491 search results for "trading"

R/Finance 2014 Review

June 30, 2014
By

It's been more than a month since R/Finance 2014, and my job has finally slowed down enough to allow me to write down my thoughts (though I'm writing this over two days during my train to and from Chicago).The comments below are based on my personal ex...

Read more »

FRAMA Part II: Replicating A Simple Strategy

June 27, 2014
By
FRAMA Part II: Replicating A Simple Strategy

This post will begin the investigation into FRAMA strategies, with the aim of ultimately finding a FRAMA trading strategy with … Continue reading →

Read more »

The Continuing Search For Robust Momentum Indicators: the Fractal Adaptive Moving Average

June 22, 2014
By
The Continuing Search For Robust Momentum Indicators: the Fractal Adaptive Moving Average

Following from the last post and setting aside the not-working-as-advertised Trend Vigor indicator, we will turn our attention to the … Continue reading →

Read more »

Constructing a Continuous Futures Series From Quandl

June 17, 2014
By
Constructing a Continuous Futures Series From Quandl

by Ilya Kipnis In this post, I will demonstrate how to obtain, stitch together, and clean data for backtesting using futures data from Quandl. Quandl was previously introduced in the Revolutions Blog. Functions I will be using can be found in my IK Trading package available on my github page. With backtesting, it’s often times easy to get data...

Read more »

Trend Vigor Part IV: Shorting and Walk Forward Test

June 16, 2014
By
Trend Vigor Part IV: Shorting and Walk Forward Test

While Trend Vigor has potential on the long end (as seen in part III of this investigation here), as Andreas … Continue reading →

Read more »

Trend Vigor Part III: ATR position sizing, Annualized Sharpe above 1.4, and Why Leverage Is Pointless

June 11, 2014
By
Trend Vigor Part III: ATR position sizing, Annualized Sharpe above 1.4, and Why Leverage Is Pointless

To continue the investigation of Trend Vigor (see part 1 here, and part 2 here), let’s examine the importance of … Continue reading →

Read more »

A quick look at FX realized vol

May 31, 2014
By
A quick look at FX realized vol

Much has been said about the decline in volatility. At the moment I am very active in FX spot trading and as a generalization do better the more vol there is. I wanted to see how things stood on the crosses I am most active in, namely EUR/USD, GBP/USD and USD/JPY. I took hourly data from FxPro (not my broker, nor...

Read more »

Trend Vigor Part II–the Delta parameter, Ehlers entries and exits, and (vaguely) intelligent portfolio management.

May 29, 2014
By
Trend Vigor Part II–the Delta parameter, Ehlers entries and exits, and (vaguely) intelligent portfolio management.

The last post gave a cursory overview of implementing a basic quantstrat strategy, and an introduction to Dr. Ehlers’s Trend … Continue reading →

Read more »

R / Finance 2014: Packaged Takeaways

May 29, 2014
By
R / Finance 2014: Packaged Takeaways

by Joseph Rickert I was very happy to have been able to attend R / Finance 2014 which wrapped up a couple of weeks ago. In general, the talks were at a very high level of play, some dealing with brand new ideas and many presented at a significant level of technical or mathematical sophistication. Fortunately, most of the...

Read more »

Which came first, the preference or the choice?

May 27, 2014
By
Which came first, the preference or the choice?

Obviously, preference precedes choice because choices are made to maximize preference. That is certainly the way we conduct our marketing research. We generate factorial designs and write descriptions full of information about products and services. Ou...

Read more »