TRV

TRV did very nicely today after being triggered yesterday, up 18%

CAD

CAD is doing quite nicely today, was triggered on the 12th Feb, and today (15th Feb) currently up 29%.

Success coefficients

I have aligned the trace and candlestick success coefficients to mean the same - tweedle dee is expected percentage rise and tweedle dum is the percentage time this has occurred.

As an example below is the tweet from today for a company named CAF:

@spacecadet99999: 

#LON:#CAF:13-FEB-13:#LSE_trace::23.9:100:16: 4.13 http://t.co/MPZaFd4x

This reads as:

On the London stock exchange, for the company CAF, on 13th Feb 2013, the trace was triggered with a prior 100% success rate of obtaining 11.5% increase within the following 5 days, on the 16 occurrences this trigger happened previously, with previously the price rise averaged 23.9%, and had today a volume 4.13 times the average 3 monthly volume. The final piece is the link to the LSE website for this company.

So dee is 23.9, and dum is 100, along with the count (16) and the volume analysis (4.13) gives the map for this company. 

STK

STK from two days ago (in the legs for opera page) just went up 40% today. I will change the limits on the tweets for this type of exceptional situation.

Bid and Ask Size

It seems that trades that are dealt with by Market Makers work on the basis of Size both for Buying and Selling.

What this has meant to me is that trying to sell 100,000 BLU when the Ask Size is 70,000, the trade will not appear on L2 and that more disturbingly it may not get executed, even if the price is within limits.

Thankfully the Bid and Ask Size are on L2 and so this is another aspect of trading that really needs to be added to the whole process and which I can monitor now.

Learning something every day.

recap III

Quite a few things have changed since the last update and so lets do another one.

This is all about getting a system that I have built called 'oasis' to deliver triggers as to when to buy shares, currently geared to the London Stock Exchange as I am based in the UK, but with the ability to easily integrate other exchanges - I have run tests on NYSE, NASDAQ and FX and these worked well, so am just waiting for someone to say they would like to see these and I will reinstate. 

oasis brings down via ftp, the end of day data each evening, cleans and uploads to a database. And then the calculations start.

We have 3 trigger processes, Candlesticks, Trace and Betas.

Candlesticks

This is the usual Candlestick algorithms with added bespoke relationship algorithms. We have 8 indicators related to the relationship between periods (day).

We calculate for each company the Markov Switching Multifractal (MSM) for each individual company for these 8 Candlestick indicators. 

Each evening we compare the daily calculated indicators against the MSMs and Tweet any that have a greater than 11.5% rise indicated greater than 95% of the time.

The Tweet contains 2 specific indicators, for want of better names I have called Tweedle Dee and Tweedle Dum which are average percentage price increase and percentage times that this has risen respectively. The Tweet also contains the number of times this has triggered and the day's volume as per the average 3 monthly volume, and are labelled LSE_cs.

Trace

After End Of Day data upload all indicators are calculated (PSAR, MACD, ADX, VI, RSI, Stochastics, Bollingers and quite a few mixed combinations of these such as the PSAR on the MACD)

Each one of these indicators and combinations has been assigned an alphabetic letter for the trigger, and for every combination of 6 of these indicators we have calculated the MSM prior to the End Of Day data upload. I noticed that more than 6 indicators resulted in very limited results. Examples of this are given in this blog here.

We then compare the daily calculated indicators with the stored MSM.

As an indicator the calculation of the MSM takes about 1.5 hours per company, and takes about 4 weeks of processing to complete the whole LSE exchange companies. This process is scheduled to run constantly.

All the trigger indicators are condensed into 2 indicators again called Tweedle Dee and Tweedle Dum, which are essentially the number of indicators triggered and the number of times this has been triggered.

After daily comparisons have been made, any companies that meet the specific criteria are tweeted under LSE_trace. The Tweet also contains the number of times this has triggered and the day's volume as per the average 3 monthly volume.

Beta

This is a fully bespoke and manual set of instructions the user can enter and test. This incorporates an HTML sql interface to the database along with full reporting capabilities.

There are two servers, one production that tweets and one development that tests new algorithms.

The production server is a 16 core Xeon processor, multiple solid state disks and 32 gigs of RAM.

The development server is a 12 core Xeon with ssds and 24 gigs of RAM.

Both servers run Oracle Enterprise Linux and Oracle 11g Database.

Email or comment if you would like more information

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when does the Narwhal bacon ?

Legs for opera

No Tweets today but, there is one Candlestick triggered company of note, STK, that got filtered because tweedle dum was only 84%, but the exceptional aspect was that this related to 63 occurrences with an average 36% price increase. Lets see how this gets on:

05-FEB-13 STK LSE LSE_cs uuu0202021313 63 36.06 84.13

Please note that we are currently filtering at 95% occurrence probability and so a lot fewer tweets.

Sold BLU today splitting volumes with a 28% return.