FMZ Quantfmzquant.hashnode.dev·Jun 21, 2024Why do we need an off-sample testSummary In the previous section, we showed you how to read the strategy backtesting performance report by focusing on several important performance indicators. In fact, it is not hard to write a strategy that making profit in the backtesting performa...Discussoptimization

FMZ Quantfmzquant.hashnode.dev·Jun 21, 2024How to implement strategies in Python languageSummary In the previous article, we learned about the introduction to the Python language, the basic syntax, the strategy framework and more. Although the content was boring, but it's a must-required skill in your trading strategy development. In thi...DiscussPython

FMZ Quantfmzquant.hashnode.dev·Jun 14, 2024RSI2 Mean Reversion Strategy using in futuresFrom Many friends asked me to write a grid and market maker strategy,But I generally decline directly. Regarding these strategies, first of all, you must have a strong mathematical knowledge, at least a doctor of mathematics. In addition, high-freque...DiscussFutures

FMZ Quantfmzquant.hashnode.dev·Jun 12, 2024A Brief Discussion on the Balance of Order Books in Centralized ExchangesRecently, I have summarized some key insights from papers studying limit order books. You will learn how to measure the imbalance of transaction volume in the order book and its predictive ability for price trends. This article explores methods of us...Discussbalance

FMZ Quantfmzquant.hashnode.dev·Jun 7, 2024Thoughts on High-Frequency Trading Strategies (3)In the previous article, I introduced how to model cumulative trading volume and analyzed the phenomenon of price impact. In this article, I will continue to analyze the trades order data. YGG recently launched Binance U-based contracts, and the pric...Discusstrading,

FMZ Quantfmzquant.hashnode.dev·Jun 4, 2024Tycoon reveals algorithm trading: FMZ Quant platform market maker strategyDigital currency algorithm transaction guide In this article, we will discuss the design and implementation of the trading algorithm in Canadian currency. In particular, we focus on execution algorithms, market maker algorithms and several market mi...Discussalgorithms

FMZ Quantfmzquant.hashnode.dev·Jun 4, 2024Three potential models in quantitative tradingThe triple realm of trading: induction - deduction - gaming Period potential model MA1:MA(O,18); //Find the average opening price of 18 periods TMP:=(REF(C,1)-REF(C,10))/REF(C,1); // The difference between the closing price one period ago minus the c...Discusstrading,

FMZ Quantfmzquant.hashnode.dev·May 28, 2024Simple grid strategy in Python versionThere are not many Python strategies on the strategy square. A Python version of the grid strategy is written here. The principle of the strategy is very simple. A series of grid nodes are generated by a fixed price distance within a price range. Whe...Discussgrid

FMZ Quantfmzquant.hashnode.dev·May 27, 2024Balanced Pending Order Strategy (Teaching Strategy)The essence of the strategy described in this article is a dynamic balance strategy, that is, the value of the balance currency is always equal to the value of the valuation currency. However, the strategy logic is very simple when it is designed as ...DiscussFMZQuant

FMZ Quantfmzquant.hashnode.dev·May 21, 2024High frequency backtesting system based on transaction by transaction and defects of K-line backtestingI released a backtesting engine in the article "Study on Multi-currency Hedging Strategy of Binance Futures" (https://www.fmz.com/digest-topic/5584). And the first report is based on the one hour K-line backtesting, which verifies the effectiveness o...DiscussBacktesting