508 search results for "TRADING"

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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Testing an S&P 500 prediction

July 10, 2011
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Testing an S&P 500 prediction

If a particular prediction comes true, how surprised should we be? The prediction The page that sparked my curiosity tells of a prediction made a year ago that the S&P 500 would beat its historic high by the end of 2011.  It says that at the point the prediction was made, the level of the … Continue reading...

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Scary Derivatives and Scary XML in R

July 7, 2011
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Scary Derivatives and Scary XML in R

I need some new R skills, and there is no better motivation to learn XML in R than one of the scariest financial datasets out there—the US Department of the Treasury Office of the Comptroller of the Currency (OCC) Quarterly Derivatives Report. I’ll...

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A Quantstrat to Build On Part 6

July 5, 2011
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A Quantstrat to Build On Part 6

THIS IS NOT INVESTMENT ADVICE.  ACTING ON THIS MAY LOSE LOTS OF MONEY. In A Quantstrat to Build on Part 5, I promised some performance reporting on quantstrat portfolios, but then in REIT Momentum in Quantstrat, I discovered it is not nearly as ea...

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Cash Might be Your Tail Risk

June 30, 2011
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Cash Might be Your Tail Risk

Just like James Montier Ode to the Joy of Cash and David Merkel Got Cash?, I think cash is an extremely powerful tool.  Of the 3 ingredients (land, labor, and capital) of the economy, capital (cash) is most scarce at the end of a crisis or recessi...

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