467 search results for "trading"

Using Genetic Algorithms in Quantitative Trading

March 14, 2014
By

The question one should always asked him/herself when using technical indicators is what would be an objective criteria to select indicators parameters (e.g., why using a 14 days RSI rather than 15 or 20 days?). Genetic algorithms (GA) are well suited tools to answer that question. In this post I’ll show you how to set

Read more »

Two interesting ideas here: “trading time” price impact of a…

October 29, 2013
By
Two interesting ideas here:
“trading time”
price impact of a…

Two interesting ideas here:"trading time" price impact of a trade proportional to exp( √size )Code follows:require(quantmod) getSymbols("MER") #Merrill Lynch#Gatheral's model HiLo Op(symbol)#munging mer names(mer) = "UpDay"names(mer) = "HiLo" mer ...

Read more »

Trading Strategies Performance Report with R and Knitr

October 18, 2013
By
Trading Strategies Performance Report with R and Knitr

I’ve been looking for template reports using R and Knitr for a while but I didn’t find anything that suits my needs so far. I therefore decided to create them myself. What I like to see about trading strategies are basic performance charts (daily, monthly and yearly), some basic trading statistics and above all most

Read more »

Trading Strategy 1: What goes up, goes up…

June 26, 2013
By
Trading Strategy 1: What goes up, goes up…

As I said earlier, my main task at my internship is to hunt for profitable strategies. As you can imagine, strategies can range from the exceedingly simple and easy to implement, to the crazily complex. Let’s start out with one … Continue reading →

Read more »

Scenario analysis and trading options using R

June 16, 2013
By
Scenario analysis and trading options using R

I present you with my restructured project on options trading and scenario analysis. You are more than welcome to try it out. Firstly, I will give a small presentation that will reveal what you can do with it and whether you need to continue reading. T...

Read more »

Ryan Sheftel: "R on the Trading Desk"

May 30, 2013
By

by Joseph Rickert In a post last week, I offered some first impressions about R/Finance 2013. Apparently, I was way off in estimating that 30% of the attendees were academics. The R/Finance organizers were quick to point out that percentage of academics attending the conference has been a constant 10% over the years; and this year was no different....

Read more »

Trading with SVMs: Performance

December 13, 2012
By
Trading with SVMs: Performance

To get a feeling of SVM performance in trading, I run different setups on the S&P 500 historical data from … the 50s. The main motif behind using this decade was to decide what parameters to vary and what to keep steady prior to running the most important tests. Treat it as an “in-sample” test

Read more »

garch and the Algorithmic Trading Conference

December 10, 2012
By
garch and the Algorithmic Trading Conference

The Imperial College Algorithmic Trading Conference was Saturday. Talks Massoud Mussavian Massoud gave a great talk on “Algo Evolution”.  It started with a historical review of how trading used to be done “by hand”.  It culminated in a phylogenetic tree of trading algorithms.  There was an herbivore branch and a carnivore branch. Robert Macrae Robert … Continue reading...

Read more »

Trading with Support Vector Machines (SVM)

November 30, 2012
By
Trading with Support Vector Machines (SVM)

Finally all the stars have aligned and I can confidently devote some time for back-testing of new trading systems, and Support Vector Machines (SVM) are the new “toy” which is going to keep me busy for a while. SVMs are a well-known tool from the area of supervised Machine Learning, and they are used both

Read more »

Portfolio Trading

November 12, 2012
By
Portfolio Trading

In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number of potential benefits. A universe of asset holdings within the … Continue reading →

Read more »