496 search results for "trading"

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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A quick look at FX realized vol

May 31, 2014
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A quick look at FX realized vol

Much has been said about the decline in volatility. At the moment I am very active in FX spot trading and as a generalization do better the more vol there is. I wanted to see how things stood on the crosses I am most active in, namely EUR/USD, GBP/USD and USD/JPY. I took hourly data from FxPro (not my broker, nor...

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Trend Vigor Part II–the Delta parameter, Ehlers entries and exits, and (vaguely) intelligent portfolio management.

May 29, 2014
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Trend Vigor Part II–the Delta parameter, Ehlers entries and exits, and (vaguely) intelligent portfolio management.

The last post gave a cursory overview of implementing a basic quantstrat strategy, and an introduction to Dr. Ehlers’s Trend … Continue reading →

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R / Finance 2014: Packaged Takeaways

May 29, 2014
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R / Finance 2014: Packaged Takeaways

by Joseph Rickert I was very happy to have been able to attend R / Finance 2014 which wrapped up a couple of weeks ago. In general, the talks were at a very high level of play, some dealing with brand new ideas and many presented at a significant level of technical or mathematical sophistication. Fortunately, most of the...

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Which came first, the preference or the choice?

May 27, 2014
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Which came first, the preference or the choice?

Obviously, preference precedes choice because choices are made to maximize preference. That is certainly the way we conduct our marketing research. We generate factorial designs and write descriptions full of information about products and services. Ou...

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A positive batting average trend follower? Introducing Trend Vigor.

May 25, 2014
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A positive batting average trend follower? Introducing Trend Vigor.

Since this is the first post on this blog, a quick start up for those who may be reading this … Continue reading →

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Beyond R, or on the Hunt for New Tools

May 12, 2014
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For more than four years now (judging by the first post on my old blog), R has been my primary tool for market research. It has thought me a lot, and it has helped me to me advance smoothly in the field of semi-automated trading. Lately however I started realizing that R is lacking essential

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R and Finance

May 8, 2014
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by Joseph Rickert R/Finance 2014 is just about a week away. Over the past four or five years this has become my favorite conference. It is small (300 people this year), exceptionally well-run, and always offers an eclectic mix of theoretical mathematics, efficient, practical computing, industry best practices and trading “street smarts”. This clip of Blair Hull delivering a...

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High Frequency | Winners and Losers by Chord

May 6, 2014
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I admit it looks like I am the only person in the world who has not read Michael Lewis’  Flash Boys. I was more attracted to this fine paper with slightly fewer views than Flash Boys. Baron, Matthew and Brogaard, Jonathan and Kirilenko, Andrei A....

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On the trade history and dynamics of NBA teams

April 28, 2014
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On the trade history and dynamics of NBA teams

While good draft picks and deft management can help you win championships, there is no doubt that NBA teams can massively gain, or lose, by trading players with one another. Here, I played around with some publicly available data given at basketball-reference.com, and had a look at the numbers behind all trades undertaken in the NBA from 1948 to

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