In my explorations with R, Mathematica, FreeMat, MatLab, and RapidMiner (now with R support! Yay!), I’m seeing integration of R to be quite useful in building a trading app, as technical analysis is one of R’s fortés. For the sake of brevity, I’...

In my explorations with R, Mathematica, FreeMat, MatLab, and RapidMiner (now with R support! Yay!), I’m seeing integration of R to be quite useful in building a trading app, as technical analysis is one of R’s fortés. For the sake of brevity, I’m including comments in the code instead of using paragraphs…use the source, Luke.Note that I'm not using...

This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R. The impetus for this series started with this tweet by Jared Woodard at Condor Options. After Soren Macbeth introduced us, Jare...

This post is the introduction to a series that will illustrate how to backtest the same strategy in Excel and R. The impetus for this series started with this tweet by Jared Woodard at Condor Options. After Soren Macbeth introduced us, Jare...

In his detailed research on RSI(2) indicator, MarketSci emphasized several times that the contrarian strategies based on the RSI(2) indicator didn’t start working until the 80s. I remembered this observation recently when I observed another interesting anomaly … In statistics, an important initial step in studying time series data is to consider the auto correlation

Sierra Trading Post mailed me their End-of-Winter 2011 catalog, which consists mostly of mid- to high-end sportswear products, but also things like snow skis, flashlights, and binoculars. STP sells closeouts, overstock, seconds, and items with cosmetic blemishes or irregularities. I spent an hour of relaxation time enumerating the various product brands and their places of

This will be the last thing I’ll post prior starting to connect R with Metatrader. Indeed, as you may suspect already I use this blog as my lab-book. The following might be quite general, but it fits in my overall ambition to build a personal quant-trading architecture as professional as I can. Graphic visualization is

"The R-Files" is an occasional series from Revolution Analytics, where we profile prominent members of the R Community. Name: Dirk Eddelbuettel Background: Ph.D. (EHESS, France), Quantitative Analyst Nationality: Canadian Years Using R: About 15 Known for: RQuantlib, Rcpp/RInside, R packaging for Debian/Ubuntu, Task Views for Finance and HPC, CRANberries Dirk Eddelbuettel is an active member of the R community...