Blog Archives

My R setup with Mac OS X

February 22, 2011
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My R setup with Mac OS X

The eco-system of R is largely Ubuntu and SVN, so Mac users sometimes find themselves a bit out of place, shall we say. But let's not bad high-school memories about not being in the in-crowd keep us from participating in the R world. With just a little...

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Twos and Tens in Four Lines

February 9, 2011
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Twos and Tens in Four Lines

To chart the spread between 2-Year treasury yields and 10-Year treasury yields,  please type the simple code listed below into your R console. That is all, carry on as you were.require(quantmod)getSymbols(c("DGS10", "DGS2"), src="FRED")Ten_Two <...

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White Bumblebee Implemented in R

December 18, 2010
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White Bumblebee Implemented in R

White Bumblebee is a trade system based on a simple moving average crossover, but with a special twist. Imagine your thermostat triggering your furnace to shut off or turn on every time a temperature crossed a threshold. If the thermostat didn't have a...

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White Bull, An Algorithm in R

December 11, 2010
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White Bull, An Algorithm in R

Algorithms are curious creatures. They behave in a very predictable way. They do as they are told and do it the same way every time. What they lack in imagination, they make up in reliability. You cannot talk an algorithm into saying something it's not...

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Managing Market Studies in R

August 21, 2010
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Managing Market Studies in R

I'm currently working on seasonal studies for various markets and have decided it's high time I got an organized workflow established. How does sugar behave in August every year? Is it random or are there some fundamental drivers that coerce its behavi...

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robot (SPX) DNA Management Techniques

May 18, 2010
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robot (SPX) DNA Management Techniques

Yes, this is related to trading, but no, it is not my thesis on why the Euro is going to parity. Instead, it is sort of a workshop for robot(SPX) developers on how to organize their digital DNA. As you begin to use programming as a money extraction tool on the markets, you'll soon find...

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Intermarket Whac-A-Mole

March 6, 2010
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Intermarket Whac-A-Mole

Every trader that looks at more than one market throughout the day will recognize that there is a certain symmetrical relationship between certain markets at certain times. The confounding thing about these intermarket relationships is that they are fl...

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Programming a custom Backtest Profile in R

January 6, 2010
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Programming a custom Backtest Profile in R

One of the many issues with systems trading is trying to make sense of the vast amounts of data you accumulate with the backtest of a system. Historical backtesting is the first step in testing your trading idea. If it is a trading idea that ought to w...

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Long R, Short Excel

October 29, 2009
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Long R, Short Excel

R is very speedy statistical package that's like an F-18A Hornet, versus Excel which is like a paper airplane. R is professional sports, Excel is Pop Warner. R is Mona Lisa, Excel is stick figures. R is ... okay, you get the idea. I'm long R, and short...

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