Blog Archives

A Year of Using RStudio

February 25, 2014
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A Year of Using RStudio

It has been more than a year since I decided to give RStudio yet another try (yes, there were previous attempts) and … I can’t live without it today! Nowadays I use it almost 100% of the time when working on R code, but the reason is not just a preference over my favorite editor/environment

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Analyzing the DVI Indicator – Entry Power

January 15, 2014
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Analyzing the DVI Indicator – Entry Power

In a recent post, I did some analysis of the efficiency of the DVI indicator. That was pretty much all I had to say back then, but that quickly changed. While reading Building Reliable Trading Systems, by Keith Fitschen I stumbled upon an alternative way to visualize entry efficiency – the entry power. The chart

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2013 Summary

January 6, 2014
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2013 Summary

2013 was a tough year. Trading was tough, with one of my strategies experiencing a significant drawdown. Research was tough – wasted a lot of time on machine learing techneques, without much to show for it. Also made some expensive mistakes, so all in all – it was a year I’d prefer I had avoided.

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Analyzing the DVI Indicator

November 30, 2013
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Analyzing the DVI Indicator

The DVI indicator is a well-known indicator, created by David Varadi from CSS Analytics. It was introduced in 2009 as a good predictor for the S&P 500 over the past 30 years. Its performance on the S&P 500 has been studied in the blogosphere comprehensively. None of these studies, however, contained everything I was looking

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Automatic ARMA/GARCH selection in parallel

March 24, 2013
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In the original ARMA/GARCH post I outlined the implementation of the garchSearch function. There have been a few requests for the code so … here it is. Quite easy to use too: After the last code line above, fit contains the best (according to the AIC statistic) model, which is the return value of garchFit.

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Adding Comments to CSV Files

January 11, 2013
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Various of my R scripts produce csv files as output. For instance, I run a lengthy SVM back test, the end result is a csv file containing the indicator with some additional information. The problem is that over time one loses track what exactly the file contained and what parameters were used to produce it.

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2012 Summary and 2013 Plans

January 6, 2013
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2012 Summary and 2013 Plans

2012 was a very important year for me. It was my first full year of trading only pure quantitative strategies. It was a very successful year as well, despite the fact that the S&P 500 returned 16% (including dividends) – a tough to beat benchmark. The strategy I use on the SPY, for which I

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ARMA+GARCH Experiences

December 27, 2012
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A reader’s comment on my ARMA Models for Trading post asked about different aspects of my experience with ARMA+GARCH for trading forecasting. The more I thought about it, the more it looked like a full post. So here we go. Starting with the high level – what packages did I try? I have tried a

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Trading with SVMs: Performance

December 13, 2012
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Trading with SVMs: Performance

To get a feeling of SVM performance in trading, I run different setups on the S&P 500 historical data from … the 50s. The main motif behind using this decade was to decide what parameters to vary and what to keep steady prior to running the most important tests. Treat it as an “in-sample” test

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Trading with Support Vector Machines (SVM)

November 30, 2012
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Trading with Support Vector Machines (SVM)

Finally all the stars have aligned and I can confidently devote some time for back-testing of new trading systems, and Support Vector Machines (SVM) are the new “toy” which is going to keep me busy for a while. SVMs are a well-known tool from the area of supervised Machine Learning, and they are used both

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