Quant trading
Reduce Trading Costs and Boost Profits with the “No-Trade Region” Strategy
An easy, practical way to harness an edge in the face of trading costs is the “no trade region” technique.
backtesting
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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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FactorsOptionsQuant tradingRHow To Get Historical S&P 500 Constituents Data For Free
In this post, we are going to construct snapshots of historic S&P 500 index constituents, from freely available data on
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BacktestingQuant tradingRTrading strategiesZorroKalman 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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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 trader
Backtesting Bias:
Feels Good, Until You Blow UpIn an ideal trading universe (free from backtesting bias), we’d all have a big golden “causation magnifying glass”. Through the
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BacktestingQuant tradingRThink like a traderTrading booksTrading strategies
Dual Momentum Investing: A Quant’s Review
I recently read Gary Antonacci’s book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, and it was
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BacktestingQuant tradingThink like a traderTools of the trade
Back to Basics Part 3: Backtesting in Algorithmic Trading
This is the final post in our 3-part Back to Basics series. You may be interested in checking out the
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BacktestingCointegrationFXQuant tradingRTrading booksTrading strategiesZorro
Exploring Mean Reversion and Cointegration: Part 2
In the first Mean Reversion and Cointegration post, I explored mean reversion of individual financial time series using techniques such
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BacktestingFXZorro
Benchmarking backtest results against random trading part 2
In the first part of this article, I described a procedure for empirically testing whether a trading strategy has predictive