496 search results for "trading"

ARMA Models for Trading, Part II

April 20, 2011
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ARMA Models for Trading, Part II

We left the last post at the point of determining the best ARMA model. Before continuing the discussion, however, I would like to make a few points that might seem a bit questionable or unclear: We model the daily returns instead of the prices. There are multiples reasons: this way financial series usually become stationary,

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Introduction to Cointegration and Pairs Trading

April 15, 2011
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Introduction to Cointegration and Pairs Trading

Introduction Suppose you see two drunks (i.e., two random walks) wandering around. The drunks don’t know each other (they’re independent), so there’s no meaningful relationship between their paths. But suppose instead you have a drunk walking with her dog. This … Continue reading →

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Recursive Trading System in R

April 15, 2011
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Recursive Trading System in R

I have a trick knee. Normally, it works just fine. But if I stand on my head when its raining on Tuesdays and Thursdays and pinch my nose, it hurts. Not just a little. It hurts a lot. I went to the doctor and he told me not to stand on my head when it'...

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ARMA Models for Trading, Part I

April 14, 2011
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ARMA Models for Trading, Part I

Lately I have been testing trading models based on methods from various fields: statistics, machine learning, wavelet analysis and others. And I have been doing all that in R! In this series, I will try to share some of these efforts starting with the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a

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Pair-Trading with S&P500 Companies – Part II.

April 10, 2011
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Today I'm going to share with you further outcomes of my research in statistical arbitrage trading technique - pair-trading. In the first part of pair-trading with S&P500 Companies I used downloaded data from yahoo to identify co-integrated pairs. Next stage is to take closer look at results and identify potentially profitable pairs. As an example

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Pair-Trading with S&P500 Companies – Part I.

March 30, 2011
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In my recent post I wrote the code to download historical data for companies included in S&P500 index. Today I would like to perform statistical procedures to identify whether certain pair of stocks is co-integrated or not. Since there are approximately 500 companies that means I will need to perform calculations of testing. First of

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The Leverage Space Trading Model

March 29, 2011
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The Leverage Space Trading Model

I finally got around to reading Ralph Vince’s latest The Leverage Space Trading Model (for a brief summary see this magazine article in Futures), and I’m happy to say that the book was very helpful in approach and example.  I especially enjoye...

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Blackbox trading Strategy using Rapidminer and R II

March 8, 2011
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Blackbox trading Strategy using Rapidminer and R II

Long time without updating the blog for lack of time (again) due to new professional and personal challenges. Continuing with the strategy of Black Box, thanks to recommendations made by several readers and the lack of time to make a good tutorial of the model, I’m going to make available the file with...

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Blackbox trading Strategy using Rapidminer and R II

March 8, 2011
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Blackbox trading Strategy using Rapidminer and R II

Long time without updating the blog for lack of time (again) due to new professional and personal challenges. Continuing with the strategy of Black Box, thanks to recommendations made by several readers and the lack of time to make a good tutorial of the model, I’m going to make available the file with...

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Algorithmic Trading in R: Available Information

February 12, 2011
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Algorithmic Trading in R: Available Information

After digging through different blogs and info on the web I found an amazingly strong and developping community supporting R for specific applications in algorithmic trading. Thereafter I present some of the major information that I believe are essenti...

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