497 search results for "trading"

Introducing IBrokers (and Jeff Ryan)

May 13, 2010
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Introducing IBrokers (and Jeff Ryan)

Josh had kindly invited me to post on FOSS Trading around the time when he first came up with the idea for the blog. Fast forward a year and I am finally taking him up on his offer.I'll start by highlighting that while all the software in this post is indeed free (true to FOSS), an account with...

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Introducing IBrokers (and Jeff Ryan)

May 13, 2010
By
Introducing IBrokers (and Jeff Ryan)

Josh had kindly invited me to post on FOSS Trading around the time when he first came up with the idea for the blog. Fast forward a year and I am finally taking him up on his offer.I'll start by highlighting that while all the software in this post is indeed free (true to FOSS), an account with...

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Is it possible to get a causal smoothed filter ?

May 12, 2010
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Is it possible to get a causal smoothed filter ?

Although I haven't been all that much of a fan of moving average based methods, I've observed some discussions and made some attempts to determine if it's possible to get an actual smoothed filter with a causal model. Anyone who's worked on financial ...

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Wavelet Spectrogram Non-Stationary Financial Time Series analysis using R (TTR/Quantmod/dPlR) with USDEUR

April 28, 2010
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Wavelet Spectrogram Non-Stationary Financial Time Series analysis using R (TTR/Quantmod/dPlR) with USDEUR

I've been doing some research lately regarding types of spectral imaging and decomposition techniques that apply to non-stationary signals. As mentioned earlier, one of the major problems with the simple fourier analysis is that the basis functions ext...

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Thoughts on LSPM from R/Finance 2010

April 18, 2010
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Thoughts on LSPM from R/Finance 2010

I just got back from R/Finance 2010 in Chicago. If you couldn't make it this year, I strongly encourage you to attend next year. I will post a more comprehensive review of the event in the next couple days, but I wanted to share some of my notes spec...

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Historical / Future Volatility Correlation Stability

April 11, 2010
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Historical / Future Volatility Correlation Stability

Michael Stokes, author of the MarketSci blog recently published a thought-provoking post about the correlation between historical and future volatility (measured as the standard deviation of daily close price percentage changes). This post is intended...

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Maximum Probability of Profit

April 9, 2010
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Maximum Probability of Profit

To continue with the LSPM examples, this post shows how to optimize a Leverage Space Portfolio for the maximum probability of profit. The data and example are again taken from The Leverage Space Trading Model by Ralph Vince. These optimizaitons take ...

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R package Blotter

April 6, 2010
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R package Blotter

How many times have you been disappointed by nice trading system, because neither trading cost or slippage or bid/ask spread were included into back-test results? Did you find difficult to back-test a portfolio in R or many portfolios with different stocks? Blotter package is supposed to solve these problems. In really – it is complicated. I

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Why isn’t my 2X Ultra ETF keeping pace with the market and what is path asymmetry (R ex)? Part 2

April 3, 2010
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Why isn’t my 2X Ultra ETF keeping pace with the market and what is path asymmetry (R ex)? Part 2

I created an example to show how the theory from part 1 might be applied using S&P500 as a proxy for performance. Just in case anyone viewing is not familiar with terminal wealth, it is the final (usually compounded) ending value (hence, terminal) of ...

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Why isn’t my 2X Ultra ETF keeping pace with the market and what is path asymmetry (R ex)?

March 31, 2010
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Why isn’t my 2X Ultra ETF keeping pace with the market and what is path asymmetry (R ex)?

I've been reading a few articles lately, lambasting ultra ETFs for not keeping up with markets and ascribing the problem to weird unexplainable reasons such as portfolio derivative re-balancing and negative drift. I thought it would be nice to revisit...

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