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Updated by Alex Smith on Nov 16, 2015
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Alex Smith Alex Smith
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Finance Investment

An example of a trading strategy coded in R

Back-testing of a trading strategy can be implemented in four stages.

Getting the historical data
Formulate the trading strategy and specify the rules
Execute the strategy on the historical data
Evaluate performance metrics

In this post, we will back-test our trading strategy in R. The quantmod package has made it really easy to pull historical data from Yahoo Finance. The one line code below fetches NSE ( Nifty) data.

Algorithmic Trading in Different Landscapes

This presentation was presented by senior QI faculty and co-founder Rajib Ranjan Borah at the pre-conference workshop of the "4th Annual Conference: Behavioral Models and Sentiment Analysis Applied to Finance", in London in June 2014.

5 Top Biotech Movers of the Past Week

Over the past week, a few biotech companies made absolutely massive runs. In the past year, the health care sector was on fire from positive trials, U.S. Food and Drug Administration (FDA) approvals and mergers and acquisitions. These companies 24/7 Wall St. has picked stood out from the rest with at least 25% gains over the course of the week.

London and World Gold Council look to regulate OTC Gold market

Change is brewing in London as the the LBMA – the association that oversees the world’s largest gold market – is looking at how best to modernise and improve over-the-counter gold trading.

An Example of a Trading Strategy Coded in C++

Any trading strategy can be broken down into a set of events and the reaction to those events. The reactions can get infinitely complex and varying but essentially strategy writing is quite simply put exactly that. The kind of events and their frequency would depend on the markets and the instruments on which this strategy would be working on however, broadly speaking most markets would have different flavours of the following,

Executive Program in Algorithmic Trading Explained [WEBINAR]

The webinar was conducted by Mr Nitesh Khandelwal, Director at iRage Capital and core faculty at QuantInsti on 14th March, 2013. The webinar focussed on informing the attendees about Algorithmic Trading in general and detailing of our E-PAT course at QuantInsti.

The Greeks in Options: Delta, Gamma, Theta and Vega

The key requirement in successful options trading involves understanding and implementing options pricing models. In this post, we will get a brief understanding about Greeks which will help in creating and understanding the pricing models. Before we start understanding Greeks, it is important to get a hang of properties of option contracts.

Latency War: Why is Low Latency Important?

It’s the latency stupid! David Cheriton once said that if you have a network link with low bandwidth then it’s an easy matter of putting several in parallel to make a combined link with higher bandwidth, but if you have a network link with bad latency then no amount of money can turn any number of them into a link with good latency.

The 52-Week Low Club for Monday

Brookdale Senior Living Inc. (NYSE: BKD) dropped about 4.8% on Monday to post a new 52-week low of $20.27 against a high of $39.89. The stock closed at $21.29 on Friday night. Volume was nearly 10 times the daily average of around 5.7 million shares traded. The senior living communities operator had no specific news today.

Financial blog on news and global macroeconomic themes regarding the world economy. The blog7quot;s primary focus pertains to inflation, deflation, and hyperinflation, especially currencies, gold, silver, crude, oil, energy and precious metals. Other macro discussion topics include interest rates, China, commodities, the US dollar, Euro, Yuan, Yen, stagflation, emerging markets, politics, Congressional and statewide policy decisions that affect the US and global markets.

Day Trading Strategies - Introduction to the Rifle Charts on the MetaStock Xenith Platform

In this informative day trading webinar, best-selling author, Jea Yu, of the Alpha 7 Proprietary Trading Academy will detail the new Thunder and Tumbleweeds stock trading landscape caused by the infestation of high frequency and algorithmic trading programs. Mr. Yu will outline the playing field of participants and introduce the Rifle Charts that detect the presence of proprietary patterns like the mini pups and perfect storms on the MetaStock Xenith platform as well as provide some short day trading strategies to help you combat HFTs.

Trading Performance Evaluation Ratios and Techniques

Performance of a trading strategy is measured with a set of parameters. For example, if you are trading in equity then your returns are compared against the benchmark index. Consistency of returns of the strategy also proves to be a significant factor. Did the strategy perform well when the index suffered?

Brazil’s Caixa Unit IPO Concentrates on Investor Interest – Sources

Caixa Economical Federal Bank is one of the leading banks in Brazil which is under state control. It has enough recognition in the country and is trying to gain some more investors interest in favor of insurance unit. Recently, it initiated its IPO for the first time and is now planning to include its insurance...

Most Popular High Frequency Strategies Revealed

High frequency trading mostly revolves around the order book, one of previous article on ' Empirical Analysis of Limit Order Books' can be a helpful in understanding order book dynamics. The market microstructure, whether they are order driven or price driven, plays a crucial role in building a HFT strategy.

Statistics Behind Pair Trading (I): Understanding Correlation and Cointegration

The webinar links the key concepts of Algorithmic Trading to Engineers and Technology Graduates. It is aimed at explaining Algo Trading Basics in way that is easily understandable and palatable.

Advising a trade in LPL Financial

LPL Financial () is the largest organization of financial advisors in the United States. They make a living out of helping people invest their money. Now you can make some money off of their success. By trading their stock. The chart below shows how the stock has floundered since November if you are long term holder.

QuantInsti Quantitative Learning

Pioneer in algorithmic trading training in Asia More than 250+ students successfully received QI certification Participants placed at leading financial and algorithmic trading companies and universities QI faculty invited to speak at leading international conferences, academic institutions and events Knowledge imparted through cutting-edge technology - Online program delivery Preferred Indian partners for companies like CQF, BTRM and Unicom Learning Algorithmic trading, i.e.

Most Popular High Frequency Strategies Revealed

High frequency trading mostly revolves around the order book, one of previous article on ‘Empirical Analysis of Limit Order Books‘ can be a helpful in understanding order book dynamics. The market microstructure, whether they are order driven or price driven, plays a crucial role in building a HFT strategy.

Most Popular High Frequency Strategies Revealed

High frequency trading mostly revolves around the order book, one of previous article on ' Empirical Analysis of Limit Order Books' can be a helpful in understanding order book dynamics. The market microstructure, whether they are order driven or price driven, plays a crucial role in building a HFT strategy.

Options Greeks - Vega increases or decreases with respect to the time to expiry?

A short brief introduction to a Options Greeks measure called as Vega give by Mr. Rajib Ranjan Borah.

Parisians Brace for More Violence as Police Fail to Reassure

Unease pervaded Paris after Europe's worst terrorist bloodshed in more than a decade, with a sense among residents that the police cars cruising the streets and soldiers guarding closed parks won't be enough to stave off more attacks.

What Do All Super Traders Have In Common?

Often what is missing from an unsuccessful trader's strategy has nothing to do with what trading software they are using or which technical indicators they follow, but more about their psychology as a trader. What differentiates these "super traders" from the rest of us? Well, read the questions below and if you answer 'no' to...

  • The most overbought candidates included in this list meet a number of criteria. First, each of the securities boasts a 14-day RSI reading above 70, deeming them to be in “overbought” territory and ripe for a correction. Second, we apply a liquidity screen to eliminate the more thinly-traded securities out there. More specifically, the list excludes equities with a market cap below $10 billion and those with a five-day average trading volume below the 1 million shares mark; also excluded from this list are stocks trading below $10 a share.

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