495 search results for "trading"

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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R/Finance 2014 Review

June 30, 2014
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It's been more than a month since R/Finance 2014, and my job has finally slowed down enough to allow me to write down my thoughts (though I'm writing this over two days during my train to and from Chicago).The comments below are based on my personal ex...

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FRAMA Part II: Replicating A Simple Strategy

June 27, 2014
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FRAMA Part II: Replicating A Simple Strategy

This post will begin the investigation into FRAMA strategies, with the aim of ultimately finding a FRAMA trading strategy with … Continue reading →

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The Continuing Search For Robust Momentum Indicators: the Fractal Adaptive Moving Average

June 22, 2014
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The Continuing Search For Robust Momentum Indicators: the Fractal Adaptive Moving Average

Following from the last post and setting aside the not-working-as-advertised Trend Vigor indicator, we will turn our attention to the … Continue reading →

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Constructing a Continuous Futures Series From Quandl

June 17, 2014
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Constructing a Continuous Futures Series From Quandl

by Ilya Kipnis In this post, I will demonstrate how to obtain, stitch together, and clean data for backtesting using futures data from Quandl. Quandl was previously introduced in the Revolutions Blog. Functions I will be using can be found in my IK Trading package available on my github page. With backtesting, it’s often times easy to get data...

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Trend Vigor Part IV: Shorting and Walk Forward Test

June 16, 2014
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Trend Vigor Part IV: Shorting and Walk Forward Test

While Trend Vigor has potential on the long end (as seen in part III of this investigation here), as Andreas … Continue reading →

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Trend Vigor Part III: ATR position sizing, Annualized Sharpe above 1.4, and Why Leverage Is Pointless

June 11, 2014
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Trend Vigor Part III: ATR position sizing, Annualized Sharpe above 1.4, and Why Leverage Is Pointless

To continue the investigation of Trend Vigor (see part 1 here, and part 2 here), let’s examine the importance of … Continue reading →

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