Blog Archives

The Rise of the Robots (Advisors…)

August 15, 2015
By
The Rise of the Robots (Advisors…)

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 allocate their clients money and some are

Read more »

R financial time series tips everyone should know about

July 7, 2015
By

There are many R time series tutorials floating around on the web this post is not designed to be one of them. Instead I want to introduce a list of the most useful tricks I came across when dealing with financial time series in R. Some of the functions presented here are incredibly powerful but unfortunately buried in the

Read more »

Factor Evaluation in Quantitative Portfolio Management

March 23, 2015
By
Factor Evaluation in Quantitative Portfolio Management

When it comes to managing a portfolio of stocks versus a benchmark the problem is very different from defining an absolute return strategy. In the former one has to hold more stocks than in the later where no stocks at all can be held  if there is not good enough opportunity.  The reason for that is the tracking error. This

Read more »

Risk as a “Survival Variable”

December 8, 2014
By
Risk as a “Survival Variable”

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 random nature. I’ve seen comment like “a

Read more »

Installing R/RStudio on Ubuntu 14.04

September 21, 2014
By

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 an old Windows laptop.

Read more »

A Simple Shiny App for Monitoring Trading Strategies – Part II

August 7, 2014
By

This is a follow up on my previous post “A Simple Shiny App for Monitoring Trading Strategies“.  I added a few improvements that make the app a bit better (at least for me!). Below is the list of new features : A sample  .csv file (the one that contains the raw data) A “EndDate”  drop

Read more »

A Simple Shiny App for Monitoring Trading Strategies

June 25, 2014
By
A Simple Shiny App for Monitoring Trading Strategies

In a previous post I showed how to use  R, Knitr and LaTeX to build a template strategy report. This post goes a step further by making  the analysis  interactive. Besides the interactivity, the Shiny App also solves two problems : I can now access all my trading strategies from a single point regardless of the instrument traded.

Read more »

Date formating in R

April 18, 2014
By

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 strings into standard R date format.

Read more »

Using Genetic Algorithms in Quantitative Trading

March 14, 2014
By

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 show you how to set

Read more »

Using CART for Stock Market Forecasting

February 28, 2014
By
Using CART for Stock Market Forecasting

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 the odds are significantly biased

Read more »