512 search results for "trading"

IBrokers Featured on Quantitative Trading

January 17, 2009
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IBrokers Featured on Quantitative Trading

Jeff Ryan's IBrokers package was mentioned on Ernie Chan's blog, Quantitative Trading. Though the package is still in pre-alpha stage, it is generating quite a bit of interest.Source:Ernie ChanFriday, January 16, 2009Quantitative Trading: Algorithmic ...

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Welcome to FOSS Trading

September 28, 2008
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Welcome to FOSS Trading

This blog will highlight the development and use of free open-source software to research, test, and trade financial markets.Meet the authors:Joshua Ulrich is currently the author and maintainer of four R packages:TTR - Technical Trading Rules - a suit...

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Combining FAA and Stepwise Correlation

October 31, 2014
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Combining FAA and Stepwise Correlation

Since I debuted the stepwise correlation algorithm, I suppose the punchline that people want to see is: does it actually … Continue reading →

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Introducing Stepwise Correlation Rank

October 27, 2014
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Introducing Stepwise Correlation Rank

So in the last post, I attempted to replicate the Flexible Asset Allocation paper. I’d like to offer a thanks … Continue reading →

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A Failed Attempt at Backtesting Structural Arbitrage

October 2, 2014
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A Failed Attempt at Backtesting Structural Arbitrage

One of the things that I wondered about regarding the previous post was how would this strategy have performed in … Continue reading →

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Structural Arb Analysis and Portfolio Management Functionality in R

September 30, 2014
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Structural Arb Analysis and Portfolio Management Functionality in R

I want to use this post to replicate an article I found on SeekingAlpha, along with demonstrating PerformanceAnalytics’s ability to … Continue reading →

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DVI Performance

September 24, 2014
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DVI Performance

This is the next post in the DVI indicator series. After the first two (here and here) analyzed in details the post-entry returns and the entry power of this indicator, it’s time to take a look at the trading performance. Using the Systematic Investor Toolbox, we get some pretty decent results: CAGR of 16.15% and

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Nuts and Bolts of Quantstrat, Part III

September 20, 2014
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Nuts and Bolts of Quantstrat, Part III

This post will focus on signals in quantstrat. In comparison to indicators, signals in quantstrat are far more cut-and-dry, as … Continue reading →

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Nuts and Bolts of Quantstrat, Part II

September 16, 2014
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Nuts and Bolts of Quantstrat, Part II

Last week, I covered the boilerplate code in quantstrat. This post will cover parameters and adding indicators to strategies in … Continue reading →

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Nuts and Bolts of Quantstrat, Part I

September 8, 2014
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Nuts and Bolts of Quantstrat, Part I

Recently, I gave a webinar on some introductory quantstrat. Here’s the link. So to follow up on it, I’m going … Continue reading →

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