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ARMA Models for Trading
In this tutorial I am going to share my R&D and trading experience using the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a lot written about these models,...
View ArticleA Greedy ARMA/GARCH Model Selection
An idea that I have been toying for a while, has been to study the effect of a domain-specific optimization strategy in the ARMA+GARCH models. If you recall from this long tutorial, the implemented...
View ArticleParallelized Back Testing
As mentioned earlier, currently I am playing with trading strategies based on Support Vector Machines. At a high level, the approach is quite similar to what I have implemented for my ARMA+GARCH...
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Trading with SVMs: Performance
To get a feeling of SVM performance in trading, I run different setups on the S&P 500 historical data from … the 50s. The main motif behind using this decade was to decide what parameters to vary...
View ArticleARMA+GARCH Experiences
A reader’s comment on my ARMA Models for Trading post asked about different aspects of my experience with ARMA+GARCH for trading forecasting. The more I thought about it, the more it looked like a full...
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2012 Summary and 2013 Plans
2012 was a very important year for me. It was my first full year of trading only pure quantitative strategies. It was a very successful year as well, despite the fact that the S&P 500 returned 16%...
View ArticleAutomatic ARMA/GARCH selection in parallel
In the original ARMA/GARCH post I outlined the implementation of the garchSearch function. There have been a few requests for the code so … here it is. Quite easy to use too: library(quantmod)...
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2013 Summary
2013 was a tough year. Trading was tough, with one of my strategies experiencing a significant drawdown. Research was tough – wasted a lot of time on machine learing techneques, without much to show...
View ArticleSynchronization for R with the flock Package
Have you tried synchronizing R processes? I did and it wasn’t straightforward. In fact, I ended up creating a new package – flock. One of the improvements I did not too long ago to my R back-testing...
View ArticleStoring Forecasts in a Database
In my last post I mentioned that I started using RSQLite to store computed results. No rocket science here, but my feeling is that this might be useful to others, hence, this post. This can be done...
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