541 search results for "trading"

Downloading Option Chain Data from Google Finance in R: An Update

January 13, 2015
By
Downloading Option Chain Data from Google Finance in R: An Update

I recently read an article which showed how to download Option Chain data from Google Finance using R. Interestingly, that article appears to be a close adaption of another article which does the same thing using Python. While playing around with the code from these articles I noticed a couple of things that might benefit

Read more »

Adding a Risk-Free Rate To Your Analyses

January 9, 2015
By
Adding a Risk-Free Rate To Your Analyses

First off, before beginning this post, I’d like to make my readers aware of the release of a book that … Continue reading →

Read more »

For A New Year, A New Asset Allocation System Just Published in SSRN

January 2, 2015
By
For A New Year,  A New Asset Allocation System Just Published in SSRN

Happy New Year! So, this is something I’ve been working on before its official publication (so this is the first … Continue reading →

Read more »

Why Backtesting On Individual Legs In A Spread Is A BAD Idea

December 31, 2014
By
Why Backtesting On Individual Legs In A Spread Is A BAD Idea

So after reading the last post, the author of quantstrat had mostly critical feedback, mostly of the philosophy that prompted … Continue reading →

Read more »

A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

December 23, 2014
By
A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

In this post, I’ll attempt to address a question I’ve seen tossed around time and again regarding quantstrat. “How do … Continue reading →

Read more »

Does Trend Following Work?

December 23, 2014
By
Does Trend Following Work?

I’m not sure how I came across it, but I have had Jez Liberty’s Au.Tra.Sy blog in my reader since around 2009. Since then, he has tracked well-known trend following systems and reported monthly performance figures. These are things like moving average crossovers, Bollinger band breakouts and stuff like that.The systems had a very good month...

Read more »

A small introduction to the ROCR package

December 19, 2014
By
A small introduction to the ROCR package

I've been doing some classification with logistic regression in brain imaging recently. I have been using the ROCR package, which is helpful at estimating performance measures and plotting these measures over a range of cutoffs. The prediction and performance functions are the workhorses of most of the analyses in ROCR I've been doing. For those

Read more »

The Geometry of Classifiers

December 18, 2014
By
The Geometry of Classifiers

As John mentioned in his last post, we have been quite interested in the recent study by Fernandez-Delgado, et.al., “Do we Need Hundreds of Classifiers to Solve Real World Classification Problems?” (the “DWN study” for short), which evaluated 179 popular implementations of common classification algorithms over 120 or so data sets, mostly from the UCI … Continue reading...

Read more »

The ZOMMA Warthog Index

December 12, 2014
By
The ZOMMA Warthog Index

Harry Long posted another article on SeekingAlpha. As usual, it’s another “looks amazing at first glance, and winds up being … Continue reading →

Read more »

Risk as a “Survival Variable”

December 8, 2014
By
Risk as a “Survival Variable”

I come across a lot of strategies on the blogosphere some are interesting some are a complete waste of time but most share a common feature: people developing those strategies do their homework in term of analyzing the return but much less attention is paid to the risk side its random nature. I’ve seen comment like “a

Read more »