MARKET IN TRAFFIC LIGHTS

1
MARKET IN TRAFFIC LIGHTS

• Designed for the next Users
• Private Investors
• Professional investors in Broker
• companies

• Run mode
• Real Time combined with the Day-to-Day Market
  scanner

2
TECHNICAL SPECIFICATIONS

• Written in Visual Basic (VBA)
• Access
• Excel
• Outlook
• The software was running in the environment of a
  broker company for 2 years

• Code Size
• 34,000 lines, 682 pages, 302 procedures.
• All real time in excel, all daily saves in Access

3
MAIN OBJECTIVES

• Real time Hopping trading
• Substitutes Unreliable real time Human Contact
  Information with Objective Computer real time
  search

• Real time Intraday watch
• Real time Intraday forecasting combined with
  Day-to-Day seasonal forecasting
• Intarday short listing and optimal portfolio

4
OTHER OBJECTIVES

• Intraday virtual trading
• Intraday continuous clearence
• History of Virtual trading

5
Outline of Inputs

• Reads past historic Day-to-Day close data of
  assets from a Data Base
• Reads past Intraday Evenly granulated data of
  assets from a Data Base for the last n-days (e.g
  5 days)
• Reads past clearance data of virtual trading
  from a Data Base

• Reads interactive setup parameters of the user
  like transaction costs, risk free rates etc.
• Reads e-mail questions about forecasting or
  prices from Outlook

6
Outline of Setup Parameters

• Size in minutes of the Intraday session and
  preliminary session
• Sizes of time scales to handle
• Which assets or derivatives to handle
• Transaction costs

• Make of the Volumes information or not
• Risk parameters calibrations (confidence
  intervals, acceptable probabilities of VaR ,
  risk-free rates etc)

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MAIN FUNCTIONALITIES

• Scans in real time the market and selects
  opportunities
• Makes real time forecasting in many real time
  scales
• Combines forecasting at different time
  scalesLong-term, seasonal, short term, real time
  etc
• Calculates in real time the correlations
  structure of the market, and risk metrics for all
  the assets

• Calculates in real time optimal portfolio of the
  market in many time scales.
• Performs automatic virtual trading based on the
  above on all or selected assets.
• Makes real time clearance of the virtual trading
  and saves final daily clearance.

8
Other Functionalities

• Calculates lateral real time statistics of the
  market (Like average percentage change of the
  market, average on volumes, average on
  capitalization, variance of percentage changes
  etc)
• Calculates continuously in real time, technical
  analysis, like support-resistance, spectral
  analysis etc. in various time scales
• Includes in the optimal portfolio both securities
  and derivatives.

• Performs evenly space granulation of the ticks of
  all relevant assets, for the needs of real time
  forecasting.
• Reads and Answers e-mail questions from outlook
  for real time forecasting, send by SMS messages
  from Mobiles and answers with SMS messages.
• Sends real time SMS messages to mobile phones for
  Buying or Selling an asset.

9
Simulation Functionalities

• Virtual trading in continuous Intraday time
• Simulation of the next day based on the
  forecasting
• Historic simulation on a number of days on the
  preset automatic trading

• What it does not do in simulation
• No manual interactive simulation
• No fast Historic simulation. All historic
  simulation is analyzed on four intraday prices
  open, high, low close and all indicators risk
  metrics and portfolios are recalculated
• No alternative models Monte-Carlo simulation of
  future time.

10
4-Color Market Risk-Code

• In actual prices or forecasting and at various
  time scales
• Red The asset is going down (Dlt0)
• Green Asset is going up (Dgt0)

• Yellow The asset has decreasing increase (D2 lt0)
• OrangeThe asset has decreasing decrease (D2 gt0)
• The above give the name Traffic-Lights

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Risk Management Techniques

• Combination of forecasting at various time scales
  to give a trading order in various ways

• Intraday 4-color classification of all assets

12
The Role of Information on Volumes

• The information of volumes per a time interval
  (intraday or not) is included or not in the
  forecasting, the risk metrics, correlation
  structure and optimal portfolio as a users
  choice

• To Volume is also used to calculate the
  support-resistance (as weight on the prices)

13
Data Base and Real time

• Requires as input data from a Data Base (4th
  generation objects), and then in real time
  carries them in RAM in arrays for reasons of speed

• No tables or data base in Intraday real time only
  (3rd generation objects like arrays)

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Outline of Outputs

• Real time Intraday , and real time changing
  non-intraday , forecasting charts at 3-time
  scales of selected assets and derivatives
• Real time Intraday , and real time changing
  non-intraday, spectral analysis (amplitude phases
  , derivatives) of selected assets
• Real time Intraday , and real time changing
  non-intraday, support-resistance chart of
  selected assets
• Histograms of volume and percentage change
  distribution on all assets, plus averages and
  variances

• 4-color risk and other risk-metric real-time
  intraday classification of all asset
• Intra-day continuous clearance of all traded
  assets
• Intraday suggested lateral optimal portfolio of
  assets
• Intra-day continuous time scan and classification
  of reversals of all assets
• Intra-day continuous time longitudinal optimal
  portfolio of trading systems at various time
  scales on the same asset.
• Intra-day continuous time optimal suggested
  liquidity for futures