Position entrance guidance - Directional Change Limit Orders
The 1st winner has the unique chance to join Lykke on the offering of Dirctional Change Limit Orders to customers
The competition and voting have completed. Winners were determined by the citizens of Lykke City.
Days of the project
Nov 4 - Dec 20, 2017 (45 days)
Nov 4 - Dec 17, 2017
Dec 17 - Dec 20, 2017
Money management is one of the most important and least understood aspects of trading, even though it, in the end, makes the difference between a profit or a loss. Traders often enter trades without any kind of exit strategy and are thus more likely to take premature profits or, even experience losses. At Lykke, we are working on offering the best services to traders. With the help of redefining the way we look at time - intrinsic time, we have created a position entrance guidance system. To continue working on our innovative position entrance system - Directional Change Limit Orders- and to make trading more fun, profitable and safe, Lykke wants your help to shape the future of investing.
We are looking for talented persons (developers and quants) to help Lykke team to work on our innovative Directional Change Limit Orders. Upon successful completion of the project, you have the unique chance to join us.
At Lykke we're in the process of redefining the way how time is looked upon in financial markets. Leading to a long needed paradigm change, namely from observed physical time to an activity based timescale, called intrinsic time. In contrast to the continuity of physical time, now only interactions, or events, let a system’s clock tick. This event-driven paradigm defines focal points by blurring out irrelevant details of the price evolution with the help of defining fixed event thresholds of different sizes.
With these events, every price curve can be dissected into components that represent a change in the price trend (Directional Change) and a trend component (Overshoot). For a Directional Change to be detected, ﬁrst an initial direction mode needs to be chosen. As an example, in an up mode an increasing price move will result in the extremal price being updated and continuously increased. If the price goes down, the diﬀerence between the extremal price and the current price is evaluated. If this distance (in percent) exceeds the predeﬁned Directional Change threshold, a Directional Change is registered. Now the mode is switched to down and the algorithm continues correspondingly.
Definition of Directional Change Limit Order
With the help of these events, limit orders can be placed into the market. Namely, by evaluating the point, where the next directional change point would be located, given the current price. At this point, which would represent a Directional Change event, given the current price, a limit order can be placed. This limit order is then called a Directional Change Limit Order.
Directional Change Limit Order App
The Directional Change Limit Order App offers an easy way for customers to place orders at Directional Change events and Overshoots.
We invite all researchers to familiarise themselves with the following two papers about intrinsic time and to write a document or code an app how intrinsic time could be used to offer a simple trading product to customers. A product, offering an easy, automatic way of opening and closing a position, driven by the Directional Change framework.
Published papers about intrinsic time - Directional Change
One paper covers FX scaling laws “Patterns in high-frequency FX data: discovery of 12 empirical scaling laws”, James B. Glattfelder, A. Dupuis, R.B. Olsen and another paper covers an intrinsic time-based trading algorithm “The Alpha Engine: Designing an Automated Trading Algorithm” by Anton Golub, James B. Glattfelder, and Richard B. Olsen.
Patterns in high-frequency FX data: discovery of 12 empirical scaling laws: https://arxiv.org/pdf/0809.1040.pdf
The Alpha Engine: Designing an Automated Trading Algorithm: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2951348
Requirements for the work
Please present your idea in a short document, code, video etc. on how intrinsic time (Directional Change Limit Orders) could be used to offer a simple trading product to customers.
Any formulas or plots should be also included in the document.
Please attach your CV
The first prize is the opportunity to join Lykke team in working on the offering Directional Change Limit Orders to customers!
Additionally, the first 4 contestants will receive a prize money of 400, 300, 300, 300 $.
A few disclaimers:
There is no guarantee of winning a prize. The prizes are only awarded to entries that the Lykke judges find worthwhile. Prizes are awarded in Lykke coins, which may be redeemed for currency and sent to your bank. You must be at least 18 years of age. You must not submit twice — your first submission is the one that counts. You will be responsible for declaring your own income to your local tax authorities. All submissions will be disclosed to the public. The prizes are given at Lykke’s sole discretion. The decisions of the judges will be final — there is no appeals process if your project does not win a prize. No other compensation will be given at this stage.
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For this project, none of the submitted results matched our experts expectations, so we decided not to award the first prize.