Quant Systems

Context Analysis Dashboard: Essentials

Context Analysis for Day Structure Studies

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overview
Market context analysis based on:
  •  Price action
  • Fundamental market principles
  •  Statistical methods

The context dashboard is a research and real-time analysis tool that helps you more quickly develop and accurately calibrate your expectations.

Why CAD?

I created CAD to address my own need to accurately study market context. I had already built 4 systems and was ready to spend more time outside of signal study, but could not reliably configure a context study from the data I was extracting from the trading platforms I used. I was familiar with Excel, so I first tried building CAD there. However, once I had over 100 features and 200,000 rows of data, the application regularly crashed, and it was impossible to track the formulas used across the many semi-functional dashboards. 

Over the next two years, I built the beta version of CAD then, after more than a year of regular use from SA2 students, migrated to the v1 product you see today. I learned a lot from the students who used it and have incorporated that into the new version in addition to many other enhancements, features and improved statistical processing. 

We are excited to make CAD publicly available for the first time and look forward to hearing how you use it in your research and live trading.

Where to Begin

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1

Read

We suggest that you start by reading the "statistical methods" section in your dashboard. This primer explains the statistical methods we use, why they are significant, and how you should understand their output. 
2

Apply

Begin organizing your first study. Keep it simple and before you conduct novel research first reproduce one of the study conditions proposed in the case studies. Once you are comfortable navigating the dashboard you can develop more sophisticated scenarios.
3

Study

Find charts that express the scenarios you developed and create context-specific study-plans to help you internalize the variations the scenario expresses. These will help you tune your calibrated expectations and begin to think in probabilities.

CAD Essentials Best-Practices

What's the best approach to structuring my queries for research?

For optimal results, use this format to structure your queries:
  1. Apply a single filter condition
  2. Study the effects on the probabilities for each feature. This will guide you to other conditions to add to your study.
  3. Add at most 2-3 additional filters that narrow the results
  4. Re-examine the effects of the additional filters on the probability distributions for the remaining features.
  5. When you have a filter condition that produces context scenarios across the remaining features which you would like to study, scroll through charts in your trading platform to find days that meet the same filter criteria and study them.
  6. Keep in mind that this is a preliminary analysis. After you have done your first pass in your charting platform, return to CAD and refine your filter conditions to better define the scenarios you wish to study.

What's the best approach to structuring my queries for live trading?

The most useful way to integrate CAD in your live trading is to use it to develop your trader's imagination in real-time–to appreciate the distribution of possible and probable outcomes. For optimal results, use this format to structure your queries:
  1. If trading the open, start by applying a regime filter and opening gap data.
  2. Study their effects on the probabilities for the early session feature and use these to calibrate your expectations for both the high and low probability outcomes. 
  3. Update the filters throughout the trading session but do not add every price action feature that occurs as the day progresses. Instead, preserve at least one high timeframe input (eg. a regime filter or location of the previous day's close) then add the two recent features that most recently updated their values. This avoids the common impulse to try to match the current day's price action precisely to something that has occurred before.

What's the minimum sample size I should aim for when filtering?

For statistical reliability, your filtered results should include at least 100 historical instances (trading days).

How many filter conditions can I apply simultaneously?

While the system technically allows multiple simultaneous filter conditions across different market variables, we recommend limiting to 3-4 key conditions for optimal statistical significance. While CAD has a large reference dataset, applying too many filters can result in over-fitting and reduce the sample size to statistically insignificant levels.

Case Studies

Practical applications of the Context Analysis Dashboard

These case studies provide models for how to think about context study and how the Context Analysis Dashboard can be used in your process. The Education Hub in the dashboard contains more examples and suggestions for conducting your own studies. 

Beginning to Think Probabilistically with CAD Essentials

How Opening Gaps Transform Market Extreme Timing

Start your first context study today

Ali Moin-Afshari

Systematic Trader
ABOUT ALI
Ali Moin-Afshari is the founder of Quant Systems and course creator of the Systems Academy program. He has had a successful +20-year career in IT and telecom, working as an architect, consultant, and founder of two IT companies. He began his trading career initially as a side business in 2007 and became a full time trader in 2014. He is a systems expert and has designed,  developed, and programed more than 200 trading systems.

James Regan

Systematic Trader
Systems Academy Coach
ABOUT James
James Regan is one of SA2 top graduates who has done stellar work in coding and system design. James brings a lot of educational and training expertise along with his computer programming and system development skills. He has been one of the very few Quant Systems trained traders who excels in both quantitative and discretionary trading. 
Get in touch

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     We look forward to hearing from you.