502 search results for "trading"

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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TTR_0.20-2 on CRAN

March 30, 2010
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TTR_0.20-2 on CRAN

An updated version of TTR is now on CRAN. It fixes a couple bugs and includes a couple handy tweaks. Here's the full contents of the CHANGES file:TTR version 0.20-2 Changes from version 0.20-1NEW FEATURES:Added VWAP and VWMA (thanks to Brian Peterson...

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Modified Donchian Band Trend Follower using R, Quantmod, TTR -Part 2: Parameter Sweep Sensitivity over long run

March 24, 2010
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Modified Donchian Band Trend Follower using R, Quantmod, TTR  -Part 2: Parameter Sweep Sensitivity over long run

Here is a small update to the Donchian Channel type system I displayed in the last post.Fig 1. Sensitivity of Net Combined L/S Gain to parameter n.Using the S&P500 index as a proxy for the market, a simulation was run over the lifetime of the index. No...

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Modified Donchian Band Trend Follower using R, Quantmod, TTR

March 12, 2010
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Modified Donchian Band Trend Follower using R, Quantmod, TTR

I've been toying around with the examples given on the FOSS trading site for some of the great work they've put together in the Quantmod and TTR packages. Those viewers who are looking for a nice (and free) backtesting suite to possibly complement s...

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Intermarket Whac-A-Mole

March 6, 2010
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Intermarket Whac-A-Mole

Every trader that looks at more than one market throughout the day will recognize that there is a certain symmetrical relationship between certain markets at certain times. The confounding thing about these intermarket relationships is that they are fl...

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Time Series Calendar Heat Maps Using R

February 22, 2010
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Time Series Calendar Heat Maps Using R

I came across an interesting blog that showcased Charting time series as calendar heat maps in R . It is based upon a great algorithm created by Paul Bleicher,CMO of Humedica. I'll let you link to the other blog to see more details on the background ...

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