Algo list by class:
Autoscalp price engine ©
Geopolitical Sniffer ©
Virtual Grey Pool ©
Example of specific strategies for Oil Sector
Prototype of a Proprietary Oil Price feed
Examples of Event Driven algos
Examples of Geopolitically triggered Algos
Examples of Counter Profiling Algos (samples)
Example of a raw Alpha from idea to algo.
Autoscalp Sniffer ©
Algo Class: price engine core.
Trigger: counter-profiling model.
Covering : eurusd sp500 dax dollar index gold.
Specifically designed for:
Asset Managers, Managed Futures Funds, Alternative Investment Funds, Dark Pools.
Uses a proprietary HFT Alpha seeking model covering: eurusd, sp500, dax, dollar index, gold
Results of a proof of concept tests for a Fund done in Dubai :
1433 Safal - Shaban 2012
January to July. Max leveraged exposure: 6.
Instrument used were: euro dollar s&p500 dax oil gold.
Performance resulted steadily positive on a monthly basis.
More data on performances are available only after mutual NDA and NCA have been signed.
See the Partnership Page after reading the disclaimer below.
Further MAQASID SHARI‘A based performance evaluation are also available on partners' request.
Autoscalp model works as a distributed architecture capturing multiple signals
conveyed from different sources into the Autoscalp Simulated Dark Pool , as follows:
More about Replicant Swarm v 6.4
Class: algo cluster.
"You can program a machine how to flex an arm or let it generate the code while it sees the movement".
This paper explains how a model can learn from others, subject which which is called imitation learning.
Conceptually similar to the miners algos used to create bitcoins, where plenty of slave machines are
independently dedicated to produce bitcoins . The base difference is evolution and scouting.
If a replicant algo profits, it clones itself on an available algo slot and starts trading. Becoming a "local queen"
making the swarm generate multiple clones from the most profitable spot. If an algo loses ,
it means all its clones are losing then it triggers a "mutation command" to all the cloned strategies.
That triggers a slight mutation in each machine configuration and in meantime all machines
switch to "demo trading" while the swarm saves energy and restarts evolving , the account saves losses.
Mutation continues until one algo starts profiting. From that point its clones are passed to real market...
and the evolutive loop restarts until either all machines available have been conquered and running the
replicant algo or the profit loss bracket has been reached.
Most comments either from think tank and p2p network could have been summarized as :
"all algos sooner or later start losing" and thus the alpha idea has been modified to focus at the core problem
of finding the best way to stop producing on real while still profiting and switch to demo mode
BEFORE the loss happens. It implicates creating a specific monitoring environment based on effective results,
object which is under heavy development these days.
Reason of disclosure of the above logic:
is simply applied swarm dynamics, perfectly working in any ant-hill near you.
Geopolitical Sniffer Prototype:
An interactive algo cluster designed to predate against wrong geopolitical decisions
[based on recurrent information filtering and panel filtering , game theory and a special case of Turing test].
"don't trade the news, dismantle its noise".
Algo extract facts from many sources,rebuilds the news and profile the actors relatively to that fact.
Reality check (panel vote on coherence of the news summary created by algo).
Algo finds externalities and which indexes are directly or inversely correlated to the news and trades.
1) Automatic part:
Algo is set to harvest breaking news on a user defined event
and creates a summary from opposite information sources.
1a) Algo adds relates externalities whose influence is spiking aside of the main news.
1b) Algo checks coherence for each actor with the ongoing news.
1c) Algo finds correlated and inverseliy correlated index behaviors to the ongoing news.
2) Interactive part:
2a) A panel votes if algo has summarized the situation properly. Otherwise forces summary rebuild.
2b) A different panel votes the event main actors behavioral history was correctly linked to this news.
2c) A recurent filtering process is required to get the fact without the media spins .
3) Cojoined signal generation:
3a) When news summary is approved by panel algo.
3b) Both algo and panels try to spot an entry and exit signals on the related index (apply game theory).
Is the Ceasefire in Ukraine reliable ?
Russia is more experienced on military matters.
Germany is more experienced in banks matters.
NO (panic, gold up). YES (uncertainty, stay out).
Panel and algo voted: NO and created the panic trigger signal.
Enter long gold before panic, Exit when panic happens.
Reason of algo disclosure: is just applied game theory ...
a special case of the Turing test where part of the machine is human (panel).
Autoscalp Virtual Grey Pool ©
Example of multiple concurrent prices running inside it.
See also: our Autoscalp Pricing Model - concept.
Example of specific strategies for Oil Sector :
Autoscalp oil Tracker ©
Covering: brent,wti, and partner's owb base currency against USD (eurusd, usdcny...)
|Module Name||Icon||About the Module...|
for buy side:
|Objective: sterilize the AED/CNY variations on a weekly basis.
The Model builds an internal syntethic Grey Pool
Oil Price feed
|An alternative price feed for Oil , a proprietary price feed to run our algo based on our Sniffer filters applied on the WTI Oil price.|
Usage example : sell side Oil Tracker CNY
Assume an oil producer in UAE has a chinese customer
who agreed to pay a certain oil quantity for a certain price on a certain date.
in this case creating an internal price feed to do counter-profiling of oil/yuan.
Since the longer the delivery period, the higher the currency risk for the oil provider,
Oil tracker model actively trades WTI ,
Brent and their currency components relative to the oil provider (AED,CNY,USD)
For every week yuan moved agains the oil provider currency (AED)
the following week the model actively trades to recover such loss.
Notes on eventual personalization of the Autoscalp Oil Tracker as by Shariah Compliance required steps :
- The eventual collateral needed for the following week is known before dealing, one week ahead.
- Collateral is traded at leverage 1. That means no leverage is used, at all.
- When predefined target brackets are reached the model halts trading.
- No game of chance as each deal target be it profit or loss is predefined and expected.
Notably, eventual swap related issues depend from the broker chosen by respective counterparts.
Algo prototype Proprietary Oil Price feed:
A proprietary pre-filtered oil price feed sketch was created during a think-tank while proposing some sketches and ideas.
Research Topic: produce a proprietary oil price feed based on our sniffer filters.
Aan internal oil price feed to be used in our algos rather than relying on the centralized Oil (CL) price.
In this oil specific algo prototype we are applying our proprietary Sniffer filter against:
- price spoofers
- HFT gamers
- paper barrels
- bait and switch
- base currency spikes
- news gapping
Usage Example: often "PAPER BARRELS" are netted (or should we say simply disappear?)
just ahead of the oil news release thus creating an expected shock on the official oil price.
Objective is producing a far more reliable oil price to be used for our algo computations .
Price won't be necessarily in line with official market price . It will try to filter all possible price manipulations it finds.
Research objective is to increase our proprietary algos effectiveness, not third party market making efficiency.
Here are some discussion highlights emerged during the Think-tank session.
Objective is to create a price feed slightly more efficient than WTI oil price feed.
- Creating an alternative pricing model for Oil could give us very high visibility in the industry.
- Consists in applying our Sniffer to filter oil price shocks ( currency shocks, leverage distortions, speculations...)
- All competitor algos adapt to the centralized price while we would produce an alternative price feed for our algos instead.
- An internal price feed on oil might give our algos the same advantage market makers get creating prices to their customers.
- The top speculative moment being when our price feeds dissociates the most from the standard accepted price.
- Objective of the alternative oil pricing model is increase algo efficiency without sticking to the standard oil (CL) price
Examples of Event Driven algos and Geopolitically triggered Algos:
Autoscalp Geopolitical Event manager: Is a plug-in for autoscalp sniffer composed by various sub modules.
It transforms every geopolitical event in a price feed under any aspect including triggers, envelopes and slopes.
A few event driven algos from Autoscalp are shown below.
|cryptocurrencies were the last human invented currencies. Next one will be made by A.I.||Our Think-tank not fucused on timing and trigger yet.
[to be updated after Davos 2018]
|massive liquidity drain and market crash, 20 times bigger than 2008 flashcrash||Within 2025 ,
as Quantum A.I. will crash blockchain univocal transaction ID
|if public is granted access to Shor algo computation crack snippets on quantum computers||as soon as Quantum computers become affordable all cryptocurrencies might disappear in just one day .||[waiting trigger]|
Cryptocrash day zero.
|IF Bitcoin ever had some sense was when value was 0.15$ not at 20000$. We expect to abruptly crash.||
within Chrismas holidays 2017
as trading volume shutsdown
|+33% Profit overshoot.
|Can't create a national superstate imposing a foreign currency.
Never worked in history.
Foreign pressure and PIIGS austerity mishap made
E.U. lack national identity
Now waiting next trigger:
or EU war with Russia.
| [waiting trigger]
|70 trillions european derivatives are concentrated in a few german banks but it relies on 3 wrong bets:
1) China and US are to keep buying EU bonds without ever checking what they are buying
2) they give for granted interests will be paid and thus are not considering altenatives
3) such loophole justifies reciprocal central banks fiat money policiy
but what if money flows elsewhere.
Example to places where conditions start improving ?
or in GCC
or next 11 countries
| [waiting trigger]
|Not a new concept, is just an European crisis consequence.
Although firmly denied by official media.
|After Italy and UK voted to EXIT EU at their referendum, was up to France to leave ths sinking ship and accelerate EU implosion.||Wait for trigger
Frexit posponed as Le Pen lost elections.
Hypothesis is that Greece and Italy bankrupted in 2012 but was denied by official media.
Free elections were forbidden while
austerity and IMF inspections increased their weights in PIIGS economies.
spike spotter triggers are:
ECB and IMF inspections triggering Ita-Banks domino.
as btp-bund spread touches max : buy.
(buy on panic rather than sell on hope).
|While mainstream media chose a pseudo-statistical "denial" of real information||We expected a Gold spike on Trump victory...||
|Used HFT to position on the day before brexit with the following basket:
EURUSD short XAUUSD long
|since feb. 2016 our Think-tank expected Brexit to happen.
"Brexit will be just first of many".
|Active defense Algo for Oil tanker management companies .
Counter-profiling oil price shocks and price manipulations.
|Does price arbitrage between a delocalized pool and centralized oil market pricing||
+20% Profit overshoot. Algo halted.
|As Russian economy can't withstand oil price touching 15$...||Sell oil till 20
buy below 20
+20% Profit overshoot. Algo halted.
|Centralized pricing , shale oil and paper barrels keep oil price down but in meantime a deteriorating geopolitical situation says the opposite.||For each week oil stays below 42 $ algo will buy .||
After a stop at -4% algo was allowed to restard and reached a
Started september 2015.
|Short HK Exchange when media posts concept of Shanghai improving.||Shanghai increased trading speed without a coherent collateral increment.
Algo will short until one is to match the other.
|Algo started in august 2015 .
Profited 2% month
and stopped out at -4% in first days of 2016
|For each "Varoufakis"
short 10M eurusd
|Each ECB or IMF 'help' for Greece has had a progressively reduced timespan:
|+20% Profit overshoot. Algo halted.
Was expected to run until end of october 2016
the higher number of C.V. we receive from PIIGS countries each week
we buy gold
|EU govts keep selling the lie that EU crisis is 'almost' over
but they know is a lie and speculate on it. How about reversing the trick?
+20% Profit overshoot. Algo halted.
Running till end of may 2016
Paper barrels can just fuel...
||Artificial price filtering:
WTI oil (paper barrel) was at 103 while in real world oil barrels were sold at 67.
Our Sniffer set an expected profit target at 85 ,mid price between them, and thus started selling from 96 .
|Paper barrels can't be delivered
paper/real spread widens,
correction is imminent.
Shorted at 96
application of the Square Wave Filter Model:
|Filter the geo-political situation from currency price||
Expecting USD/UAH return to 9.5 as panic eases.
No WW3 for Crimea!
and breaking news harvester:
if string "Russia,war,Ukraine" found in breaking news
Sell oil until price level returns before the Ukraine crisis
|Crimea which is far less strategic today than was in 1853.||
Almost all positions were closed at profit at leverage 1 maximum exposure with a +5% final profit in less thean 2 months.
|find specific word in the news:
|Alpha idea: if you hear "Cyprus"...is time to sell.||
Test result: +18%
|international market failsafe:
market failsafe exploit
|when market failsafe is "on"it means to stay short||
Test result: +2.5%
the 4 july
||multiple news handler:
ECB interest decision,
4 july holiday,
Non farm payrolls
|with 3 news and no liquidity... stop hunting rules the show||
Examples of Counter Profiling Algo :
Name: sniffer swarm
Class: counter profiling
the fine art of muppets hunting, aka the six "S" : skewing, slippage, spreading, spiking, spoofing, sniping.
On 11 december 2013 we have set our autoscalp proprietary Sniffer and our proprietary pricing model togo stop hunting against retail positions (counter profiling) during the 1.38 eurusd barrier breakout day. Result astonished us too: +18% at leverage 20 , that is 0.9% at leverage 1.
25 november 2013 autoscalp proprietary Sniffer and our proprietary pricing model operating on spot.
This shows the prototype of a new class of sniffer algos, which are mostly concentrating deals hunting for diluted counterpart stops , hidden in fragmented iceberg positions .
5 november 2013 autoscalp proprietary Sniffer and our proprietary pricing model operating on spot.
It profited merely exploiting the flawed OHLC pricing model used by most counterparts.
HFT Model positioning was broadcasted live on our twitter page resulting in +0.6% at leverage 1.
Example of a raw Alpha idea:
(Algo creation in think-tank meeting)
Name: anti failsafe (US SHUTDOWN DAYS)
Class: counter profiling
Type: spike hunting
trigger: sentiment over-reaction exploit
While shutdown was public domain and its panic was not eased
but just stabilized , a smaller amout of news was enough to trigger
a market over-reaction as volatility spikes
tended to ingnite with much less energy than usual.
Producing very fast high spikes on few instruments.
Liquidity pockets were funnelled much faster than usual into fewer instrument ,
situation which tends to dilute and dissolve fast at first signs of panic easing.
average profit result: +3.83% each day it traded.
The days the algo was allowed to trade during shutdown days were
only the ones that triggered further panic :
- the day when #shutdown hashtag reached its peak
- the day when payrolls data were NOT released
- the day when gold market crashed
- the day when shutdown was removed
Example of different algos running in sequence:
Switch from trend follower to event driven
october 16 2013
october 11 2013
october 4 2013
october 3 2013
Copyright Notice: our proprietary algos have to be considered intellectual property
and are NOT avaliable for public access or grid distribution. See disclaimer on bottom of page.