Blog Archives

Chop, Slice and Dice Your Returns in R

April 24, 2011
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Chop, Slice and Dice Your Returns in R

I have a knife rack on my kitchen wall with all my kitchen knives easily identifiable and accessible. I also have small scars on my hand where each knife can claim to have left a mark. It's not the knife's fault, of course. They hardly like being sudde...

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Recursive Trading System in R

April 15, 2011
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Recursive Trading System in R

I have a trick knee. Normally, it works just fine. But if I stand on my head when its raining on Tuesdays and Thursdays and pinch my nose, it hurts. Not just a little. It hurts a lot. I went to the doctor and he told me not to stand on my head when it'...

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A Super-Easy, Simple-Dimple Backtester in R

April 9, 2011
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A Super-Easy, Simple-Dimple Backtester in R

I cut my finger on a paring knife this morning. Don't use a sharp knife to spread butter on your toast. It's better to limit yourself to using dull kitchen utensils until the caffeine kicks in. No matter, I still have most of my digits to type in a sim...

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Algorithm Whisperer

April 6, 2011
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Algorithm Whisperer

I was staring at my favorite trading algorithm the other day and I could swear it wanted to tell me something. I've made contact with it in the past, but our conversations pretty much ran along the lines of "What position are you in the market?" to whi...

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Feed Your (Machine) Brain

April 3, 2011
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Feed Your (Machine) Brain

Few can tell you what goes into a chicken nugget, but most will agree that it's good for your brain. If you're a little sluggish and can't focus, what do you normally do? That's right, you pop a couple chicken nuggets. And similar to our brains, our al...

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Volatility Violins

March 28, 2011
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Volatility Violins

Unlike many humans, markets love change. In fact, they look forward to it with great anticipation. Regular people like stability, for the most part. Unless you're a career gypsy, you like to stay in one place for some time. Making a home. Settling in, ...

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Silver Is A Weighted Coin

March 24, 2011
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Silver Is A Weighted Coin

editorial note: there is an error in the code explained below the code. When you flip a quarter, you normally assume the coin is fair and that there is a 50% chance of getting either heads or tails. Option pricing assumes the world of trading is f...

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Yeah Sure, Maybe, Well … Okay

March 23, 2011
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Yeah Sure, Maybe, Well … Okay

Whoever wrote the book on statistics, probably avoided getting a proper education in literature. At least that's my null hypothesis. The cryptic and awkward presentation of probabilities common amongst the Frequentists (no, not the Latin American Socia...

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Programming Outside the Box: A Recursive Function in R

March 11, 2011
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Programming Outside the Box: A Recursive Function in R

I heard a talk given by Ruby creator Yukihiro Matsumoto where he was rambling about how he came about becoming a programming language developer. He mentioned an important milestone as being his grasp of the idea behind recursion. I've kept that in mind...

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money is coin $ flip

March 7, 2011
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money is coin $ flip

Well, sorta. More precisely, money is the sum of coin$flip divided by the number of coin$flip. But we'll get to that later. For now, let me introduce you to a new algorithm written in R. This one is another "quote" -- simple few lines of code -- whose ...

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