Quant trading
Optimising the rsims package for fast backtesting in R
rsims is a new package for fast, quasi event-driven backtesting in R. You can find the source on GitHub, docs
Blog
-
-
Quant trading
Exploring the rsims package for fast backtesting in R
rsims is a new package for fast, realistic (quasi event-driven) backtesting of trading strategies in R. Really?? Does the world
-
Quant tradingHow to Lose Money Trading (and how not to)
It’s easy to lose money trading if you do certain things: Trade too much (paying fees and market impact on
-
Quant tradingTools of the tradeTrading strategiesHow to Predict Asset Prices (and how not to)
If you have some factor that you think predicts future stock returns (or similar) and you are making charts like
-
Quant tradingTrading as a businessWhat P&L Swings Can I Expect as a Trader?
Many beginner traders don’t realize how variable the p&l of a high-performing trading strategy really is. Here’s an example… I
-
Quant tradingTools of the tradeTrading strategiesHow do I know if I have an edge?
I’ve been helping a family friend with his trading. I’ve given him a simple systematic strategy to trade by hand.
-
Quant tradingThree types of systematic strategy that “work”
Broadly, there are three types of systematic trading strategy that can “work.” In order of increasing turnover they are: Risk
-
RZorroExporting Zorro Data to CSV
Earlier versions of Zorro used to ship with a script for converting market data in Zorro binary format to CSV.
-
Quant tradingEvolving Thoughts on Data Mining
Several years ago, I wrote about some experimentation I’d done with data mining for predictive features from financial data. The
-
RTrading strategiesAre Cheap Stocks Expensive? A Simple Equity Factor Analysis Walkthrough
I have been sharing examples of simple real-time trading research on my Twitter account. I do this kind of thing a
-
BacktestingFXRTime series modellingTrading strategiesZorroTrading FX using Autoregressive Models
I’m a big fan of Ernie Chan’s quant trading books: Quantitative Trading, Algorithmic Trading, and Machine Trading. There are some
-
Quant trading
Tesla’s inclusion in the S&P 500 – Is there a trade?
The S&P index committee recently announced that Tesla, already one of the biggest stocks listed in the country, would be