502 search results for "TRADING"

System Failure-Maybe it Will Help

August 11, 2011
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System Failure-Maybe it Will Help

I hope everyone is enjoying the market.  After a crazy week personally and 6% intraday swings, I remember why I abandoned day trading. I often wonder if I should share ideas that do not work as well as I would like.  In this case, I know I ha...

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The indices understate the carnage

August 9, 2011
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The indices understate the carnage

The first 6 trading days of August have been bad for the major indices, but how variable is that across portfolios? To answer that, two sets of random portfolios were generated from the constituents of the S&P 500.  The trading days are 2011 August 1 — 5 and 8. The returns of the indices for … Continue reading...

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Aug 4, 2011 "plunge" headlines are in the air tonight

August 4, 2011
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Aug 4, 2011 "plunge" headlines are in the air tonight

Today's financial headlines are littered with the word 'plunge.'  Considering today's (cl-cl) drop on the S&P500 was just about -5%, I don't know that I would exactly call that a plunge.         &nb...

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Summarizing Returns with R

August 2, 2011
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Summarizing Returns with R

Often I like to see the performance of a trading strategy summarized annually, quarterly or by month. In R, we start off with the summary function: Given a series xx, usually a chunk of the original, this function returns the accumulative returns for the period. The leverage is useful to somewhat simulate leveraged ETFs. The

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Pattern Recognition: forward Boxplot Trajectories using R

July 28, 2011
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Pattern  Recognition: forward Boxplot Trajectories using R

Although the following discussion can apply to the Quantitative Candlestick Pattern Recognition series, it is addressing the same issue as any basic conditional type system -- how and when to exit.  The following is one way to visualize and think ...

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Creating Financial Instrument metadata in R

July 27, 2011
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(This is a guest post by Ilya Kipnis)When trading stocks in a single currency, instrument metadata can be safely ignored because the multiplier is 1 and the currencies are all the same.  When doing analysis on fixed income products, options, futures, or other complex derivative instruments, the data defining the properties of these instruments becomes critical to tasks...

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The Stats Clinic

July 27, 2011
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The Stats Clinic

Here at HSL we have a lot of smart kinda-numerate people who have access to a lot of data. On a bad day, kinda-numerate includes myself, but in general I’m talking about scientists who have have done an introductory stats course, but not much else. When all you have is a t-test, suddenly everything looks

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The R-Files: Jeff Ryan

July 25, 2011
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The R-Files: Jeff Ryan

"The R-Files" is an occasional series from Revolution Analytics, where we profile prominent members of the R Community. Name: Jeff Ryan Profession: Owner/Principal at Lemnica; Committee Member at R/Finance Nationality: American Years Using R: 8 Known for: R/Finance Conference, quantmod and xts packages Jeffrey Ryan is a Chicago-based quantitative software analyst and avid R user. He is perhaps best...

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BSE Bhavcopy with Delivery Quantity

July 24, 2011
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BSE Bhavcopy with Delivery Quantity

One of my TI forum members IV had a requirement for BSE Quotes along with Delivery Quantity. This made me implement "merge" function of R coding (thanks to the great work done by people behind various packages and guidance available on R Mailing lists)...

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Yet another reason to avoid loops in R

July 12, 2011
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Yet another reason to avoid loops in R

In some previous posts I have mentioned my struggles with the performance of the computations needed to implement the ARMA strategies in practice. Finally I have found a worthy solution, and as usual, there is a programming pattern to learn from it – avoid loops in R. My first approach was to optimize the algorithms.

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