BacktestingQuant tradingZorro
Parameter Optimisation for Systematic Trading
Optimisation tools have a knack for seducing systematic traders. And what’s not to love? Find me the unique set of
Parameter Optimisation for Systematic Trading
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BacktestingQuant tradingTrading as a businessTrading infrastructureZorro
A Review of Zorro for Systematic Trading
One of the keys to running a successful systematic trading business is a relentless focus on high return-on-investment activities. High
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BacktestingFactorsQuant tradingRTrading strategies
Revenge of the Stock Pickers
To say we’re living through extraordinary times would be an understatement. We saw the best part of 40% wiped off
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Quant tradingTime series modellingTrading strategies
A Vector Autoregression Trading Model
The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships and feedback loops. If
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Machine learningRTools of the trade
The Graphical Lasso and its Financial Applications
Way back in November 2007, literally weeks after SPX put in its pre-GFC all-time high, Friedman, Hastie and Tibshirani published
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BacktestingQuant tradingRTrading strategiesZorro
Kalman Filter Pairs Trading with Zorro and R
In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter
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BacktestingQuant tradingRZorro
Integrating R with the Zorro Backtesting and Execution Platform
In the last two posts, we implemented a Kalman filter in R for calculating a dynamic hedge ratio, and presented
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CointegrationQuant tradingTrading strategiesZorro
Pairs Trading in Zorro
In our previous post, we looked into implementing a Kalman filter in R for calculating the hedge ratio in a
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BacktestingCointegrationQuant tradingRTime series modellingTrading strategies
Kalman Filter Example:
Pairs Trading in RThis Kalman Filter Example post is the first in a series where we deploy the Kalman Filter in pairs trading.
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BacktestingQuant tradingTrading strategiesZorro
Pattern Recognition with the Frechet Distance
Chart patterns have long been a favourite of the technical analysis community. Triangles, flags, pennants, cups, heads and shoulders…. Name