Blog Archives

DVI Performance

September 24, 2014
By
DVI Performance

This is the next post in the DVI indicator series. After the first two (here and here) analyzed in details the post-entry returns and the entry power of this indicator, it’s time to take a look at the trading performance. Using the Systematic Investor Toolbox, we get some pretty decent results: CAGR of 16.15% and

Read more »

Shortcuts for quantmod

May 28, 2014
By

Over the years, there have been a couple of issues I have been trying to address in my daily use of this excellent package. Both are “cosmetic” improvements, they only improve the usability of the package. Let me share them and see whether they can be improved further.:) First, let’s reduce the typing involved with

Read more »

Beyond R, or on the Hunt for New Tools

May 12, 2014
By

For more than four years now (judging by the first post on my old blog), R has been my primary tool for market research. It has thought me a lot, and it has helped me to me advance smoothly in the field of semi-automated trading. Lately however I started realizing that R is lacking essential

Read more »

A Year of Using RStudio

February 25, 2014
By
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

Read more »

Analyzing the DVI Indicator – Entry Power

January 15, 2014
By
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

Read more »

2013 Summary

January 6, 2014
By
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.

Read more »

Analyzing the DVI Indicator

November 30, 2013
By
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

Read more »

Automatic ARMA/GARCH selection in parallel

March 24, 2013
By

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.

Read more »

Adding Comments to CSV Files

January 11, 2013
By

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.

Read more »

2012 Summary and 2013 Plans

January 6, 2013
By
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

Read more »