469 search results for "trading"

ARMA Models for Trading, Part I

April 14, 2011
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ARMA Models for Trading, Part I

Lately I have been testing trading models based on methods from various fields: statistics, machine learning, wavelet analysis and others. And I have been doing all that in R! In this series, I will try to share some of these efforts starting with the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a

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Pair-Trading with S&P500 Companies – Part II.

April 10, 2011
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Today I'm going to share with you further outcomes of my research in statistical arbitrage trading technique - pair-trading. In the first part of pair-trading with S&P500 Companies I used downloaded data from yahoo to identify co-integrated pairs. Next stage is to take closer look at results and identify potentially profitable pairs. As an example

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Pair-Trading with S&P500 Companies – Part I.

March 30, 2011
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In my recent post I wrote the code to download historical data for companies included in S&P500 index. Today I would like to perform statistical procedures to identify whether certain pair of stocks is co-integrated or not. Since there are approximately 500 companies that means I will need to perform calculations of testing. First of

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The Leverage Space Trading Model

March 29, 2011
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The Leverage Space Trading Model

I finally got around to reading Ralph Vince’s latest The Leverage Space Trading Model (for a brief summary see this magazine article in Futures), and I’m happy to say that the book was very helpful in approach and example.  I especially enjoye...

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Blackbox trading Strategy using Rapidminer and R II

March 8, 2011
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Blackbox trading Strategy using Rapidminer and R II

Long time without updating the blog for lack of time (again) due to new professional and personal challenges. Continuing with the strategy of Black Box, thanks to recommendations made by several readers and the lack of time to make a good tutorial of the model, I’m going to make available the file with...

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Blackbox trading Strategy using Rapidminer and R II

March 8, 2011
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Blackbox trading Strategy using Rapidminer and R II

Long time without updating the blog for lack of time (again) due to new professional and personal challenges. Continuing with the strategy of Black Box, thanks to recommendations made by several readers and the lack of time to make a good tutorial of the model, I’m going to make available the file with...

Read more »

Algorithmic Trading in R: Available Information

February 12, 2011
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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...

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

February 5, 2011
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“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

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Blackbox trading Strategy using Rapidminer and R

January 23, 2011
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Blackbox trading Strategy using Rapidminer and R

This my first post in 2011. this post has cost me a bit more than usual, but I hope it meets expectations. The aim of this tutorial is to generate an algorithm based on black box trading, with all the necessary elements for evaluation. That is a first post of several, in order to explore the problems, features of...

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Blackbox trading Strategy using Rapidminer and R

January 23, 2011
By
Blackbox trading Strategy using Rapidminer and R

This my first post in 2011. this post has cost me a bit more than usual, but I hope it meets expectations. The aim of this tutorial is to generate an algorithm based on black box trading, with all the necessary elements for evaluation. That is a first post of several, in order to explore the problems, features of...

Read more »