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Simple Ideas for a Mean Reversion Strategy with Good Results – Part 2 » Alvarez Quant Trading

Posted on September 9, 2014 by drbtk-admin

http://alvarezquanttrading.com/2014/09/08/simple-ideas-for-a-mean-reversion-strategy-with-good-results-part-2/

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Hidden Markov Models – Examples In R – Part 3 of 4 | Gekko Quant – Quantitative Trading

Posted on September 8, 2014 by drbtk-admin

http://gekkoquant.com/2014/09/07/hidden-markov-models-examples-in-r-part-3-of-4/

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Stats Make Me Cry

Posted on September 8, 2014 by drbtk-admin

http://www.statsmakemecry.com

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Posted on September 5, 2014 by drbtk-admin

http://www.lyxor.com/fileadmin/_fileup/lyxor_wp/document/51/files/assets/downloads/publication.pdf

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Quantitative Trading: Moving Average Crossover = Triangle Filter on 1-Period Returns

Posted on September 5, 2014 by drbtk-admin

http://epchan.blogspot.com/2014/09/moving-average-crossover-triangle.html?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+QuantitativeTrading+%28Quantitative+Trading%29

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Using R in Algorithmic Trading: Back-testing a machine learning strategy that retrains every day | Mechanical Forex

Posted on September 5, 2014 by drbtk-admin

http://mechanicalforex.com/2014/09/using-r-in-algorithmic-trading-back-testing-a-machine-learning-strategy-that-retrains-every-day.html

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Inovance – Easily Increasing Your Model’s Performance

Posted on September 3, 2014 by drbtk-admin

https://inovancetech.com/NN2.html

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Using R in Algorithmic Trading: Building and testing a machine learning model | Mechanical Forex

Posted on September 2, 2014 by drbtk-admin

http://mechanicalforex.com/2014/09/using-r-in-algorithmic-trading-building-and-testing-a-machine-learning-model.html

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5 Steps to Trading a Stock Market Crash – Backtestwizard

Posted on September 2, 2014 by drbtk-admin

http://backtestwizard.com/5-steps-to-trade-stock-market-crash/

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Posted on September 1, 2014 by drbtk-admin

http://www.cboermceurope.com/uploads/1/1/7/2/11724266/day_3_keynote.dupire.pdf

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R vs MATLAB (Round 3) | Eran RavivEran Raviv

Posted on August 28, 2014 by drbtk-admin

http://eranraviv.com/blog/r-vs-matlab-round-3/

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R vs MatlabEran Raviv

Posted on August 28, 2014 by drbtk-admin

http://eranraviv.com/blog/r-vs-matlab-round-2/

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R vs MatlabEran Raviv

Posted on August 28, 2014 by drbtk-admin

http://eranraviv.com/blog/r-vs-matlab-round-1/

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QuantGo.com

Posted on August 27, 2014 by drbtk-admin

https://quantgo.com

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quantmod: Quantitative Financial Modelling Framework

Posted on August 25, 2014 by drbtk-admin

http://www.quantmod.com

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VCI — The Value Charts Indicator | QuantStrat TradeR

Posted on August 25, 2014 by drbtk-admin

http://quantstrattrader.wordpress.com/2014/08/23/vci-the-value-charts-indicator/

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Advantages With Mechanical Strategies | Quantified Strategies

Posted on August 22, 2014 by drbtk-admin

http://www.quantifiedstrategies.com/advantages-with-mechanical-strategies/

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Attention Prop Traders: The first half hour of trading predicts the last half hour… – Alpha Architect

Posted on August 22, 2014 by drbtk-admin

http://www.alphaarchitect.com/blog/2014/08/21/attention-prop-traders-the-first-half-hour-of-trading-predicts-the-last-half-hour/#.U_Y9x2NEOzA

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Can Momentum Be Arbitraged Away? • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength

Posted on August 22, 2014 by drbtk-admin

http://systematicrelativestrength.com/2014/08/21/can-momentum-be-arbitraged-away/

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Factor Analysis In R » The Capital Spectator

Posted on August 20, 2014 by drbtk-admin

http://www.capitalspectator.com/factor-analysis-in-r/

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Quantitative Trading: Kelly vs. Markowitz Portfolio Optimization

Posted on August 19, 2014 by drbtk-admin

http://epchan.blogspot.com/2014/08/kelly-vs-markowitz-portfolio.html

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Hedging the Market with Volatility – Six Figure Investing

Posted on August 19, 2014 by drbtk-admin

http://sixfigureinvesting.com/2014/08/hedging-market-with-vix-vxx-uvxy-vix-futures/

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How to Download Stock Information into R

Posted on August 17, 2014 by drbtk-admin

http://luminouslogic.com/how-to-download-stock-information-into-r.htm?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+Luminouslogiccom+%28luminouslogic.com%29

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Online Linear Regression using a Kalman Filter

Posted on August 15, 2014 by drbtk-admin

http://www.thealgoengineer.com/2014/online_linear_regression_kalman_filter/

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Inovance – Step-by-step Guide on Using A Machine-Learning Algorithm to Trade

Posted on August 14, 2014 by drbtk-admin

http://inovancetech.com/blogML2.html

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Inovance – An Introduction to Using Machine Learning to Build your Trading Strategy

Posted on August 14, 2014 by drbtk-admin

http://inovancetech.com/blogML.html

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Finding Smart Beta in the Factor Zoo

Posted on August 11, 2014 by drbtk-admin

http://www.researchaffiliates.com/Our%20Ideas/Insights/Fundamentals/Pages/223_Finding_Smart_Beta_in_the_Factor_Zoo.aspx

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ETFs To Consider If Federal Reserve Policy Tightens | See It Market

Posted on August 11, 2014 by drbtk-admin

http://www.seeitmarket.com/etfs-for-federal-reserve-policy-tightening-13703/

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Nadig: Finally, Credit Default Swap ETFs | ETF.com

Posted on August 11, 2014 by drbtk-admin

http://www.etf.com/sections/blog/22869-nadig-finally-credit-default-swap-etfs.html?fullart=1&start=2

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The Putrid Portfolio — Millennial Invest

Posted on August 8, 2014 by drbtk-admin

http://www.millennialinvest.com/blog/2014/8/6/the-putrid-portfolio

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Quantopian – Last Six Weeks of Minute Resolution Data From Google Finance

Posted on August 8, 2014 by drbtk-admin

https://www.quantopian.com/posts/last-six-weeks-of-minute-resolution-data-from-google-finance

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Error-Adjusted Momentum | CSSA

Posted on July 30, 2014 by drbtk-admin

http://cssanalytics.wordpress.com/2014/07/30/error-adjusted-momentum/

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Volatility Histeresis: A First Attempt | QuantStrat TradeR

Posted on July 29, 2014 by drbtk-admin

http://quantstrattrader.wordpress.com/2014/07/29/volatility-histeresis-a-first-attempt/

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Backtest: Logical-Invest’s Bollinger Band Strategy | Volatility Made Simple

Posted on July 28, 2014 by drbtk-admin

http://volatilitymadesimple.com/backtest-logical-invests-bollinger-band-strategy/

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QUANTITATIVE RESEARCH AND TRADING | The latest theories, models and investment strategies in quantitative research and trading

Posted on July 28, 2014 by drbtk-admin

http://jonathankinlay.com

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So You Want To Build Your Own Algo-Trading System? | Boryx

Posted on July 23, 2014 by drbtk-admin

http://drtomstarke.com/index.php/so-you-want-to-build-your-own-algo-trading-system/

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Premium Data from Norgate Investor Services Review » Alvarez Quant Trading

Posted on July 22, 2014 by drbtk-admin

http://alvarezquanttrading.com/2014/07/14/premium-data-from-norgate-investor-services-review/?utm_source=rss&utm_medium=rss&utm_campaign=premium-data-from-norgate-investor-services-review

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Timing the Market with Mean Reversion Indicators – Alpha Architect

Posted on July 21, 2014 by drbtk-admin

http://www.alphaarchitect.com/blog/2014/07/15/timing-the-market-with-mean-reversion-indicators/#.U8VGK7HIYj4

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Trading with Python: Simple backtesting module

Posted on July 21, 2014 by drbtk-admin

http://tradingwithpython.blogspot.com/2014/07/simple-backtesting-module.html

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Trend following does not work on stocks | Following the Trend

Posted on July 1, 2014 by drbtk-admin

http://www.followingthetrend.com/2014/04/trend-following-does-not-work-on-stocks/

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Downloading Yahoo Finance Data with C# | QuantConnect Blog

Posted on June 27, 2014 by drbtk-admin

http://www.quantconnect.com/blog/downloading-yahoo-finance-data-with-c/

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-12.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-11.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-10.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-9.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-8.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-7.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-6.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-5.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-4.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-2.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-2.pdf

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Posted on June 27, 2014 by drbtk-admin

http://evolutiq.com/wp-content/uploads/2014/03/Algo-Trading-Intro-2013-Steinki-Session-1.pdf

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Quandl – Find, Use and Share Numerical Data

Posted on June 26, 2014 by drbtk-admin

http://www.quandl.com/help/excel

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Backtesting One Indicator for Weekly Options

Posted on June 25, 2014 by drbtk-admin

http://www.thetatrend.com/backtesting-one-indicator-for-weekly-options/

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Fractal Adaptive Moving Average (FRAMA) | ETF HQ

Posted on June 23, 2014 by drbtk-admin

http://etfhq.com/blog/2010/09/30/fractal-adaptive-moving-average-frama/

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The Continuing Search For Robust Momentum Indicators: the Fractal Adaptive Moving Average | QuantStrat TradeR

Posted on June 23, 2014 by drbtk-admin

http://quantstrattrader.wordpress.com/2014/06/22/the-continuing-search-for-robust-momentum-indicators-the-fractal-adaptive-moving-average/

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Posted on June 23, 2014 by drbtk-admin

http://www.mesasoftware.com/Papers/FRAMA.pdf

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F# for Trading

Posted on June 20, 2014 by drbtk-admin

http://www.infoq.com/presentations/F-Sharp-Trading

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Feature Engineering – The Practical Quant’s blog – MoneyScience

Posted on June 15, 2014 by drbtk-admin

http://www.moneyscience.com/pg/blog/ThePracticalQuant/read/653911/feature-engineering?utm_source=BlogsFeed&utm_medium=twitter

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Volatility and the Square Root of Time – Six Figure Investing

Posted on June 14, 2014 by drbtk-admin

http://sixfigureinvesting.com/2014/06/volatility-and-the-square-root-of-time/

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A Day in the Life of a Quantitative Developer – QuantStart

Posted on June 12, 2014 by drbtk-admin

http://www.quantstart.com/articles/A-Day-in-the-Life-of-a-Quantitative-Developer

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darbyshirehampton | Book Description

Posted on June 12, 2014 by drbtk-admin

http://www.darbyshirehampton.com/pages/matlab_description.aspx

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Formulas You Need To Know Th Pass The CFA – Business Insider

Posted on June 7, 2014 by drbtk-admin

http://www.businessinsider.com/formulas-you-need-to-know-th-pass-the-cfa-2014-6?op=1

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Momentum Strategies and Universe Selection | CSSA

Posted on June 7, 2014 by drbtk-admin

http://cssanalytics.wordpress.com/2014/06/04/momentum-strategies-and-universe-selection/

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The Algorithmic Trading and Autotrading Universe – INTJ CAPITAL

Posted on June 6, 2014 by drbtk-admin

http://www.intjcapital.com/algorithmic-trading-autotrading-universe/

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Announcing QPAS: Open Source Performance, Risk, and Execution Analytics : QUSMA

Posted on June 6, 2014 by drbtk-admin

http://qusma.com/2014/06/06/announcing-qpas-open-source-performance-risk-execution-analytics/?utm_source=rss&utm_medium=rss&utm_campaign=announcing-qpas-open-source-performance-risk-execution-analytics

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Can Algorithmic Traders Still Succeed At The Retail Level? | System Trader Success

Posted on June 3, 2014 by drbtk-admin

http://systemtradersuccess.com/can-algorithmic-traders-still-succeed-at-the-retail-level/

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Alpha Architect – Affordable Active Management

Posted on June 2, 2014 by drbtk-admin

http://www.alphaarchitect.com/blog/2014/06/02/alliances-return-predictability/?utm_source=Alpha+Architect+Website+Users&utm_campaign=df546d8ed0-RSS_EMAIL_CAMPAIGN&utm_medium=email&utm_term=0_2f87b7924e-df546d8ed0-149756665?utm_source=Alpha+Architect+Website+Users&utm_campaign=df546d8ed0-RSS_EMAIL_CAMPAIGN&utm_medium=email&utm_term=0_2f87b7924e-df546d8ed0-149756665

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hse_ethesis_13232.pdf

Posted on June 2, 2014 by drbtk-admin

http://epub.lib.aalto.fi/en/ethesis/pdf/13232/hse_ethesis_13232.pdf

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My Library

Posted on June 2, 2014 by drbtk-admin
  • My Library

Posted from Diigo. The rest of my favorite links are here.

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DTR Trading: Wing Comparison in the 80 Day RUT Iron Condor

Posted on May 30, 2014 by drbtk-admin

http://dtr-trading.blogspot.tw/2014/05/wing-comparison-in-80-day-rut-iron.html

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[1405.6027] R&D Strategy Document

Posted on May 28, 2014 by drbtk-admin

http://arxiv.org/abs/1405.6027

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How to Download Stock Information into R

Posted on May 26, 2014 by drbtk-admin

http://luminouslogic.com/how-to-download-stock-information-into-r.htm?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+Luminouslogiccom+%28luminouslogic.com%29

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How To Day Trade The Emini S&P 500 With Inflection Points | NAS Trading

Posted on May 21, 2014 by drbtk-admin

http://nastrading.com/how-to-day-trade-the-emini-sp-500-with-inflection-points/

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Charts

Posted on May 20, 2014 by drbtk-admin

http://shortanalytics.com/index.php

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Day Trading And Swing Trading – Why Being

Posted on May 20, 2014 by drbtk-admin

http://nastrading.com/day-trading-and-swing-trading-why-being-normal-and-comfortable-equals-fail/

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Stops and trading high vs low volatility stocks » Alvarez Quant Trading

Posted on May 20, 2014 by drbtk-admin

http://alvarezquanttrading.com/2014/05/19/stops-and-trading-high-vs-low-volatility-stocks/?utm_source=rss&utm_medium=rss&utm_campaign=stops-and-trading-high-vs-low-volatility-stocks

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Finding Real Inefficiencies: Mining different pairs with different exit mechanisms | Mechanical Forex

Posted on May 20, 2014 by drbtk-admin
  • Untitled

Posted from Diigo. The rest of my favorite links are here.

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How I Discover, Evaluate, And Trade Emini (ES) S&P 500 Day Trading Strategies | NAS Trading

Posted on May 19, 2014 by drbtk-admin

http://nastrading.com/how-i-discover-evaluate-and-trade-emini-es-sp-500-day-trading-strategies/

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Volatility Tickers – Six Figure Investing

Posted on May 15, 2014 by drbtk-admin

http://sixfigureinvesting.com/2010/12/volatility-tickers/

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How Does XIV Work? – Six Figure Investing

Posted on May 15, 2014 by drbtk-admin

http://sixfigureinvesting.com/2014/05/how-does-xiv-work/

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[1405.2384] A Multi-factor Adaptive Statistical Arbitrage Model

Posted on May 14, 2014 by drbtk-admin

http://arxiv.org/abs/1405.2384

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Option Writing Strategies in a Low Volatility Framework by Donald X. He, Jason C. Hsu, Neil Rue :: SSRN

Posted on May 13, 2014 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2433676

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Statistical Arbitrage: Medium Frequency Portfolio Trading by Igor Skachkov :: SSRN

Posted on May 1, 2014 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2284577&download=yes

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[1404.7632] A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility

Posted on May 1, 2014 by drbtk-admin

http://arxiv.org/abs/1404.7632

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Backtesting is Hard » Alvarez Quant Trading

Posted on April 22, 2014 by drbtk-admin

http://alvarezquanttrading.com/2014/04/21/backtesting-is-hard/?utm_source=rss&utm_medium=rss&utm_campaign=backtesting-is-hard

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A Simple Strategy for Growth & Income Investors | Jay On The Markets

Posted on April 22, 2014 by drbtk-admin

http://jayonthemarkets.com/2014/04/21/a-simple-strategy-for-growth-income-investors/?utm_source=feedly&utm_reader=feedly&utm_medium=rss&utm_campaign=a-simple-strategy-for-growth-income-investors

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Date formating in R « The R Trader

Posted on April 19, 2014 by drbtk-admin

http://www.thertrader.com/2014/04/18/date-formating-in-r/

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Trend following does not work on stocks : Following the Trend

Posted on April 17, 2014 by drbtk-admin

http://www.followingthetrend.com/2014/04/trend-following-does-not-work-on-stocks/

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Finding Real Inefficiencies in the Forex Market: Differences in data-mining bias between pairs | Mechanical Forex

Posted on April 17, 2014 by drbtk-admin

http://mechanicalforex.com/2014/04/finding-real-inefficiencies-in-the-forex-market-differences-between-pairs.html

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free-programming-books/free-programming-books.md at master · vhf/free-programming-books · GitHub

Posted on April 12, 2014 by drbtk-admin
  • free-programming-books/free-programming-books.md at master · vhf/free-programming-books · GitHub

Posted from Diigo. The rest of my favorite links are here.

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A Momentum Rotation Strategy for Trading VIX ETPs | Volatility Made Simple

Posted on April 11, 2014 by drbtk-admin

http://volatilitymadesimple.com/a-momentum-rotation-strategy-for-trading-vix-etps/

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Backtesting VIX ETP Strategies with Limited Data is Foolhardy | Volatility Made Simple

Posted on April 10, 2014 by drbtk-admin

http://volatilitymadesimple.com/backtesting-vix-etp-strategies-with-limited-data-is-foolhardy/

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Wavelet Improvement in Turning Point Detection Using a Hidden Markov Model by Yushu Li, Simon Reese :: SSRN

Posted on April 7, 2014 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2416249

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VIX & More’s VIX:VXV Ratio | Volatility Made Simple

Posted on April 1, 2014 by drbtk-admin

http://volatilitymadesimple.com/vix-mores-vixvxv-ratio/

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An Adaptation From ‘Flash Boys: A Wall Street Revolt,’ by Michael Lewis – NYTimes.com

Posted on March 31, 2014 by drbtk-admin

http://www.nytimes.com/2014/04/06/magazine/flash-boys-michael-lewis.html?_r=0

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Backtest: Comparing the VIX and VXV Indices | Volatility Made Simple

Posted on March 28, 2014 by drbtk-admin

http://volatilitymadesimple.com/backtest-comparing-the-vix-and-vxv-indices/

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A Dash of Insight: Using Your NCAA Bracket to Help Your Investing

Posted on March 23, 2014 by drbtk-admin

http://oldprof.typepad.com/a_dash_of_insight/2014/03/using-your-ncaa-bracket-to-help-your-investing.html?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+typepad%2FWuQQ+%28A+Dash+of+Insight%29

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How To Win With Mechanical Trading Systems [One Step Removed]

Posted on March 19, 2014 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=RL6Z6FBA1S

Posted in Uncategorized | Leave a comment

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