Working with Tidy Financial Data in tidyr

Holding data in a tidy format works wonders for one’s productivity. Here we will explore the tidyr package, which is all about creating tidy data. In particular, let’s develop an understanding of the tidyr::pivot_longer and tidyr::pivot_wider functions for switching between different formats of tidy data. In this video, you’ll learn: What tidy data looks like …

Read more

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 in R Implemented a simple pairs trading algorithm in Zorro Connected Zorro and R and exchanged data between the two platforms In this fourth and final post, we’re going to put it all together and …

Read more

Deep Learning for Trading Part 3: Feed Forward Networks

This is the third in a multi-part series in which we explore and compare various deep learning tools and techniques for market forecasting using Keras and TensorFlow. In Part 1, we introduced Keras and discussed some of the major obstacles to using deep learning techniques in trading systems, including a warning about attempting to extract meaningful signals …

Read more

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 clear to me that this was an important book to share with the Robot Wealth community. It is important not only because it describes a simple approach to exploiting the “premier anomaly” (Fama and French, …

Read more

Intro to Algorithmic Trading – An Algorithmic Trading System

This is the first post in our 3-part Back to Basics series which serve as an introduction to algorithmic trading. You may be interested in checking out the other posts in this series: Part 2: How to Succeed at Algorithmic Trading Part 3: Backtesting in Algorithmic Trading This is the first in a series of posts in …

Read more

Hurst Exponent for Algorithmic Trading

This is the first post in a two-part series about the Hurst Exponent. Tom and I worked on this series together and I drew on some of his previously published work as well as other sources like Quantstart.com. UPDATE 03/01/16: Please note that the Python code below has been updated with a more accurate algorithm for …

Read more

How to Create a Trading Algorithm: So You Want to Build Your Own Algo Trading System?

This post comes to you from Dr Tom Starke, a good friend of Robot Wealth. Tom is a physicist, quant developer and experienced algo trader with keen interests in machine learning and quantum computing. I am thrilled that Tom is sharing his knowledge and expertise with the Robot Wealth community. Over to you, Tom. Unlike …

Read more

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 as the Augmented Dickey-Fuller test, the Hurst exponent and the Ornstein-Uhlenbeck equation for a mean reverting stochastic process. I also presented a simple linear mean reversion strategy as a proof of concept. In this post, I’ll …

Read more

A framework for rapid and robust system development based on k-means clustering

Important preface: This post is in no way intended to showcase a particular trading strategy. It is purely to share and demonstrate the use of the framework I’ve put together to speed the research and development process for a particular type of trading strategy. Comments and critiques regarding the framework and the methodology used are most …

Read more

Unsupervised candlestick classification for fun and profit – part 2

In the last article, I described an application of the k-means clustering algorithm for classifying candlesticks based on the relative position of their open, high, low and close. This was a simple enough exercise, but now I tackle something more challenging: isolating information that is both useful and practical to real trading. I’ll initially try two …

Read more