Monthly Archives: February 2014

Attend the MeetUp for Machine Learning for Trading Strategies in San Francisco

Attend the MeetUp for Machine Learning for Trading Strategies

For our first MeetUp I will try to get some guest speakers, but for sure you will be getting a rather complete briefing on the use of Advanced Register Genetic Programming directed to the emergence of Trading Strategies, code ready.

Some background on other techniques will be given, there will be demos, software, code, analysis, and of course Trading Strategies.

Attendance is limited to 100 guests so please register everybody.

You can bring a guest but please register them.

If you are interested in speaking, you will be limited to 15 minutes to discuss your work, research or activities. Please send me a brief on what you will be discussing and your background. I will limit guest speakers to 4

Attend the MeetUp for Machine Learning for Trading Strategies

Sunday, Mar 30, 2014, 1:00 PM

Location details are available to members only.

72 Contributors Went

For our first MeetUp I will try to get some guest speakers, but for sure you will be getting a rather complete briefing on the use of Advanced Register Genetic Programming directed to the emergence of Trading Strategies, code ready.Some background on other techniques will be given, there will be demos, software, code, analysis, and of course Tradi…

Check out this Meetup →

Which are the best graphical charting packages for R

Interesting uses for Quantmod R package

 

http://www.quantmod.com/examples/charting/

http://www.r-chart.com/2010/06/stock-analysis-using-r.html

http://www.r-chart.com/2010/06/analyze-gold-demand-and-investments.html

http://timelyportfolio.github.io/rCharts_time_series/history.html

http://www.packtpub.com/article/creating-time-series-charts-r

http://www.activeanalytics.co.uk/blog/plottinglivechartswithyahoofinancedataandggplot2inr

http://www.incrediblecharts.com/indicators/williams_percent_r.php

http://quant.stackexchange.com/questions/9465/library-for-interactive-financial-charts

http://www.r-bloggers.com/using-r-and-motion-charts-to-analyze-financial-data/
R Code demoed FinancialChartQuantmod

How to set your R environment with RStudio and DotNet library for C#

How to set your R environment with RStudio and DotNet library for C#

IMPORTANT NOTE:  This train of thought has been abandoned with too many connecting issues with R.NET which makes this entire process useless. Sorry but I cannot proceed as it is not safe nor have the authors of all this software thought of backward incompatibility. This is why you stick with Matlab!!!


Download R and RStudio

Download R for Windows from your nearest location http://www.r-project.org/

Download RStudio IDE http://www.rstudio.com/

You want to add R_HOME to your Windows Environment Variables and add to the path of R.DLL. Mine is located under C:\Program Files\R\R-3.0.2\bin\x64

.NET library for C# (R.NET)

http://rdotnet.codeplex.com/

Download from:

http://rdotnet.codeplex.com/releases

C# Example of R.NET RDotNetExample

 

Topographic Finance with Paul Cottrell

Topographic Finance
7-8pm.Eastern Standard Time Mar 10

Topographic Finance
Volatility and Drift
Equity Markets
Energy Markets
Poseidon

Paul Cottrell is a researcher in chaos theory and has interests in modeling financial markets. Some have considered him a polymath of sorts. Born in Detroit, Michigan he has extensive professional experience in engineering and design. He currently is a proprietary trader specializing in currency and energy markets. He also dedicates his time at a large non-profit in New York City.
In addition to modeling financial markets, his research interests are in developmental economics, behavioral finance, complexity science, energy industry, and risk management. He is currently working on his Ph.D. specializing in finance from Walden University. He has earned a M.B.A and B.Sc. from Wayne State University. He lives in New York, NY.

Volume Weighted Moving Average with Inetractive Brokers

Volume Weighted Moving Average with Ineractive Brokers

This is nothing special but was inspired by Trading Systems and Method book by PJ Kaufman

//TSM Triangular Average (I)
//closevol = close*Volume; (see above)
//avg1 = summation(closevol,period1)/summation(volume,period1);
//avg2 = Summation(closevol,period2)/summation(volume,period2);
//vwmacd = avg1 – avg2;
//signal = average(vwmacd,signalper);

 

IBMovAvgWinForm

This is when you look like an idiot needing to abandon tis SQL Server 2014 CTP release?

I did not listen to the warnings. embarassed I suffer the pain of wasted time but now I know. Back to SQL Server 2012 for historical data testing only. See the reason why here:
SQL Server 2014 CTP 2 will be abandoned due to pre-release with too many data querying restrictions and wonky compiled stored procedures – See more at: http://quantlabs.net/blog/2014/02/sql-server-2014-ctp-2-will-be-abandoned-due-to-pre-release-with-too-many-data-querying-restrictions-and-wonky-compiled-stored-procedures/#sthash.Gf15BBhW.dpuf

Finally I got SQL Server 2014 CTP2 working with DotNet CSharp for IQFeed market data calls working

Finally I got SQL Server 2014 CTP2 working with DotNet CSharp for IQFeed market data calls working

 

NOTE:

SQL Server 2014 CTP 2 will be abandoned due to pre-release with too many data querying restrictions and wonky compiled stored procedures – See more at: http://quantlabs.net/blog/2014/02/sql-server-2014-ctp-2-will-be-abandoned-due-to-pre-release-with-too-many-data-querying-restrictions-and-wonky-compiled-stored-procedures/#sthash.Gf15BBhW.dpuf

This is hopefully a good milestones with this new in memory database!

See below for further details.

SQL Server 2014 CTP2 working with DotNet CSharp for IQFeed market data calls with pair trading strategy worked up – See more at: http://quantlabs.net/blog/2014/02/sql-server-2014-ctp2-working-with-dotnet-csharp-for-iqfeed-market-data-calls-with-pair-trading-strategy-worked-up/#sthash.FJSl95QN.dpuf