# 437 search results for "trading"

## Some belated spring cleaning

August 11, 2013
By

A very busy spring has transitioned into a very busy summer, so let me recap a few topics that probably deserve more time than I’ll give them here. Here are the things I’m overdue on, in no particular order: Publications In the March edition of the Journal of Risk, Kris Boudt, Brian Peterson and I

## Stop Loss

July 29, 2013
By

Today I want to share and present an example of the flexible Stop Loss functionality that I added to the Systematic Investor Toolbox. Let’s examine a simple Moving Average Crossover strategy: Buy is triggered once fast moving average crosses above the slow moving average Sell is triggered once fast moving average crosses below the slow

## Pricing interest rate swaps with lambda.r

July 19, 2013
By

People think I’m joking when I say something should only take 20 lines of code. More often than not it …Continue reading »

## Stochastic Oscillator

July 18, 2013
By

I came across the link to the John Ehlers paper: Predictive Indicators for Effective Trading Strategies, while reading the Dekalog Blog. John Ehlers offers a different way to smooth prices and incorporate the new filter into the oscillator construction. Fortunately, the EasyLanguage code was also provided and i was able to translate it into R.

July 15, 2013
By

The most recent edition of the Revolution Newsletter came out a couple of weeks ago. In case you missed it, the news section is below, and you can read the full July edition (with highlights from this blog and community events) online. You can subscribe to the Revolution Newsletter to get it monthly via email. Let’s Be Quick About...

## Longer-history back-tests

July 11, 2013
By

One of the important steps of evaluating new trading idea or strategy is to see how it behaved historically (i.e. create back-test and examine the equity curve in different economic and market conditions) However, creating a long back-test is usually problematic because most ETFs do not have a long price history. One way to alleviate

## Update: Extending Commodity time series

July 3, 2013
By

I showed an example of Extending Commodity time series back in 2012. Since then, the web site that I used to get the Thomson Reuters/Jefferies CRB Index data is no longer working. But there are a few alternatives: Thomson Reuters / Jefferies CRB Index. To get data, first select “TRJ/CRB Index-Total Return”, next click “See

## Technical(and not technical) strategy testing

June 25, 2013
By

I got "hooked" on OOP approach of R in particular reference classes. And after my last little project on option scenario analysis I reconstructed my messy technical strategy testing code.Now to begin I would like to reason why I have done this while there exists a nice "blotter" and "quantstrat" packages.First of all "quantstrat" is faster than blotter, which...