MARKET SCAN TRADER A basic tool to reduce the markets complexity and make a short list of assets to invest. USERS designed for: Private Investors Professional investors in Broker companies Timing Mode: Day-to-Day with price closes
TECHNICAL SPECIFICATIONS Written in Visual Basic (VBA) Access Excel Outlook Code Size: 10,000 lines, 200 pages,140 procedures, 110 tables The software was running in the environment of a broker company for 2 years
MAIN OBJECTIVES “Hopping” trading Substitutes Unreliable Human Contact Information with Objective Computer search Scans Daily all assets of the market and classifies them according to the continuation and reversal patterns in at least three time scales according to input indicators or pattern recognition techniques.
Other Objectives From a selection of assets that can be all the market and return and correlation structure of them, produces optimal portfolio of assets to trade Creates automatic orders according to user defined specifications, and opens virtual trading positions, short, Long etc. It makes daily clearance. Updates Optimally the optimal portfolio Scans Daily and classifies all assets according to a set of risk metrics. Produces charts, histograms and color-code displays
Outline of Inputs Historic Day-to-Day price and volume data of all assets of the market Capitalization data and symbols data of all assets of the market
Outline of Setup Parameters Risk-free rate Transaction costs Sizes of short, mid and long time scale Chosen indicators for reversal pattern recognition Chose short listing for optimal portfolio calculation
Data Base Design Outline 110 tables Input historic data tables Clearance Back- Office Tables Portfolio presentation data tables Risk-metric classification of assets
BASIC FUNCTIONALITIES Searches Daily All the assets of the Market to Select Opportunities (Front-Office) Calculates a set of Indicators for all the assets Daily.(Technical Analysis) Calculates Classical Forecasting for all the assets E.g. Exponential best fit, Polynomial Best fit, Trigonometric Best fit or Moving average, etc in at least three time scales Calculates the Correlation structure of all the market Calculates Daily risk metrics for all the assets. Calculates Optimal Portfolio of all the market or only of one sector, or only of the sectors indices etc Performs Automatic Virtual Trading and clearance on all the assets (Back-Office) and keeps historical back-Office statistics.
Other Functionalities Updates Daily and optimally the optimal portfolio of open positions What it does not do!: It does not give a way to select in an optimal way, the indicators and techniques to estimate the continuation and reversal patterns for each asset It does not gives you a way to select optimally the time scales of the reversal and continuation patterns. It does no test on past historic data and for sufficient past time horizon the results of the virtual trading system. It does not work in continuous intra-day time
4-Color Market Risk-Code In actual prices or forecasting and at various time scales: Red: The asset is going down (D<0) Green: Asset is going up (D>0) Yellow: The asset has decreasing increase (D 2 <0) Orange:The asset has decreasing decrease (D 2 >0)
The role of the Information of Volumes The information of volumes is included or not in the forecasting, the risk metrics, correlation structure and optimal portfolio as a user’s choice To Volume is also used to calculate the support-resistance (as weight on the prices)
Outline of Outputs Market view table after scan Short listing of assets Color-code classification of assets Market-Risk Histograms and Charts Profit-loss and other back-office data tables for all assets Lateral correlation structure of the market Systematic and unsystematic risk classification of all assets Other risk metrics (VaR etc) classification of assets