545 search results for "trading"

Book Review: R for Business Analytics

January 28, 2015
By
Book Review: R for Business Analytics

The book R for Business Analytics by Ajay Ohri sets out to look at "some of the most common tasks performed by business analysts and helps the user navigate the wealth of information in R and its 4000 packages." In my opinion it succeeds in covering an extensive range of topics but fails to provide The post

Read more »

An Introduction to Change Points (packages: ecp and BreakoutDetection)

January 21, 2015
By
An Introduction to Change Points (packages: ecp and BreakoutDetection)

A forewarning, this post is me going out on a limb, to say the least. In fact, it’s a post/project … Continue reading →

Read more »

Contraceptive Choice in Indonesia

January 20, 2015
By
Contraceptive Choice in Indonesia

I wanted yet another opportunity to get to use the fabulous caret package, but also to finally give plot.ly a try.  To scratch both itches, I dipped into the UCI machine learning library yet again and came up with a … Continue reading →

Read more »

An Update On EAA and a Volatility Strategy

January 16, 2015
By
An Update On EAA and a Volatility Strategy

Again, before starting this post, I’d like to inform readers that the book Quantitative Trading With R, written by Harry … Continue reading →

Read more »

Downloading Option Chain Data from Google Finance in R: An Update

January 13, 2015
By
Downloading Option Chain Data from Google Finance in R: An Update

I recently read an article which showed how to download Option Chain data from Google Finance using R. Interestingly, that article appears to be a close adaption of another article which does the same thing using Python. While playing around with the code from these articles I noticed a couple of things that might benefit

Read more »

Adding a Risk-Free Rate To Your Analyses

January 9, 2015
By
Adding a Risk-Free Rate To Your Analyses

First off, before beginning this post, I’d like to make my readers aware of the release of a book that … Continue reading →

Read more »

For A New Year, A New Asset Allocation System Just Published in SSRN

January 2, 2015
By
For A New Year,  A New Asset Allocation System Just Published in SSRN

Happy New Year! So, this is something I’ve been working on before its official publication (so this is the first … Continue reading →

Read more »

Why Backtesting On Individual Legs In A Spread Is A BAD Idea

December 31, 2014
By
Why Backtesting On Individual Legs In A Spread Is A BAD Idea

So after reading the last post, the author of quantstrat had mostly critical feedback, mostly of the philosophy that prompted … Continue reading →

Read more »

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

December 23, 2014
By
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 →

Read more »

Does Trend Following Work?

December 23, 2014
By
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...

Read more »