BacktestingFactorsQuant tradingRTrading strategies
A Simple, Effective Way to Manage Turnover and Not Get Killed by Costs
Every time we trade, we incur a cost. We pay a commission to the exchange or broker, we cross spreads,
Backtesting
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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
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BacktestingFXQuant tradingZorroExploiting The Non-Farm Payrolls Drift
Anyone that’s been around the markets knows that the monthly release of the United States Department of Labor’s Non-Farm Payrolls
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BacktestingQuant tradingZorroParameter 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
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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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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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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
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BacktestingFactorsQuant tradingRZorro
Can you apply factors to
trade performance?When tinkering with trading ideas, have you ever wondered whether a certain variable might be correlated with the success of
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BacktestingQuant tradingThink like a traderZorro
A Quant’s Approach to Drawdown:
The Cold Blood IndexIn part 1 of this series, we talked about how a market-savvy systematic trader would approach a period of drawdown