the evolution of algorithmic trading and the role of technical … · 2018. 6. 25. · algorithmic...
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The evolution of Algorithmic Trading
and the role of Technical Analysis
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Why SIAT?
SIAT – Società Italiana Analisi Tecnica è l’associazione di categoria senza fini di lucro che riunisce gli analisti tecnici italiani dei mercati finanziari. E’ stata fondata nel 1986 traducendo nella realtà italiana i principi ispiratori di IFTA – International Federation of Technical Analysts (fondata nel maggio 1984), istituzione internazionale che raggruppa 26 nazioni
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Disclaimer
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The evolution of Algorithmic Trading and the role of Technical AnalysisAndrea Unger
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Are Markets Changing?
Some tests on a basket of instruments to analyse if and how the situation in the markets has been changing throughout the years
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
The basket - Indexes
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
The basket – Currencies & Bonds
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
The basket - Metals
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
The basket - Energy
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
The basket – Softs & Grains
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Are Markets Changing?
We test a Donchian Channel Breakout first
from 1/Jan/1960 to 31/Dec/2000 and then
from 1/1/2001 on, the Channel based on
5, 20 or 50 bars.
30 USD RT Commissions included
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Are Markets Changing?
12
1960-2000 2001-2016ars Donchian Channel
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Bars Donchian Channel
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1960-2000 2001-2016
Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
ars Donchian Channel
14
1960-2000 2001-2016
Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
5 Bars Donchian Channel
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1960-2000 2001-2016
Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Channel
16
1960-2000 2001-2016
Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
50 Bars Donchian Channel
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1960-2000 2001-2016
Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
5 Bars Donchian Channel
18
More Trades but worse TradesSame average duration of trades, this means less
good moves in the winners
1960-2000 2001-2016
Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Channel
19
More Trades but worse TradesSame average duration of trades, this means less
good moves in the winners
1960-2000 2001-2016
Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
50 Bars Donchian Channel
20
Same average duration of trades, this means less
good moves in the winners
More Trades but worse Trades
1960-2000 2001-2016
Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Test results show how basic approaches used for years still produce profits but in a worse way, markets themselves show sometimes deep changes in their way to move
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Chan
Cocoa, it is clearly a bad
to trade here
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Chan
– Crude Oil some Great
Winners and then
confusion
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Chan
Gold great Gains in som
phases but not always
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Chan
– Coffee «killed» by
electronic markets
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Chan
– Live cattle also sufferi
electronic «efficiency»
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Chan
– Corn also suffering
electronic «efficiency»
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Chan
SP500 hard to use
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Chan
30 Yrs Bond a good one
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 30
20 Bars Donchian Chan
30 Yrs Bond Long only
curve
Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
20 Bars Donchian Chan
30 Yrs Bond Short only
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Each markets reacts in a different waySome markets make gains thanks to
particular movesSome gains are more related to the
overall trend rather than to the method
Markets Are Changing!
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Are Markets Changing?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Shall we change?
It is not the strongest species that survive, nor the most intelligent, but the one most responsive to change
1963 professor Megginson (sometimes wrongly attributed to C. Darwin)
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Shall we change?
Repetition makes us feel secure and variation makes us feel free.
Robert Hass
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Shall we change?
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To win a competition requires fast reaction to changes as limited time is available, performance is needed and it is needed immediately!Andrea UngerTrading World Champion (2008, 2009, 2010, 2012).
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 37
Hard to apply with machines, human discretion plays too important a role
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 38
Concepts such as “Support”, “Resistance”or “Trendline” are hard to code and so are most Patterns of Technical Analysis, these remain tools to use in discretionary trading
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 39
Some Chart Patterns can be coded and tested, not always with the expected results…
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 40
Engulfing Ptn Outside Bar Inside BarPin Bar 1 Bar retracement
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Testing condition:Breakout of PatternStop Loss opposite extreme of PatternTake Profit = 3 x Stop Loss
Trend filters:0 – No filter1 – Close > ExpAvg20) for Long Close < ExpAvg(20) for Short
2 –ExpAvg(20) > ExpAvg(50) for Long ExpAvg(20) < ExpAvg(50) for Short3 – 1 and 2
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Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 42
Engulfing Ptn Trend Filte
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 43
Engulfing Ptn Trend Filter
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 44
Engulfing Ptn Trend Filter
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 45
Engulfing Ptn Trend Filter
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 46
Engulfing Ptn Trend FilterAND ADX(5) < 35
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 47
Pin Bar Ptn Trend Filter =AND ADX(5) < 35
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 48
OutSide Bar Ptn Trend Fi= 3 AND ADX(5) < 35
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 49
InSide Bar Ptn Trend FilteAND ADX(5) < 35
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 50
Retracement Ptn Trend F= 3 AND ADX(5) < 35
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 51
• OutSide Bars ended up to be the best Pattern in the group but generally none was excellent
• InSide Bars did not lead to an effective Strategy• Trend filters have demonstrated to be critical• ADX filter helps in targetting better entries• Engulfing Pattern is maybe the most disappointing
considering its expectations• All these and other Patterns are better traded
manually with additional Human Discretion to identify best Price Zones to trigger the entries
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 52
Algorithmic approach and Statistical Analysis can be merged together under “quant” definition and play the most important role in modern Technical Analysis
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger 53
Machines can help in speeding up development but they ALWAYS need a human supervision in order to duly treat the results!
Technical Analysis?
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L’evoluzione del Trading Algoritmico e il ruolo dell’Analisi Tecnica ‐ A. Unger
Thank YOU!
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