Articles by The R Trader

Converting LOBSTER demo R code into Python

December 18, 2019 | The R Trader

It has been more than a year since my last post, I’ve been super busy with consulting assignments working on algorithmic/electronic trading. The workload is still heavy but I managed to find a few hours to write this post as I came across a new great tool: LOBSTER (... [Read more...]

R Code – Best practices

September 1, 2018 | The R Trader

Nothing is more frustrating than a long piece of code with no standard way of naming elements, presenting code or organizing files. It’s not only unreadable but more importantly not reusable. Unfortunately, unlike other programming languages, R has no widely accepted coding best practices. Instead there has been various ...
[Read more...]

Machine Learning Modelling in R : : Cheat Sheet

March 22, 2018 | The R Trader

I came across this excellent article lately “Machine learning at central banks” which I decided to use as a basis for a new cheat sheet called Machine Learning Modelling in R. The cheat sheet can be downloaded from RStudio cheat sheets repository. As the R ecosystem is now far too ... [Read more...]

Visualizing Time Series Data in R

June 26, 2017 | The R Trader

I’m very pleased to announce my DataCamp course on Visualizing Time Series Data in R. This course is also part of the  Time Series with R skills track. Feel free to have a look, the first chapter is free! Course Description As the saying goes, “A chart is worth ... [Read more...]

Linking R to IQFeed with the QuantTools package

June 4, 2017 | The R Trader

IQFeed provides streaming data services and trading solutions that cover the Agricultural, Energy and Financial marketplace. It is a well known and recognized data feed provider geared toward retail users and small institutions. The subscription price starts at around $80/month. Stanislav Kovalevsky has developed a package called QuantTools. It is ... [Read more...]

Introducing fidlr: FInancial Data LoadeR

April 21, 2016 | The R Trader

fidlr is an RSutio addin designed to simplify the financial data downloading process from various providers. This initial version is a wrapper around the getSymbols function in the quantmod package and only Yahoo, Google, FRED and Oanda are supported. I will probably add functionalities over time. As usual with those ... [Read more...]

Maintaining a database of price files in R

December 13, 2015 | The R Trader

Doing quantitative research implies a lot of data crunching and one needs clean and reliable data to achieve this. What is really needed is clean data that is easily accessible (even without an internet connection). The most efficient way to do this for me has been to maintain a set ... [Read more...]

The Rise of the Robots (Advisors…)

August 15, 2015 | The R Trader

The Asset Management industry is on the verge of a major change. Over the last couple of years Robots Advisors (RA) have emerged as new players. The term itself is hard to define as it encompasses a large variety of services. Some are designed to help traditional advisers to better ... [Read more...]

Risk as a “Survival Variable”

December 8, 2014 | The R Trader

I come across a lot of strategies on the blogosphere some are interesting some are a complete waste of time but most share a common feature: people developing those strategies do their homework in term of analyzing the return but much less attention is paid to the risk side its ... [Read more...]

Installing R/RStudio on Ubuntu 14.04

September 21, 2014 | The R Trader

My last experience with Linux was back in 2002/2003. At that time pretty much everything on Linux was done in the console. I remmember struggling for days with a simple Wifi connection because drivers were not readily available. Things have changed dramatically since then. Last week I installed Linux (Ubuntu 14.04)  on ... [Read more...]

Date formating in R

April 18, 2014 | The R Trader

As I often manipulate time series from different sources, I rarely come across the same date format twice. Having to reformat the dates every time is a real waste of time because I never remember the syntax of the as.Date function. I put below a few examples that turn ... [Read more...]

Using Genetic Algorithms in Quantitative Trading

March 14, 2014 | The R Trader

The question one should always asked him/herself when using technical indicators is what would be an objective criteria to select indicators parameters (e.g., why using a 14 days RSI rather than 15 or 20 days?). Genetic algorithms (GA) are well suited tools to answer that question. In this post I’ll ... [Read more...]

Using CART for Stock Market Forecasting

February 28, 2014 | The R Trader

There is an enormous body of literature both academic and empirical about market forecasting. Most of the time it mixes two market features: Magnitude and Direction. In this article I want to focus on identifying the market direction only. The goal I set myself, is to identify market conditions when ... [Read more...]

A million ways to connect R and Excel

February 11, 2014 | The R Trader

In quantitative finance both R and Excel are the basis tools for any type of analysis. Whenever one has to use Excel in conjunction with R, there are many ways to approach the problem and many solutions. It depends on what you really want to do and the size of ... [Read more...]
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