Finance Train

We will perform some data analysis with the 4 ETF symbols that we have loaded into the environment. This analysis consists of comparing the returns of the four ETFs, observing their correlations, getting some statistics, and trying to answer some questions such as which of the ETFs has the best performance in the whole period. […]

Apart from loading data from external and local sources, Quantmod is also suitable for making beautiful charts. There are three types of charts: lines, bars and candlestick. We will learn how to create these charts to show historical data for SPY index. In Quantmod, the function to create charts is called chartSeries. With the type parameter we can change the chart […]

Once the quantmod package is installed and library is loaded, we can start using the library. We will start by showing some examples of how to download data from the web and load the data into the environment. Quantmod provides a very powerful function for downloading financial data from the web. This function is called […]

The quantmod package for R is designed to assist the quantitative traders in the development, testing, and deployment of statistics based trading models. Using quantmod, quant traders can quickly explore and build trading models. The important features of quantmod that we will use are divided into three categories: 1) downloading data, 2) charting, and 3) technical indicators and […]

In this lesson, will will look at how to create the two graphs in R. Before you start, it is important to setup your basic environment: Setup Environment Open RStudio and ensure that you have the basic setup in place. Create a new directory called ‘quantative-trading-strategies-r’ in your computer. We will use this director for […]

There are some risks indicators that traders and investors need to watch to avoid days with high volatility. These indicators are referred to as leading risk indicators. A good example of a risk indicator is the VIX index. This index tracks the implied volatility of the stocks that compose the S&P 500 index.  If VIX is higher than […]

Lastly we should have rules to manage the risk of the strategy. Risk and money management are the most important aspect in a trading strategy. This field focuses on drawdowns, leverage and volatility. It is important that any trading plan contains a risk management approach to minimize drawdowns, by the use of stop loss or […]

Backtesting a trading strategy refers to testing the strategy with historical data and observe their metrics, results and performance. Commonly, backtesting has some pitfalls that should be considered by any trader before they put a strategy in production.  Data Scientist and developers should take into account issues such as Optimization Bias, Survivorship Bias and Market Impact when backtesting their trading […]

The first step in the process of designing a trading strategy is to choose which type of strategy will be used and a timeframe to trade.  As stated earlier, the strategy can seek different goals and should be according to each person’s preferences and trading style. The different strategies are designed to take advantage of […]

As a quantitative trader, it is a good practice to establish a strategy pipeline that will provide with a stream of ongoing trading ideas. We can have a framework to backtest trading ideas that can be based on any open source projects such as quantstrat from R package. Idea Sources There are plenty of text-books, […]