Blog Archives

Nuts and Bolts of Quantstrat, Part IV

September 24, 2014
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Nuts and Bolts of Quantstrat, Part IV

This post will provide an introduction to the way that rules work in quantstrat. It will detail market orders along … Continue reading →

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Nuts and Bolts of Quantstrat, Part III

September 20, 2014
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Nuts and Bolts of Quantstrat, Part III

This post will focus on signals in quantstrat. In comparison to indicators, signals in quantstrat are far more cut-and-dry, as … Continue reading →

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Nuts and Bolts of Quantstrat, Part II

September 16, 2014
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Nuts and Bolts of Quantstrat, Part II

Last week, I covered the boilerplate code in quantstrat. This post will cover parameters and adding indicators to strategies in … Continue reading →

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Intermission: A Quick Thought on Robust Kurtosis

September 10, 2014
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Intermission: A Quick Thought on Robust Kurtosis

This post was inspired by some musings from John Bollinger that as data in the financial world wasn’t normally distributed, … Continue reading →

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Nuts and Bolts of Quantstrat, Part I

September 8, 2014
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Nuts and Bolts of Quantstrat, Part I

Recently, I gave a webinar on some introductory quantstrat. Here’s the link. So to follow up on it, I’m going … Continue reading →

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The Limit of ATR Order Sizing

September 2, 2014
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The Limit of ATR Order Sizing

Before beginning this post, I’d like to notify readers that I have a webcast tomorrow (Wednesday, Sep. 3) at 4:30 … Continue reading →

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Comparing ATR order sizing to max dollar order sizing

August 29, 2014
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Comparing ATR order sizing to max dollar order sizing

First off, it has come to my attention that some readers have trouble getting some of my demos to work … Continue reading →

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VCI — The Value Charts Indicator

August 23, 2014
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VCI — The Value Charts Indicator

So recently, I was made known of the Value Charts Indicator , which was supposed to be some form of … Continue reading →

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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 John Ehlers oscillator — Cycle RSI(2)

August 11, 2014
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A John Ehlers oscillator — Cycle RSI(2)

Since I’ve hit a rut in trend following (how do you quantify rising/falling/flat? What even defines those three terms in … Continue reading →

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