579 search results for "trading"

Trading strategy: Making the most of the out of sample data

August 19, 2016
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Trading strategy: Making the most of the out of sample data

When testing trading strategies a common approach is to divide the initial data set into in sample data: the part of the data designed to calibrate the model and out of sample data: the part of the data used to validate the calibration and ensure that the performance created in sample will be reflected in the

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Shorting at High: Algo Trading Strategy in R

August 11, 2016
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Shorting at High: Algo Trading Strategy in R

By Milind Paradkar Milind began his career in Gridstone Research, building earnings models and writing earnings notes for NYSE listed companies, covering Technology and REITs sectors. Milind has also worked at CRISIL and Deutsche Bank, where he was involved in modeling of Structured Finance deals covering Asset Backed Securities (ABS), and Collateralized Debt Obligations (CDOs)... The post Shorting...

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Quantitative Trading Strategy Using R: A Step by Step Guide

January 20, 2016
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Quantitative Trading Strategy Using R: A Step by Step Guide

In this post we will discuss about building a trading strategy using R. Before dwelling into the trading jargons using R let us spend some time understanding what R is. R is an open source. There are more than 4000 add on packages,18000 plus members of LinkedIn’s group and close to 80 R Meetup groups... The post

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Trading Autocorrelation?

November 15, 2015
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Trading Autocorrelation?

Markets are very smart in absorbing and reflecting information. If you think otherwise, try making money by trading. If you are new to it, make sure you don’t bet the house. In other words, markets are efficient. At least most of the time. So then why people trade? The general believe is that there are The post

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An example of a trading strategy coded in R

October 6, 2015
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An example of a trading strategy coded in R

Back-testing of a trading strategy can be implemented in four stages. Getting the historical data Formulate the trading strategy and specify the rules Execute the strategy on the historical data Evaluate performance metrics In this post, we will back-test our trading strategy in R. The quantmod package has made it really easy to pull historical... The post

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How to Design Quant Trading Strategies Using R?

July 30, 2015
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How to Design Quant Trading Strategies Using R?

This blog covers in brief the concept of strategy back-testing using R. Before dwelling into the trading jargons using R let us spend some time understanding what R is. R is an open source. There are more than 4000 add on packages,18000 plus members of LinkedIn’s group and close to 80 R Meetup groups currently... The post

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Trading Moving Averages with Less Whipsaws

June 21, 2015
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Using a simple moving average to time markets has been a successful strategy over a very long period of time. Nothing to brag home about, but it cuts the drawdown of a buy and hold by about a half, sacrificing less than 1% of the CAGR in the process. In two words, simple yet effective. The post

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FOMC Cycle Trading Strategy in Quantstrat

March 14, 2015
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FOMC Cycle Trading Strategy in Quantstrat

Another hotly anticipated FOMC meeting kicks off next week, so I thought it would be timely to highlight a less well-known working paper, “Stock Returns over the FOMC Cycle”, by Cieslak, Morse and Vissing-Jorgensen (current draft June 2014). Its main result is:Over the last 20 years, the average excess return on stocks over Treasury bills follows a bi-weekly pattern...

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Trading The Odds Volatility Risk Premium: Addressing Data Mining and Curve-Fitting

November 19, 2014
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Trading The Odds Volatility Risk Premium: Addressing Data Mining and Curve-Fitting

Several readers, upon seeing the risk and return ratio along with other statistics in the previous post stated that the … Continue reading →

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Structural “Arbitrage”: Trading the Equity Curve

October 15, 2014
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Structural “Arbitrage”: Trading the Equity Curve

The last post demonstrated that far from being a world-beating, absolutely amazing strategy, that Harry Long’s Structural “Arbitrage”, was in … Continue reading →

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