Blog Archives

Validating R-Backtesting frameworks against Metatrader 4 with 99% tick accuracy

January 5, 2014
By
Validating R-Backtesting frameworks against Metatrader 4 with 99% tick accuracy

The primary objective here is to make sure the framework I use in R to backtest strategies delivers similar results to that of MT4, most specifically to 99% tick accuracy MT4 backtesting. Why the 99% tick accuracy …. because it’s … Continue reading →

Read more »

MT4 -> Multi-R sessions for tick-analysis

February 24, 2011
By
MT4 -> Multi-R sessions for tick-analysis

The Shared-Memory between multiple R sessions mentioned in my previous post got me thinking … quite some potential indeed. As a result, I investigated further using (calling) multiple R sessions from the same MT4 script. Specifically, I wanted to have a clearer understanding of the time required to performed lightning fast & dead slow processing,

Read more »

Multithreading in R (or other types of non-sequencial programming)

February 21, 2011
By
Multithreading in R (or other types of non-sequencial programming)

Considering forwarding tick data from MT4 to R requires less than 2ms, but that charting 4 different time-frame (1min, 15min, 30min and 1hour) at each tick-update may require more than 250ms (depending on the number of bars in history), I think it is f...

Read more »

Transfering MT4 quotes in R

February 13, 2011
By
Transfering MT4 quotes in R

The more I get into this, the more I adjust my objectives. Currently, I’m willing to make the most of the Quantmod and Blotter R-packages, while eventually building a MT4 equivalent of the InteractiveBroker-R_API. As a first step, I was willing to Chart ticks from MT4 in R using the Quantmod’s chartSeries().  There are different

Read more »

Enhancing R Graphic packages

February 12, 2011
By
Enhancing R Graphic packages

This will be the last thing I’ll post prior starting to connect R with Metatrader. Indeed, as you may suspect already I use this blog as my lab-book. The following might be quite general, but it fits in my overall ambition to build a personal quant-trading architecture as professional as I can. Graphic visualization is

Read more »

Algorithmic Trading in R: Available Information

February 12, 2011
By
Algorithmic Trading in R: Available Information

After digging through different blogs and info on the web I found an amazingly strong and developping community supporting R for specific applications in algorithmic trading. Thereafter I present some of the major information that I believe are essenti...

Read more »

“R” scripts for Metatrader ….. The first steps of many for proper trading

February 5, 2011
By
“R” scripts for Metatrader ….. The first steps of many for proper trading

I have designed and developed Automated Trading Systems (ATS) for few years now. Since trading live, I have been fairly profitable (that is, I achieved my goals). However, I had the unsatisfactory feeling that I was missing some information to increase the level of trust in my systems … I was missing the proper tools

Read more »