510 search results for "Trading"

Open-sourcing some of my automation code

February 19, 2011
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Open-sourcing some of my automation code

To automate my trading I use a mix of scripts. Everything goes – R, Python, shell, C++, etc. For some time now I have been satisfied with the tools I have created. They run once a day, gather data from EODDATA, update the database, run some R magic to decide what needs to be done

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Consuming RdotNET

February 17, 2011
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Consuming RdotNET

In my explorations with R, Mathematica, FreeMat, MatLab, and RapidMiner (now with R support! Yay!), I’m seeing integration of R to be quite useful in building a trading app, as technical analysis is one of R’s fortés. For the sake of brevity, I’...

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Consuming RdotNET

February 17, 2011
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In my explorations with R, Mathematica, FreeMat, MatLab, and RapidMiner (now with R support! Yay!), I’m seeing integration of R to be quite useful in building a trading app, as technical analysis is one of R’s fortés. For the sake of brevity, I’m including comments in the code instead of using paragraphs…use the source, Luke.Note that I'm not using...

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Backtesting in Excel and R

February 17, 2011
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This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R.  The impetus for this series started with this tweet by Jared Woodard at Condor Options.  After Soren Macbeth introduced us, Jare...

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Backtesting in Excel and R

February 17, 2011
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This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R.  The impetus for this series started with this tweet by Jared Woodard at Condor Options.  After Soren Macbeth introduced us, Jare...

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RSI(2) and the pre 80s Market

February 17, 2011
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RSI(2) and the pre 80s Market

In his detailed research on RSI(2) indicator, MarketSci emphasized several times that the contrarian strategies based on the RSI(2) indicator didn’t start working until the 80s. I remembered this observation recently when I observed another interesting anomaly … In statistics, an important initial step in studying time series data is to consider the auto correlation

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Silver and Russell 2000

February 16, 2011
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Silver and Russell 2000

When I find a chart that looks like this, I always like to explore a little further. via StockCharts.com I pull it into R and try to find anything worthwhile.  I do not find anything, except that I do not want to be trading both in the same direc...

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Stack Exchange: Quantitative Finance in public beta

February 14, 2011
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Stack Exchange: Quantitative Finance in public beta

The Quantitative Finance Stack Exchange community entered public beta last week.  To quote the FAQ: The Quantitative Finance Stack Exchange is intended specifically for professionals and traders working in investment banking, and aca...

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Where’s your high-end sportswear made?

February 13, 2011
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Where’s your high-end sportswear made?

Sierra Trading Post mailed me their End-of-Winter 2011 catalog, which consists mostly of mid- to high-end sportswear products, but also things like snow skis, flashlights, and binoculars. STP sells closeouts, overstock, seconds, and items with cosmetic blemishes or irregularities. I spent an hour of relaxation time enumerating the various product brands and their places of

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Enhancing R Graphic packages

February 12, 2011
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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

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