469 search results for "trading"

R jobs (February 2014)

February 11, 2014
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R_jobs

R-bloggers is offering an “R jobs” post, that will be published once every (“couple of”) months. If you are interested in offering a job to be posted on r-bloggers, please e-mail me at: [email protected] (please write in the subject line the text “R job” so I could have easy e-mail filtering on it). Harvard — R/C++ programmer to develop climate-related R software/package...

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A simple strategy between A-shares and H-shares

A simple strategy between A-shares and H-shares

A similar article was posted at the sub-personal blog before and I paste it here in case someone is interested.At the moment there are 84 firms listed at both A (Shanghai and Shenzhen) and H (Hongkong) stock markets, according to the law of one price,...

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Analyzing the DVI Indicator – Entry Power

January 15, 2014
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Analyzing the DVI Indicator – Entry Power

In a recent post, I did some analysis of the efficiency of the DVI indicator. That was pretty much all I had to say back then, but that quickly changed. While reading Building Reliable Trading Systems, by Keith Fitschen I stumbled upon an alternative way to visualize entry efficiency – the entry power. The chart

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2013 Summary

January 6, 2014
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2013 Summary

2013 was a tough year. Trading was tough, with one of my strategies experiencing a significant drawdown. Research was tough – wasted a lot of time on machine learing techneques, without much to show for it. Also made some expensive mistakes, so all in all – it was a year I’d prefer I had avoided.

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S&P that might have been

January 6, 2014
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S&P that might have been

The S&P 500 returned 29.6% in 2013.  How might that have varied? S&P weights There are many features that could vary — here we will keep the same constituents (almost) and weights with similar sizes but that are randomly assigned rather than based on market capitalization. That is, we want the large weights of our … Continue reading...

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Twelve Days 2013: LASSO Regression

December 19, 2013
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Day Eight: LASSO RegressionTL/DRLASSO regression (least absolute shrinkage and selection operator) is a modified form of least squares regression that penalizes model complexity via a regularization parameter. It does so by including a term proportional to $||\beta||_{l_1}$ in the objective function which shrinks coefficients towards zero, and can even eliminate them entirely. In that light, LASSO is a...

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A Review of Risk Parity

December 17, 2013
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A Review of Risk Parity

What is risk parity (RP)? Simply put, it is a method of allocating equal risk shares to each asset in the portfolio. In more traditional allocation schemes, equity, being the riskiest asset (and hence providing the highest reward), has typically received the lion’s share. With RP, equalization of risk contribution means that equity and other

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Financial Data Accessible from R – part IV

December 13, 2013
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DataMarket is the latest data source of financial data accessible from R I came across. A good tutorial can be found here. I updated the table and the descriptions below. Source R Package Free Access Available on CRAN Provider url Yahoo, FRED, Oanda, Google Quantmod Yes Yes Quantmod Quandl Quandl Yes Yes Quandl TrueFX TFX

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Analyzing the DVI Indicator

November 30, 2013
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Analyzing the DVI Indicator

The DVI indicator is a well-known indicator, created by David Varadi from CSS Analytics. It was introduced in 2009 as a good predictor for the S&P 500 over the past 30 years. Its performance on the S&P 500 has been studied in the blogosphere comprehensively. None of these studies, however, contained everything I was looking

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The R Backpages 2

November 27, 2013
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The R Backpages 2

by Joseph Rickert In this roundup of R-related news: Domino enables data science collaboration; Plotly adds an R graphics gallery; Revolution Analytics R user group sponsorship applications are open; and Quandl adds new data sets. San Francisco startup takes on collaborative Data Science Domino, a San Francisco based startup, is inviting users to sign up to beta test its...

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