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Intelligent TradingDiscovering edge using Machine Learning, Data Mining, and Bio Inspired Algorithms to augment traditional Systematic Development.
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Discovering edge using Machine Learning, Data Mining, and Bio Inspired Algorithms to augment traditional Systematic Development.
http://intelligenttradingtech.blogspot.com/
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Intelligent Trading | intelligenttradingtech.blogspot.com Reviews
https://intelligenttradingtech.blogspot.com
Discovering edge using Machine Learning, Data Mining, and Bio Inspired Algorithms to augment traditional Systematic Development.
intelligenttradingtech.blogspot.com
Intelligent Trading: Is CTA trend following Dead?
http://intelligenttradingtech.blogspot.com/2013/03/is-cta-trend-following-dead.html
Sunday, March 10, 2013. Is CTA trend following Dead? This is just a very short comment related to discussions I've been having with a friend about trend following funds and a lot of the recent blogs and debates proclaiming the death of trend following. Fig 1 Barclay CTA Index. Posted by Intelligent Trading. Labels: Is CTA trend following Dead? Stefan Janse van Rensburg. March 11, 2013 at 1:34 AM. Im guessing these are raw returns? What does it look like compared to the general market? I've been trading f...
Intelligent Trading: March 2013
http://intelligenttradingtech.blogspot.com/2013_03_01_archive.html
Sunday, March 10, 2013. Is CTA trend following Dead? This is just a very short comment related to discussions I've been having with a friend about trend following funds and a lot of the recent blogs and debates proclaiming the death of trend following. Fig 1 Barclay CTA Index. Posted by Intelligent Trading. Links to this post. Labels: Is CTA trend following Dead? Subscribe to: Posts (Atom). Is CTA trend following Dead? View my complete profile.
Intelligent Trading: August 2011
http://intelligenttradingtech.blogspot.com/2011_08_01_archive.html
Thursday, August 4, 2011. Aug 4, 2011 "plunge" headlines are in the air tonight. Today's financial headlines are littered with the word 'plunge.' Considering today's (cl-cl) drop on the S&P500 was just about -5%, I don't know that I would exactly call that a plunge. Fig 1 Historical ts plot of S&P500 returns = -5%. The following R code produced a time series plot of historical occasions where this occurred. GetSymbols(" GSPC",from="1950-01-01",to="2012-01-01"). R05 -rtn[rtn = -.05]. Links to this post.
Intelligent Trading: October 2012
http://intelligenttradingtech.blogspot.com/2012_10_01_archive.html
Friday, October 26, 2012. Book Review: R for Business Analytics, A Ohri. I've added a recently released book to my list of recommendations (at the amazon carousel to the right), as I've reviewed a copy provided to me via Springer Publishers. The book is R for Business Analytic. Posted by Intelligent Trading. Links to this post. Book Review: R for Business Analytics. Subscribe to: Posts (Atom). Book Review: R for Business Analytics, A Ohr. View my complete profile.
Intelligent Trading: January 2013
http://intelligenttradingtech.blogspot.com/2013_01_01_archive.html
Friday, January 4, 2013. IBS reversion edge with QuantShare. Happy New Years to readers; my resolution this year is to continue delivering thoughts and ideas to others in the hopes that we all might be able to benefit somewhat from sharing observations. I'll start by describing an edge using QuantShare. As the back-testing engine. Fig 1 Optimized (overfit) SPY IBS Long run Performance. IBS = dfrac{Close - Low}{High -Low}$. What it describes is the relative position of the close with respect to the low to...
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Kleyson Rios: Junho 2008
http://kleysonrios.blogspot.com/2008_06_01_archive.html
Business Intelligence, Mercado Financeiro, Viagens e outros assuntos de interesse do autor. Quarta-feira, 11 de junho de 2008. Análise IBovespa e Vale5 - 11/06/2008. Compartilhar com o Pinterest. Segunda-feira, 9 de junho de 2008. Curso Candlestick - Parte 4: Tamanho, cor e frequência do corpo real. O gráfico de candle possibilita a identificação de vários elementos do comportamento humano, e isso significa poder identificar as forças que estão atuando no mercado. Compartilhar com o Pinterest. Ela quebra...
beyondtheblueeventhorizon.blogspot.com
Beyond the Blue Event Horizon: September 2011
http://beyondtheblueeventhorizon.blogspot.com/2011_09_01_archive.html
Beyond the Blue Event Horizon. Until recently I was chief operating officer at The Bornhoft Group. Having gained operations experience with a multiple-CTA manager, I now want to contribute both my strategic and implementation skills to drive growth for systematic trading funds. View my complete profile. Keep Up to Date. Or enter email directly . All-In on a New Account. All-In on a New Account. Wednesday, September 28, 2011. 160;I thought I would share my modest contribution here. 160;Perhaps a future lo...
beyondtheblueeventhorizon.blogspot.com
Beyond the Blue Event Horizon: October 2010
http://beyondtheblueeventhorizon.blogspot.com/2010_10_01_archive.html
Beyond the Blue Event Horizon. Until recently I was chief operating officer at The Bornhoft Group. Having gained operations experience with a multiple-CTA manager, I now want to contribute both my strategic and implementation skills to drive growth for systematic trading funds. View my complete profile. Keep Up to Date. Or enter email directly . Monday, October 18, 2010. Read more - - -. Links to this post. Subscribe to: Posts (Atom).
quantumfinancier.wordpress.com
Quantum Financier | On algorithmic trading | Page 2
https://quantumfinancier.wordpress.com/page/2
February 15, 2011. When designing a model, an aspect that I often overlook is scalability. First a definition from Investopedia: A characteristic of a system, model or function that describes its capability to cope and perform under an increased or expanding workload. A system that scales well will be able to maintain or even increase its level of performance or efficiency when tested by larger operational demands. Other avenues to consider in scalability are left to the interested reader who can always ...
quantumfinancier.wordpress.com
Basic Introduction to GARCH and EGARCH (part 1) | Quantum Financier
https://quantumfinancier.wordpress.com/2010/09/12/381
Basic Introduction to GARCH and EGARCH (part 1). September 12, 2010. As request by several readers in light of the previous series of post on using GARCH(1,1) to forecast volatility, here is a very basic introduction post on two models widely used in finance: the GARCH and EGARCH. As mentioned in one of my all time favorite blog post: Wonder of Residuals. There is a myriad of information and uses to this construct. When we fit a model, we are, or I am anyway (! Would call it level 1 adaptation. Must be e...
quantumfinancier.wordpress.com
Hello Old Friend | Quantum Financier
https://quantumfinancier.wordpress.com/2015/03/17/hello-old-friend
March 17, 2015. Reports of my death have been greatly exaggerated Mark Twain. Obviously since I have been trading full time my skill set has evolved so I can only imagine that the new perspective I hope to bring to the analysis contained moving forward will be more insightful. To all of you. From → Uncategorized. Larr; 2012 Wishes. 99 Problems But A Backtest Ain’t One →. March 18, 2015 03:31. Glad to hear you back🙂. Can I ask you what are the reasons to move to Python? March 19, 2015 14:40. I think R is...
quantumfinancier.wordpress.com
Basic Introduction to GARCH and EGARCH (part 2) | Quantum Financier
https://quantumfinancier.wordpress.com/2010/09/14/basic-introduction-to-garch-and-egarch-part-2
Basic Introduction to GARCH and EGARCH (part 2). September 14, 2010. First we construct the portfolio, see below the numbers for each individual component and the portfolio in the last column. From the standard deviation in the table, we see that SPY is far more volatile than AGG. Also note the very fat tail of SPY (normal value is 3). Finally, the negative skewness indicates that the left tail (negative returns) is longer, translating into more extreme losses. From → Uncategorized. I tried to follow alo...
quantumfinancier.wordpress.com
99 Problems But A Backtest Ain’t One | Quantum Financier
https://quantumfinancier.wordpress.com/2015/03/23/99-problems-but-a-backtest-aint-one
99 Problems But A Backtest Ain’t One. March 23, 2015. Backtesting is a very important step in strategy development. But if you have ever went through the full strategy development cycle, you may have realized how difficult it is to backtest a strategy properly. People use different tools to implement a backtest depending on their expertise and goals. For those with a programming background, Quantstrat. From → Uncategorized. Larr; Hello Old Friend. Give me good data, or give me death →. Thank you for comm...
quantumfinancier.wordpress.com
Regime Switching System Using Volatility Forecast | Quantum Financier
https://quantumfinancier.wordpress.com/2010/08/27/regime-switching-system-using-volatility-forecast
Regime Switching System Using Volatility Forecast. August 27, 2010. In the same line of thoughts as last post, today we will look at a way to incorporate the GARCH volatility model we introduced yesterday to create a regime switching strategy. It is often discussed on the blogosphere that high volatility is good for daily MR, see previous editions of the state of short-term mean-reversion report by Michael over at MarketSci here. As mentioned before on many other blogs, incorporating volatility forecast ...
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Intelligent Trading School
Atención: La próxima edición comienza en junio 2015. Las plazas son limitadas. Solicita información ahora. Curso Online de Trading Automático Rentable. Quieres aprender a hacer trading con robots? Rentabilizar tus cuentas con trading automático? Con nuestro curso ahora es posible! Libres de estrés y operando cualquier mercado 24 horas al día mejoramos nuestra operativa continuamente hasta conseguir nuestros objetivos de beneficios. En este curso impartido por Juan Manuel Almodóvar. Nivel 2. Intermedio.
intelligenttradingtech.blogspot.com
Intelligent Trading
Thursday, January 28, 2016. Kaggle Winton Stock Market Challenge - Post-Mortem. Recently, I participated in a Kaggle contest. Sponsored by Winton Capital. Fig 1 Sample observations of integrated training 1 min. time series with black iis intraday and blue oos intraday, D1 and D2 are red and green, respectively. Fig 2 First 25 unlabled features highlighting unstable trn/tst distributions in Feauture 7. Some posters were wondering about why WMAE was used as opposed to RMSE. In financial time series, MA...
