502 search results for "TRADING"

A Hammer Trading System — Demonstrating Custom Indicator-Based Limit Orders in Quantstrat

August 18, 2014
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A Hammer Trading System — Demonstrating Custom Indicator-Based Limit Orders in Quantstrat

So several weeks ago, I decided to listen on a webinar (and myself will be giving one on using quantstrat … Continue reading →

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A Simple Shiny App for Monitoring Trading Strategies – Part II

August 7, 2014
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This is a follow up on my previous post “A Simple Shiny App for Monitoring Trading Strategies“.  I added a few improvements that make the app a bit better (at least for me!). Below is the list of new features : A sample  .csv file (the one that contains the raw data) A “EndDate”  drop

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FRAMA Part III: Avoiding Countertrend Trading — A First Attempt

July 2, 2014
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FRAMA Part III: Avoiding Countertrend Trading — A First Attempt

This post will begin to experiment with long-term directional detection using relationships between two FRAMA indicators. By observing the relationship … Continue reading →

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A Simple Shiny App for Monitoring Trading Strategies

June 25, 2014
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A Simple Shiny App for Monitoring Trading Strategies

In a previous post I showed how to use  R, Knitr and LaTeX to build a template strategy report. This post goes a step further by making  the analysis  interactive. Besides the interactivity, the Shiny App also solves two problems : I can now access all my trading strategies from a single point regardless of the instrument traded.

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Trading in a low vol world

June 22, 2014
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Trading in a low vol world

I wanted to take a look at what works in low vol environments, such as we are currently experiencing. I am open to the idea we have entered a period of structurally low volatility due to increased regulatory burden and flow on effects from the dec...

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Using Genetic Algorithms in Quantitative Trading

March 14, 2014
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The question one should always asked him/herself when using technical indicators is what would be an objective criteria to select indicators parameters (e.g., why using a 14 days RSI rather than 15 or 20 days?). Genetic algorithms (GA) are well suited tools to answer that question. In this post I’ll show you how to set

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Two interesting ideas here: “trading time” price impact of a…

October 29, 2013
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Two interesting ideas here:
“trading time”
price impact of a…

Two interesting ideas here: "trading time" price impact of a trade proportional to exp( √size ) Code follows: require(quantmod) getSymbols("MER") #Merrill Lynch #Gatheral's model HiLo Op(symbol) #munging mer names(mer) = "UpDay"names(mer) = "HiLo" mer ...

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Trading Strategies Performance Report with R and Knitr

October 18, 2013
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Trading Strategies Performance Report with R and Knitr

I’ve been looking for template reports using R and Knitr for a while but I didn’t find anything that suits my needs so far. I therefore decided to create them myself. What I like to see about trading strategies are basic performance charts (daily, monthly and yearly), some basic trading statistics and above all most

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Trading Strategy 1: What goes up, goes up…

June 26, 2013
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Trading Strategy 1: What goes up, goes up…

As I said earlier, my main task at my internship is to hunt for profitable strategies. As you can imagine, strategies can range from the exceedingly simple and easy to implement, to the crazily complex. Let’s start out with one … Continue reading →

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Scenario analysis and trading options using R

June 16, 2013
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Scenario analysis and trading options using R

I present you with my restructured project on options trading and scenario analysis. You are more than welcome to try it out. Firstly, I will give a small presentation that will reveal what you can do with it and whether you need to continue reading. T...

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