Quantnews Monthly Digest | July Issue

Your monthly news & research update for all things quant trading

In this issue, read our recap of a recent Algo Trading Summit in London and access exclusive recordings of presentations on quantitative trading, backtesting using the REST API, and designing trading strategies. Then, watch Dr. Marcos Lopez de Prado’s* presentation on his newest research about the 10 Applications of Financial Machine Learning. Be sure to register for our upcoming webinar series designed to bridge the gap between a trading idea and a tradable strategy!


In the Spotlight

As the educational partner of FXCM, Quantnews is able to provide an exclusive recap of last month’s Algo Summit in London. Approximately 200 traders attended lectures and workshops from 5 professional quants on topics ranging from machine learning to alpha generation to cryptocurrencies. The speakers conducted both interactive workshops and presentations such as:

Access these sessions and more by viewing the event overview here.


New this month

WEBINAR: 10 APPLICATIONS OF MACHINE LEARNING

Dr. Marcos López de Prado*, a leading expert in mathematical finance, joined us for a special webinar based on his new research paper on machine learning. In this webinar Marcos discusses 10 applications of financial machine learning such as analyzing unstructured data and controlling for overfitting. Stay tuned at the end as Marcos answers questions from a live audience.

TUTORIAL: BACKTEST AN EMA STRATEGY ON REST API

In this video you’ll see how to connect to the web-based REST API and backtest a simple Exponential Moving Average strategy using FXCM’s Python wrapper. Learn how you can use this tool to access live and historical prices, place trades, and backtest a trading strategy. Also included in this article are links to access the python wrapper and Jupyter notebooks used during this demonstration.

RESEARCH: EXCHANGE RATE FORECASTING ON A NAPKIN

This article caught our interest this month because of its claim to provide a formula for forecasting exchange rates simple enough to be calculated on the back of a napkin. The researchers identify two regularities in the FX markets to form a half-life model which assumes exchange rates are mean-reverting and can be used to forecast exchange rates based on the rate’s point in its reversion. View this paper to learn more.


Upcoming Events

Live Webinar Series: Intro to Automated Strategies

EVERY OTHER THURSDAY 18:00 – 19:00 BST (GMT+1)

  • Dive into the world of algo trading as you learn how to set up an automated strategy
  • Learn how to backtest your strategy using powerful technical tools on the Trading Station platform
  • Gain insight on how your strategy performs with various inputs using the Optimizer Feature

Register now!

Questions about the webinar? Contact us at inquiries@quantnews.com


Questions or comments? Email us at inquiries@quantnews.com.


Risk Warning: The FXCM Group does not guarantee accuracy and will not accept liability for any loss or damage which arise directly or indirectly from use of or reliance on information contained within the webinars. The FXCM Group may provide general commentary which is not intended as investment advice and must not be construed as such. FX/CFD trading carries a risk of losses in excess of your deposited funds and may not be suitable for all investors. Please ensure that you fully understand the risks involved.