Open Trading Strategies
Using the statistics indicators: HMA crossing VAMA plus MACD
We are current working to develop a prototype platform system to combine ideas and operational experiences in Mult-Days trading our purpose is to capture signals from the markets, in particular to open LONG - BUY positions. Our quant analysis is based on the foundations of Technical and Statistical-mathematical indicators already available in different trading Algo but which are combined together to have effective entrance signals: the aim is to find a robust multiday technique that is able to eliminate, at least filtering, the fake entrance signals.
The technique proposed in the following document aims to combine several elements that represent the main structure of price movements of the Stocks. We have examined the factors: Price, Volume (which includes news), MACD icomputed on Volume and Volatility. Another determined factor is the BreakOut as a consequence of a break in the lateralization phases.
Please have a look at the document Stock Trading Strategies
The main point is to deploy in the prototype a strategy to detect lateralization phases of the stock prices and to filter out entrance signals during those phases.
Plotting the Strategy using Python for Finance
We provide a financial Tools to calculate all the indicators for the Bonds in term of Yield of Maturity (YTM) and all the usual Macaulay, Modified Duration and Convexity numbers and to check how assumed changes in interest rates impact the price of each bonds.
The tool will also compute a financial Report of your positions according the deals you entered in the systems. The users have to insert very few input Bonds Static Data including the Clean Prices and it will compute the Dirty Prices with the Accrual and all the Cashflows (plan Schedule).
We use the IRR - Internal Return Rate Formula to compute the yields and we are working in progress to manage new features as RollConventions, DayCount Factory and to add more Yields Formula.
We provide QA and Benchmark for the computation with important treasury products of Capital Markets as Misys Kondor+ (Securities).
BenchMark with Misys Kondor+
Setup the Tools in three steps
- Unzip the Package and go into the directory BondsAnalysisTools
- Double click on the batch file start.bat - it will start the Analyzer Service
- Double click on the batch file run.bat - it will run the request to the Analyzer Service and it wil popup the Excel Sheet filled up with all Analytic Info
Double click on the batch file edit.bat to insert your Bonds Definitions and Deals Data then double click on run.bat it will compute again the Bonds Analysis Info according your insertions.