Thursday, January 28, 2016. Kaggle Winton Stock Market Challenge - Post-Mortem. Recently, I participated in a Kaggle contest. 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. Some posters were wondering about why WMAE was used as opposed to RMSE. In financial time series, MA.

There is no excerpt because this is a protected post. There is no excerpt because this is a protected post. Given the current macro-economic environment, where should investors focus their search for sources of alpha in the year ahead? December 8, 2017.

Monday, January 13, 2014. Last post on this blog, we are moving. Please update your bookmarks and feeds. Monday, February 4, 2013. Trading With Python online course starting in April. Tuesday, January 1, 2013. In my previous post I came to a conclusion that close-to-close pairs trading is .

Bitcoin Futures, Part 2. It was a tight race between CME and CBOE to be the first one to list BTC futures, but CBOE turned out to be a winner. Bitcoin futures will start trading on CFE platform this Sunday, Dec 10, at 6pm EST. CME is scheduled to list futures 8 days later, on December 18th. Bitcoin and Volatility, Part 3. Yesterday Russel Rhoads wrote an article. But even though daily volatility of the two is at about the same level.

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. Reports of my death have been greatly exaggerated Mark Twain. Finally I want to take th.

Is my framework which I have been using for backtesting and signal generation in my futures trading. My feeling is that it might be useful to others, and I have decided to open source it. Interactive Brokers Now Supports Continous Futures. I just noticed that Interactive Brokers has added some support. For continues futures contracts! Trading Moving Averages with Less Whipsaws. Using a simple moving average to time markets has been a suc.

R financial time series tips everyone should know about. The xts package is the must have when it comes to times series in R. The example below loads the package and creates a daily time series of 400 days normaly distributed returns. It determines how the binding is done.

HFT are VERY active in the ES markets. Most likely the most HFT-dominant market. The golden age of HFT is on a decline.

You need no prophet to trade your account. Saturday, February 14, 2015. The end of EOM? Posted by - Sanz Prophet. Historically and up to 2013, equities have exhibited a positive bias during the end of the month. Here is an example of buying the SPY etf on the first down-day after the 23rd and selling on the first up-day of the next month. Trading is at the same day close. Grøtte, has also recently blogged. The EOM bias is no more. Tuesday, January 27, 2015.