604 search results for "Trading"

Improved Moving Average?

December 4, 2011
By
Improved Moving Average?

When @quantfblog started following me on Twitter, I was delighted to discover their papers Papailias, Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical Trading Rule (September 11, 2011). Available at SSRN: http://ssrn.com/abstract...

Read more »

Week in Review 021211 R Language

Week in Review 021211 R Language

Happy last month of 2011. I will fly to Sydney to present a paper at the 24th Australasian Finance & Banking Conference on next Thursday, so we may not have a review next week. However, feel free to contact me @a_biao for sharing any useful post. This week's review is highly concentrated on

Read more »

NG Spreads returns, a reliable earner.

December 1, 2011
By
NG Spreads returns, a reliable earner.

Introduction to Backtesting library in the Systematic Investor Toolbox

November 24, 2011
By
Introduction to Backtesting library in the Systematic Investor Toolbox

I wrote a simple Backtesting library to evaluate and analyze Trading Strategies. I will use this library to present the performance of trading strategies that I will study in the next series of posts. It is very easy to write a simple Backtesting routine in R, for example: The code I implemented in the Systematic

Read more »

Volume by Price Charts using R

November 23, 2011
By
Volume by Price Charts using R

R-Bloggers is a wonderful site which offers some great ideas for analysis.While I have been busy of late, hence could not do much with R, I was inspired by this post by Eric Nguyen on Volume by Price chart. This chart can be used with a great effe...

Read more »

Popular Baby Names Walk-Through Part 2 – Graphing the fast movers

November 21, 2011
By
Popular Baby Names Walk-Through Part 2 – Graphing the fast movers

I will assume you have read through part 1 and have the csv file loaded. While we covered some basic graphing in the last post i hope to get into a little more of the data crunching. Specifically I am interested in the names which where driven by a spe...

Read more »

A Simple R Script for Traders

November 21, 2011
By
A Simple R Script for Traders

Now that we've got the Python implementation under out belts, let's do the same thing with R. We'll still be able to pass command-line arguments to get a quick look at what our stock of interest is doing during the day. And we start with the familiar i...

Read more »

Update on Scary Derivatives

November 16, 2011
By
Update on Scary Derivatives

After reading Bloomberg’s article, JPMorgan Chase & Co. and Goldman Sachs Group Inc., among the world’s biggest traders of credit derivatives, disclosed to shareholders that they have sold protection on more than $5 trillion of debt globally. ...

Read more »

Performance measurement is about decisions

November 16, 2011
By
Performance measurement is about decisions

The return of a hypothetical fund was 17.9% in 2010.  We want to know if that is good or bad. The benchmark method The assets in the portfolio are constituents of the S&P 500, so we can compare our fund return to the return of the index. Figure 1: 2010 returns of: the fund and … Continue reading...

Read more »

Black-Litterman Model

November 15, 2011
By
Black-Litterman Model

The Black-Litterman Model was created by Fisher Black and Robert Litterman in 1992 to resolve shortcomings of traditional Markovitz mean-variance asset allocation model. It addresses following two items: Lack of diversification of portfolios on the mean-variance efficient frontier. Instability of portfolios on the mean-variance efficient frontier: small changes in the input assumptions often lead to

Read more »

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)