Investment Professionals are under pressure to be more quantitative in their process. Many Analysts and PMs are continually asked to validate their signals, strategies, and money management practice. Very few have the time to learn coding languages, or the time and resources to hire and manage a programmer, but they still have an urgent need to test and benchmark new ideas on a continuous basis. In this presentation, Mathew Verdouw, CMT, CFTe will explore some of the issues above and illustrate a simple quantitative approach to validate different technical ideas and generate consistent reports that benchmark strategies without introducing the biases of traditional back-testing. Mathew will explain the most important statistical measures every technical analyst needs to know and what they really mean. Finally, he will show how to measure the true impact of Stops and Targets.

161023_2016 Conference - Verdouw, Mathew

Markets have been changing over the years particularly with the introduction of algorithmic methods. The changes are not even, there are major differences in behaviors between individual markets. We will take a look into the evolution of Algorithmic Trading to show how well known Technical Analysis concepts have reacted to these new forces driving price behavior. Traders with a proper mindset, ready to face changes, and with required skills may choose to approach the markets using automated algorithmic tools. Can traditional Technical Analysis find its place in this continuous improvement? Can we code basic concepts to take advantage of the speed and multitasking capability of computers? These questions will be analyzed as well as the areas where machines are still one step behind human beings. We will look at the different types of algorithmic trading to identify where we might place ourselves. We will also show how to evaluate the effectiveness of our scripts so as to build realistic expectations before “going live”.

161023_2016 Conference - Unger, Andrea

Gary draws on his twenty-year research and trading experiences with mechanical systems to present specific technical analysis techniques that best suit the time poor DIY investor that wants to outperform the market and the mainstream investing avenue of mutual funds, for many years to come. The outcomes of his research and the practical use of these technical analysis techniques as profitable timing tools are discussed. With emphasis on profit through practical process rather than through theoretical perfection. Based on his research and ensuing trading outcomes, Gary will summarize which techniques are better suited to different investing timeframes and personalities, given that 91% of everyday people in the United States invest for retirement, making this DIY investing journey a decades long pursuit, not a jaunt that lasts just a few months to a year or two.

161023_2016 Conference - Stone, Gary

Analyzing the Japanese stock market under Abenomics utilizing the Japanese Technical Cycle analysis in combination with fundamental approach for achieving better return. This “cycle view” of the Japanese market will be examined in four main phases.

Ideal Cycle

Remarkable improvements in corporate earnings do not show up yet

The effect of monetary and/or fiscal policy is expected to appear in the near future

Actual Cycle

Remarkable improvements in corporate earnings emerge

Individual stocks with remarkable expected or actual earnings improvements are bought.

Bubble Cycle

Market is considerably overheated

This is likely to be followed by a sharp fall.

Temporary rebound in a declining market

After that, the market tends to enter a selling climax or an inactive phase, alongside deteriorating corporate earnings.

161023_2016 Conference - Nakamura, Takashi

An insisive look at the prospects for the Japanese Stoc Market. (Late addition to the program.)

161023_2016 Conference - Homma, Akira

Most traders fail to understand the breadth of risks associated with the management of a trading business. In large part this is due to the fact that most trading experts including many speakers at IFTA and ATAA conferences as well as most trading books and courses restrict their discussion of risk to two main topics. Where should I put my stop? and How big should my position be? Whilst discussion of these issues is critical for trade management they often fail to consider the interconnectivity of our complex world and the risks we experience both in trading and life. The purpose of this micro lesson in risk management is to make you think differently about a number of common risks that we all experience as traders.

161023_2016 Conference - Harvey, Stephen

The art of trading pullbacks requires us to buy on weakness and sell on strength. When markets are in up trends, buying a pullback will offer a low risk opportunity. Same as when the market is in down trend, shorting rallies will offer a low risk opportunity. The question in the mind of pullback traders is: how could one differentiate a healthy pullback and a sustained move in the market? In this presentation, I will explain how to use a multiple time frame approach to solve this problem. I will explain each indicator that I use and show back-testing result from the method.

161023_2016 Conference - Firdaus, Muhamad

Introduction of some newly developed tools based on RRGs and how to use them to navigate financial markets including some preliminary results based on potential signals.

161023_2016 Conference - deKempenaer, Julius

What if we could quantify the sentiment of market participants to improve our market timing and keep us on the right side of the market? In this lively and thought provoking presentation, Alan will seek to demonstrate how the term structure of volatility futures can be used as leading indicator to determine the future direction of the stock market with high accuracy. In a real world example, he’ll step through the process of using this input as the basis for a trading strategy. With the management of risk a key part of any strategy, Alan will apply a number of filters and controls and also look at how intermarket measurements can be used as a reliable method to determine risk in the overall stock market. Alan will also illustrate how the basis of the resulting strategy can be applied to multiple markets to increase diversity and maximise profit opportunity. Full quantitative results and metrics will be shown throughout. This use of sentiment and intermarket analysis as quantitative inputs will be sure to whet the appetite of practitioners who are otherwise predominately focused on price-based models.

161023_2016 Conference - Clement, Alan

As technical analysts, we are used to define a trend by its visual structure: but this is just the surface of the story. What does “trend” and “trading range” really mean in terms of profitability? How you can use the market itself to generate essential information on its own response to directional techniques and models? Can this information be used as an operational filter? In the first part of his talk Francesco Caruso will present the construction of a directional model based on the Heikin-Ashi technique and will discuss the implications of the results, focusing on the statistics.

In the second part, he will discuss the application of this directional model to asset allocation through a multi-portfolio strategy, invested in the most common asset classes (equity indices, gold, government bonds, emerging markets bonds, high yield bonds, cash) through ETF?s. He will focus on the construction, the statistics and the results. These strategies are currently traded successfully in a UCITS V fund with certified performance and were implemented for several years in institutional managed accounts and in advisory with public track records.

161023_2016 Conference - Caruso, Francesco

We all know that technical analysis is NOT about certainty, but about probability. We understand that technical analysis tools sometimes fail. We already accept this failure as part of technical analysis theory. We survive because we recognize probability and we follow good risk management. People try to increase the probability of success by improving and combining technical tools, but they never get to 100% accuracy. Sadly, even if traders enter a trade correctly, they tend to sell for a profit too soon. When a loss occurs there is a tendency not to sell, to allow the loss to grow, to hope. Losses can be significant, or even catastrophic to the trader. Lack of risk management, lack of trade disciple or lack of psychological understanding may be the cause. Sometimes, the blame is levied at technical analysis itself. To solve this problem, the “Power of Alternation” is proposed. It is used by many traders already but it is not yet formalized or included in the curriculum of Technical Analysis education. This concept, that I call “The Power of Alternations” uses the failure phenomenon and turns it into our advantage, then increases the probability of success trading. I hope this concept, “The Power of Alternation”, will teach both practitioners and students of technical analysis a concept and skill that will improve significantly the probability of success and decrease any disappointment in the discipline of technical analysis.

161023_2016 Conference - Alfatih, Muhammad

The concept of cycles is very popular among technical analysts. Books and articles define them in various shapes and lengths. They are also very appealing to investors since they imply the old idea of buying low and selling high. Unfortunately, trading is not that easy and in reality, identifying and measuring cycles properly seems to be very hard. Most of the tools suggested fail since asset prices behave non-linear and most of the properties are time depending.

This presentation describes a technique to identify cyclical behavior called Empirical Mode Decomposition (EMD). It is designed to split a time series into a bundle of different cyclical movements and a remaining trend. For each component, an empirical frequency could be derived in a second step. EMD is designed to deal with non-linear and non-stationary time series. The single steps to run EMD will be explained in detail. Afterwards, different ways of how traders might use this technique will be discussed.

161022_2016 Conference - Wetzer, Rolf

Technical analysts do not always agree how to define pivot levels of support and resistance. They do not always agree which points to join to draw a trend line. They do not agree on how to set targets from trend line breaks. With all this subjectivity it is impossible to test the effectiveness and profitability of trading using trend lines.

From a desire to find more representative points of pivot, we found through study an objective way to draw trend lines. First they were horizontal support and resistance lines. Then with sloping lines we found we were able to project future support and resistance levels from our automatically generated Power Lines and then Power Channels.

In this talk, Trevor Neil will show you how to use a constant approach to isolating support and resistance pivots. How to generate a series of lines which have proven predictive characteristics. From this a systematic approach has been developed and will be covered in full today.

161022_2016 Conference - Neil, Trevor

Daryl will look at how markets are changing and how this will influence the effectiveness of Technical Analysis leading to changes in how Technical Analysis will also change and develop. He will look at the issues of HFT, growth on ETFs Algo Trading and Liquidity concentration. How will this effect traditional Chart Analysis? What impact will it have on trade execution? How will traders and Technical Analysis survive in these new market and technology conditions?

161022_2016 Conference - Guppy, Daryl

In his two-part talk John Bollinger will first compare and contrast the benefits and weaknesses of two conceptually different approaches to generating trading system ideas, first principles and search. In the second part of his talk he will present SystemView, a new open-source software project written in Python. SystemView visualizes trading-system data and is especially useful for understanding system-performance dynamics where the data may not be normally distributed, making traditional system performance summary statistics moot.

161022_2016 Conference - Bollinger, John

The old saying “Sell in May and go away” is often used as a market timing tool by investors. In his talk, Adam Sorab will summarise some of the research his hedge fund company has had conducted with researchers at the INSEAD business school to test the “Sell in May” hypothesis.

He will also discuss trading strategies designed on the back of this research to exploit observed seasonal characteristics and he will compare their results with buy and hold investment strategies. The results are both surprising and illuminating. While selling in May can be very effective; other months also have similar tendencies. In fact, there are several better ways to exploit seasonality when investing in and exiting the stock market.

161021_2016 Conference - Sorab, Adam

Combining advanced education with professional certification has been a recognized winning combination for professional technicians and technical traders. This presentation will illustrate how advanced education in behavioral finance and technical analysis education, together with a certificate in technical analysis, has been and can continue to be a pathway for personal growth and renewal.

161021_2016 Conference - Pruden, Hank

In his presentation, Jonathan Pain takes his audience on a journey around the world from West to East, via the Middle East. We live in extraordinary times and it is important that we identify the key factors and forces that are likely to shape the topography of the global economic landscape in the decades to come.

The simple truth is that the world simply has too much debt. Similarly, we live in an Alice in Wonderland World in which we have approximately $10 trillion of negative-yielding debt and markets are beginning to question the efficacy and omnipotence of monetary policy. At the same time, we continue to see the rise of the Asian middle classes which have the capacity to be a major force in shaping both the global economic and geo-political landscape. What does this all mean for financial markets and the global economy in the years and decades ahead?

161021_2016 Conference - Pain, Jonathan

This presentation (drawn from the winning MFTA paper) proposes a new method of determining Trend Days (hereafter called Entropy of Market Profile, or EMP) that builds on Steidmayer’s original discoveries by incorporating price action on prior days. EMP is calculated by dividing the area of Market Profile (accumulated quantity of prints) by the height of the daily Market Profile. A Trend Day is considered to have occurred in the event that the EMP value is low.

This MFTA paper is scheduled for publication in the 2017 IFTA Journal. In this presentation, a Trend Day usually occurs when EMP 2.0 is less than “-1s” from the mean. Tests were conducted on four futures markets, Nikkei 225, 10-Year JGB, Gold and Crude Oil to determine under what conditions EMP 2.0 occurred. These tests concluded that the new method improved on the conventional method in the Nikkei 225 and showed no significant difference in the other three markets.

161021_2016 Conference - Nishimura, Miyoko

Markets have been more difficult to trade lately, especially with the increasing volatility, more specifically during the past few years. One of the tools that technical analysts have been using since a long time is “mathematical indicators”. Many traders have been using indicators in their classical form without making much changes either in their calculations, or interpretation. Our speech will deal with new ways to interpret and use indicators; in addition to trying to understand how to use indicators in the best possible way to try avoiding bad signals (or whipsaws) as much as we can.

One of the main issues with technicians for example is depicting overbought and oversold areas. As most of us know, it is difficult to depict an overbought situation during an uptrend, or oversold during downtrend; we will discuss this issue and search for the golden indicator that enables us to do that. We will also see how to overcome some whipsaws by very simple tactics (the 4,9,18 will be used as an example). By the end of the speech we will make a little brainstorming about some issues that have been always mentioned as facts, and think together if the information that we have always been taught are correct or not.

Playing with indicators

- Using Stochastic with MACD during an uptrend

- Slight modification on the 4,9,18 system to overcome whipsaws

- The best Overbought and Oversold indicator ever

- Using the +DI and -DI spread to catch divergences

- Food for thought: The stochastic is not a momentum indicator

161021_2016 Conference - Nasser, Saleh

Next Generation of Magic Numbers is an extended version of the “Golden Ratio” , 61.8% Fibonacci Retracement level which is 72% AWJ Line. Credit to his mentor who founded the figure, Nik Ihsan has implemented a short-term trading system which consistently picks the bottom and the top along the established trend.

In his presentation Nik Ihsan will demonstrate the positive correlation between momentum which uses the variation of Fibonacci numbers as a nominal value indicator, and the 72% retracement level. The correlation of these two elements gave Nik Ihsan an edge to determine future price movements, creating a viable trading plan and increasing the overall profitability of the stocks portfolio. He will also present the limitations of the system and how to overcome it by adding additional structured variables into his analysis.

161021_2016 Conference - Ihsan, Nik

Breakout trading is one of the most popular forms of short term trading in use around the world today and that’s because it simply works. Breakout trading is momentum trading following a breakout from a point of agreement. A key feature of this style of trading is that breakouts can occur regardless of what the broad market is doing (rising, falling or even moving sideways) and therefore it will find traction in most market conditions.

Alan will explain the key concepts behind breakout trading, describe each of the indicators he uses in detail and show back-testing results going back over five years. Finally, Alan will run through a mini breakout trading workshop to demonstrate the mechanics of this approach.

161021_2016 Conference - Hull, Alan

Y Ratio (BPV Ratio) is a new indicator incorporating a new volatility measure that reflects distortions in return distribution. It is a simple and effective measure of the existence/ non-existence of meaningful information in the market and trend sustainability. It is applicable to program trading and is easily implementable. It is also useful for projecting markets. This presentation will illustrate how this indicator is composed, how it is applicable to program trading, and how it can be used for market projection.

161021_2016 Conference - Homma, Akira

This presentation focuses on improving the fundamental based “Low-Risk-Approach” by using technical Trend-Following-Strategies. Stock with e.g. a low Beta are known to outperform in the long run the more volatile, high Beta Stocks, so, Low-Risk-Strategies are known to have higher risk adjusted returns. But applying a relevant timing strategy (i.e., a moving average or high momentum) will even more enhance the risk-adjusted return.

This presentation focuses on ETF-Sector-Rotation-Systems and will give examples of Dynamic-Asset-Allocation-Strategies by applying Trend Following Strategies in the process of portfolio optimization. A portfolio, constructed from trend filtered Sector ETFs, by also taking into account the overall trend of the benchmark, shows significant better risk measures, such as lesser drawdowns, higher return and lower volatility compared to the Benchmark.

161021_2016 Conference - Bauer, Gregor

Melbourne Quant One Day Seminar: Robert will introduce the concept and principles behind System or Quant Trading.

Introduction to the one day "Quant Seminar" - Robert Grigg

Melbourne Quant One Day Seminar: In this session, Alan will outline the theory and the practical steps required to develop a robust trading strategy. He'll discuss such areas as: What makes a good trading system? How do we know if one entry or exit is better than another? How do we come up with a trading system that suits our personality and lifestyle, and meets our trading objectives? Alan will also outline the process of investigating, testing and quantifying trading ideas - as well as pointing out some of the pitfalls typically made along the way. He will demonstrate the role skill and luck play in trading and will show why some entries and exits work better than others. He'll also discuss why just getting the market direction right is not enough to make consistent gains over the long run.

160828_Quant Seminar - Clement, Alan (Theory)

Melbourne Quant One Day Seminar: In this session, Alan will give a practical demonstration of creating a trading strategy using the Amibroker platform. He'll take an idea from a chart observation through the full development lifecycle of coding, backtesting, adjusting, optimising and validating. This will also be your chance to input your own ideas to the development and see the effects on the results. If you have Amibroker available on your laptop, you are welcome to follow along with the examples.

160828_Quant Seminar - Clement, Alan (Practice)

Melbourne Quant One Day Seminar: Bruce will outline his approach and experiences in the designing, developing and testing of a trading system.

160828_Quant Seminar - Wood, Bruce (Rules)

Melbourne Quant One Day Seminar: A practical review of the “TechTrader” “Rules Based” trading system.

160828_Quant Seminar - Wood, Bruce (Tech)

Melbourne Quant One Day Seminar: Gary will demonstrate how some well-known technical indicators can be used in a quantitative manner to time entries and exits on a longer term timeframe. He'll show how this can be especially useful when trading ETFs, indexes and large cap stocks in Australia and the USA, particularly when coupled with leverage to boost returns when the market is trending.

160828_Quant Seminar - Stone, Gary

Speaker: Mark Bennell

Topic: How and What I Trade

Note: Audio is degraded. Mark has been trading full time for 7 years, having traded for 3 years part time prior to trading full time.

161010_Melbourne - Bennell, Mark

Speaker: Dale Gillham

Topic: Smart Traders Know When to Get Out

Note: Audio is degraded. During this in depth presentation Dale will discuss,

• Why, when entering a trade, your thinking is different to the way it is when managing and exiting a trade. More importantly, why you need to have the right strategy to manage the decisions you make.
• When is an exit not an exit, but rather a signal to get ready to buy more?
• Why traders often mistakenly think they are trading with a trend.
• Timing your entry and exits to give you a high probability of success.

Anyone can get into a trade, that’s easy, even a monkey can do that! But, managing a trade to the right exit requires a very different level of skill. Rely on a monkey to do that and you could end up with what monkeys make, peanuts.

161010_Melbourne - Gillham, Dale

Speaker: Johnathan Barratt

Topic: Weather, the Last Frontier

In this presentation Jonathan will introduce the weather as a viable investment alternative. He will walk through an example of how he analyses the data will discuss a few trading strategies he has found to be successful.

160516_Sydney - Barratt, Johnathan

Speaker: Cameron Madlani

Topic: Trading Automation

In this presentation, Cameron will discuss a range of topics including,

- How Trading Robots affect the financial markets

- Real world examples of trading automation

- Semi-automated trading

- Managing positions with Trading Robots

- How Trading Robots can make day trading profitable ? real life examples

- This presentation will provide a solid overview of the world of automated trading

- How Trading Robots affect the financial markets

- Baby steps to automation. How to automate your trading

- Explore various automation techniques

- Learn how to adapt their trading to take automation into account

- Learn how to manage positions using semi-automated trading robots

160215_Sydney - Madlani, Cameron

Paul has been a member of the ATAA for about 20 years and has been Victoria’s ATAA President for more than 12 years. For his services he is now a Life Member. After studying Gann he became a Futures Broker before becoming a private trader. Paul will show how looking at significant ranges in the history of a stock can be a broad brush indication of possible targets going forward. Paul will presenting valuable analysis and research done by Keith Mundy.

Looking Back to Project Forward - Paul Ash

When investing or trading in the equities market it is very important to think about how to manage the risks, and how to optimise your position size. This is important to both protect your capital from any downside risk, and to maximise your profits - every extra dollar is very useful. And it doesn't matter whether your investment capital is only $5,000, or $5 million.

There are many ways to manage all this, but which is best? What are the arguments for and against using exactly the same size position every time? Is a position size of only $500, or perhaps $1,000 a good size for the new investor/trader? Should we enter a position using a phased approach? That is, half now and half later? Or in thirds, perhaps? What do we mean by "amount at risk"? How is this related to the initial stop loss value and the actual position size? How can we set this so that we can still sleep at night, and it won't matter if the share price falls by, say, 20 percent? This session will be an interactive workshop, with questions, input and discussion from start to finish.

Trading in Practice - Robert Brain

Gary will share simple techniques to assist traders get their heads in the 'correct space' and keep them there. He will explain how to incorporate continual improvement techniques into trading plans and demonstrates using his own experience the importance of beliefs in the successful ?actioning' of trades. Gary will describe how to build trading confidence based on a system of beliefs. He will show how each trader can discover for themselves the "big market concepts" that provide the basis for a unique approach to trading and investing. Gary will also share some examples of his most powerful candle setups and describe how to look for hidden clues within these structures. Finally, he will present a persuasive argument for the use of stop losses and explain how to position size for share market success.

Allowing the Trade to Work for You - Gary Fraser

In this session Chris will outline the probability based Escalator Strategy that has been used by Chris and his clients to achieve Hit Rates of up to 70% and an Edge Ratio around 7. The approach is used by different members of his team in time frames that range from 10 to 60 seconds through to weekly and monthly. The inherent technical parameters indicating the start and end an Escalator will be reviewed. The benefits and short comings of Escalator trading will be discussed. But importantly Chris will outline the psychological demand required to apply the Escalator Strategy successfully.

Escalator Trading Strategy - Chris Shea