  • Historic simulation on a number of days on the
    preset automatic trading
  • What it does not do in simulation
  • No manual interactive simulation
  • No fast Historic simulation. All historic
    simulation is analyzed on four intraday prices
    open, high, low close and all indicators risk
    metrics and portfolios are recalculated
  • No alternative models Monte-Carlo simulation of
    future time.

10
4-Color Market Risk-Code
  • In actual prices or forecasting and at various
    time scales
  • Red The asset is going down (Dlt0)
  • Green Asset is going up (Dgt0)
  • Yellow The asset has decreasing increase (D2 lt0)
  • OrangeThe asset has decreasing decrease (D2 gt0)
  • The above give the name Traffic-Lights

11
Risk Management Techniques
  • Combination of forecasting at various time scales
    to give a trading order in various ways
  • Intraday 4-color classification of all assets

12
The Role of Information on Volumes
  • The information of volumes per a time interval
    (intraday or not) is included or not in the
    forecasting, the risk metrics, correlation
    structure and optimal portfolio as a users
    choice
  • To Volume is also used to calculate the
    support-resistance (as weight on the prices)

13
Data Base and Real time
  • Requires as input data from a Data Base (4th
    generation objects), and then in real time
    carries them in RAM in arrays for reasons of speed
  • No tables or data base in Intraday real time only
    (3rd generation objects like arrays)

14
Outline of Outputs
  • Real time Intraday , and real time changing
    non-intraday , forecasting charts at 3-time
    scales of selected assets and derivatives
  • Real time Intraday , and real time changing
    non-intraday, spectral analysis (amplitude phases
    , derivatives) of selected assets
  • Real time Intraday , and real time changing
    non-intraday, support-resistance chart of
    selected assets
  • Histograms of volume and percentage change
    distribution on all assets, plus averages and
    variances
  • 4-color risk and other risk-metric real-time
    intraday classification of all asset
  • Intra-day continuous clearance of all traded
    assets
  • Intraday suggested lateral optimal portfolio of
    assets
  • Intra-day continuous time scan and classification
    of reversals of all assets
  • Intra-day continuous time longitudinal optimal
    portfolio of trading systems at various time
    scales on the same asset.
  • Intra-day continuous time optimal suggested
    liquidity for futures
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