501 search results for "trading"

Welcome to FOSS Trading

September 28, 2008
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Welcome to FOSS Trading

This blog will highlight the development and use of free open-source software to research, test, and trade financial markets.Meet the authors:Joshua Ulrich is currently the author and maintainer of four R packages:TTR - Technical Trading Rules - a suit...

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A John Ehlers oscillator — Cycle RSI(2)

August 11, 2014
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A John Ehlers oscillator — Cycle RSI(2)

Since I’ve hit a rut in trend following (how do you quantify rising/falling/flat? What even defines those three terms in … Continue reading →

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Commitments of Traders: Moves in the Last Week

August 9, 2014
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Commitments of Traders: Moves in the Last Week

In my previous post I gave some background information on the Commitments of Traders report along with a selection of summary plots. One of the more interesting pieces of information that one can glean from these reports is the shift in trading sentiment from week to week. Below is a plot reflecting the relative change

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Another Failed Volatility Histeresis: Ehlers’s Own Idea

August 3, 2014
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Another Failed Volatility Histeresis: Ehlers’s Own Idea

This week, I attempted to use Ehlers’s own idea from this presentation. Essentially, the idea is that when an indicator … Continue reading →

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Volatility Histeresis: A First Attempt

July 28, 2014
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Volatility Histeresis: A First Attempt

So the last time that a FRAMA strategy was tried with price crossovers, the problem was that due to counter-trending … Continue reading →

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Intermission: A Data File For Futures Data (from Quandl)

July 22, 2014
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Intermission: A Data File For Futures Data (from Quandl)

So between variations of different strategies, for those who have yet to come across it, my IKTrading package has a … Continue reading →

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FRAMA Part V: Wrap-Up on Confirmatory Indicator/Test Sample

July 15, 2014
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FRAMA Part V: Wrap-Up on Confirmatory Indicator/Test Sample

So, it is possible to create a trading system that can correctly isolate severe and protracted downturns, without taking (too … Continue reading →

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Sometimes I feel (some) need for speed

July 11, 2014
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Sometimes I feel (some) need for speed

I’m the first to acknowledge that most of my code could run faster. The truth of the matter is that, in essence, I write ‘quickies’: code that will run once or twice, so there is no incentive to spend days or hours in shaving seconds of a computation. Most analyses of research data fall in

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FRAMA Part IV: Continuing the Long/Short Filter Search

July 9, 2014
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FRAMA Part IV: Continuing the Long/Short Filter Search

This post examines an n-day median filter for two desirable properties: robustness to outliers and an inherent trend-confirming lag. While … Continue reading →

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Quantitative Finance applications in R – 7: Constructing a Term Structure of Interest Rates Using R (part 2 of 2)

July 1, 2014
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Quantitative Finance applications in R – 7: Constructing a Term Structure of Interest Rates Using R (part 2 of 2)

by Daniel Hanson Recap and Introduction Last time in part 1 of this topic, we used the xts and lubridate packages to interpolate a zero rate for every date over the span of 30 years of market yield curve data. In this article, we will look at how we can implement the two essential functions of a term structure:...

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