536 search results for "TRADING"

A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

December 23, 2014
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A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

In this post, I’ll attempt to address a question I’ve seen tossed around time and again regarding quantstrat. “How do … Continue reading →

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Does Trend Following Work?

December 23, 2014
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Does Trend Following Work?

I’m not sure how I came across it, but I have had Jez Liberty’s Au.Tra.Sy blog in my reader since around 2009. Since then, he has tracked well-known trend following systems and reported monthly performance figures. These are things like moving average crossovers, Bollinger band breakouts and stuff like that.The systems had a very good month...

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A small introduction to the ROCR package

December 19, 2014
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A small introduction to the ROCR package

I've been doing some classification with logistic regression in brain imaging recently. I have been using the ROCR package, which is helpful at estimating performance measures and plotting these measures over a range of cutoffs. The prediction and performance functions are the workhorses of most of the analyses in ROCR I've been doing. For those

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The Geometry of Classifiers

December 18, 2014
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The Geometry of Classifiers

As John mentioned in his last post, we have been quite interested in the recent study by Fernandez-Delgado, et.al., “Do we Need Hundreds of Classifiers to Solve Real World Classification Problems?” (the “DWN study” for short), which evaluated 179 popular implementations of common classification algorithms over 120 or so data sets, mostly from the UCI … Continue reading...

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The ZOMMA Warthog Index

December 12, 2014
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The ZOMMA Warthog Index

Harry Long posted another article on SeekingAlpha. As usual, it’s another “looks amazing at first glance, and winds up being … Continue reading →

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Risk as a “Survival Variable”

December 8, 2014
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Risk as a “Survival Variable”

I come across a lot of strategies on the blogosphere some are interesting some are a complete waste of time but most share a common feature: people developing those strategies do their homework in term of analyzing the return but much less attention is paid to the risk side its random nature. I’ve seen comment like “a

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A New Volatility Strategy, And A Heuristic For Analyzing Robustness

December 4, 2014
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A New Volatility Strategy, And A Heuristic For Analyzing Robustness

This post is motivated by a discussion that arose when I tested a strategy by Frank of Trading The Odds … Continue reading →

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Power Outage Impact Choropleths In 5 Steps in R (featuring rvest & RStudio “Projects”)

November 27, 2014
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Power Outage Impact Choropleths In 5 Steps in R (featuring rvest & RStudio “Projects”)

I and @awpiii were trading news about the power outages in Maine & New Hampshire last night and he tweeted the link to the @PSNH Outage Map. As if the Bing Maps tiles weren’t bad enough, the use of a categorical color scale instead of a sequential one caused sufficient angst that I whipped up

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An Update on Flexible Asset Allocation

November 25, 2014
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An Update on Flexible Asset Allocation

A few weeks back, after seeing my replication, one of the original authors of the Flexible Asset Allocation paper got … Continue reading →

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Synchronization for R with the flock Package

November 20, 2014
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Have you tried synchronizing R processes? I did and it wasn’t straightforward. In fact, I ended up creating a new package – flock. One of the improvements I did not too long ago to my R back-testing infrastructure was to start using a database to store the results. This way I can compute all interesting

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