Blog Archives

Using Genetic Algorithms in Quantitative Trading

March 14, 2014
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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

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Using CART for Stock Market Forecasting

February 28, 2014
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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

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A million ways to connect R and Excel

February 11, 2014
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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 the dataset you’re dealing with. I

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Overnight vs. Intraday ETF Returns

January 25, 2014
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I haven’t done much “googling” before posting, so this topic might have been covered elsewhere but I think it’s  really worth sharing or repeating anyway. A lot has been written about the source of  ETF returns (some insights might be found here). In a nutshell some analysis found that the bulk of the return is made

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Introduction to R for Quantitative Finance – Book Review

January 10, 2014
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Introduction to R for Quantitative Finance – Book Review

I used some spare time I had over the christmas break to review a book I came across: Introduction to R for Quantitative Finance. An introduction to the book by the authors can be found here. The book targets folks with some finance knowledge but no or little experience with R. Each chapter is organised around a

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Financial Data Accessible from R – part IV

December 13, 2013
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DataMarket is the latest data source of financial data accessible from R I came across. A good tutorial can be found here. I updated the table and the descriptions below. Source R Package Free Access Available on CRAN Provider url Yahoo, FRED, Oanda, Google Quantmod Yes Yes Quantmod Quandl Quandl Yes Yes Quandl TrueFX TFX

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Evaluating Quandl Data Quality – part II

December 2, 2013
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Evaluating Quandl Data Quality – part II

This post is a more in depth analysis of Quandl futures data vs. Bloomberg data. Since my last post Quandl has updated its futures database to 200+ contracts from 68 contracts originally. For practical reasons, I limit myself here to the initial list of 60+ contracts. I’m still comparing the “Front Month” contract between the

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Evaluating Quandl Data Quality

November 15, 2013
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Quandl has indexed millions of time-series datasets from over 400 sources. All of Quandl’s datasets are open and free. This is great news but before performing any backtest using Quandl data, I want to compare it with a trusted source: Bloomberg for the purpose of this post. I will focus only on daily Futures data here

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Financial Data Accessible from R – part III

November 8, 2013
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I came across a new source of data which I think is really worth sharing: ThinkNum. It gathers around 2,000 sources of data but more importantly it allows the user to manipulate this data via functions and graphics and there is an R package available on CRAN. Interested readers can find a very good post

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Finding Reversal Zone in Intraday FX prices

November 5, 2013
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Finding Reversal Zone in Intraday FX prices

There is no holy grail in trading instead there are strategies that work for a while or in a specific market environment. The role of the analyst is therefore twofold.  First find a good trading strategy, second find the right environment for this strategy. The present post focuses on the latter. More specifically it aims

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