Publications by Intelligent Trading
Genetic Algorithm Systematic Trading Development — Part 3 (Python/VBA)
As mentioned in prior posts, it is not possible to use the standard Weka GUI to instantiate a Genetic Algorithm, other than for feature selection. Part of the reason is that there is no generic algorithm to instantiate a fitness function. The same flexibility that allows an infinite possible range of fitnesses also requires custom s...
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Time Series Calendar Heat Maps Using R
I came across an interesting blog that showcased Charting time series as calendar heat maps in R . It is based upon a great algorithm created by Paul Bleicher,CMO of Humedica. I’ll let you link to the other blog to see more details on the background and original source code.I made a very small modification to allow %daily changes,...
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FFT (Fast Fourier Transform) of time series — promises and pitfalls towards trading
Fig 1. FFT transformed time series (EBAY) reconstructed with first three and twenty harmonics, respectively.I see quite a few traders interested in advanced signal processing techniques. It is often instructive to see why they may or may not be useful. The concept behind fourier analysis is that any periodic signal can be broken down into a tayl...
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Modified Donchian Band Trend Follower using R, Quantmod, TTR
I’ve been toying around with the examples given on the FOSS trading site for some of the great work they’ve put together in the Quantmod and TTR packages. Those viewers who are looking for a nice (and free) backtesting suite to possibly complement some of your other results or work in say, Weka, should familiarize yourselves wi...
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Modified Donchian Band Trend Follower using R, Quantmod, TTR -Part 2: Parameter Sweep Sensitivity over long run
Here is a small update to the Donchian Channel type system I displayed in the last post.Fig 1. Sensitivity of Net Combined L/S Gain to parameter n.Using the S&P500 index as a proxy for the market, a simulation was run over the lifetime of the index. Notice the system excels in both the very short run, and much longer periods. The shor...
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Why isn’t my 2X Ultra ETF keeping pace with the market and what is path asymmetry (R ex)?
I’ve been reading a few articles lately, lambasting ultra ETFs for not keeping up with markets and ascribing the problem to weird unexplainable reasons such as portfolio derivative re-balancing and negative drift. I thought it would be nice to revisit the concept of path asymmetry. Although there are many different definitions of ...
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Why isn’t my 2X Ultra ETF keeping pace with the market and what is path asymmetry (R ex)? Part 2
I created an example to show how the theory from part 1 might be applied using S&P500 as a proxy for performance. Just in case anyone viewing is not familiar with terminal wealth, it is the final (usually compounded) ending value (hence, terminal) of the account.Fig 1. Example of S&P 500 and using GBM monte carlo simulations for term...
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Wavelet Spectrogram Non-Stationary Financial Time Series analysis using R (TTR/Quantmod/dPlR) with USDEUR
I’ve been doing some research lately regarding types of spectral imaging and decomposition techniques that apply to non-stationary signals. As mentioned earlier, one of the major problems with the simple fourier analysis is that the basis functions extend to infinity in both directions and the signals are assumed to be stationary. ...
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Is it possible to get a causal smoothed filter ?
Although I haven’t been all that much of a fan of moving average based methods, I’ve observed some discussions and made some attempts to determine if it’s possible to get an actual smoothed filter with a causal model. Anyone who’s worked on financial time series filters knows that the bane of filtering is getting a smooth res...
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The Kalman Filter For Financial Time Series
Every now and then I come across a tool that is so bogged down in pages of esoteric mathematical calculations, it becomes difficult to get even a simple grasp of how or why they might be useful. Even worse, you exhaustively search the internet to find a simple picture that might express a thousand equations, but find nothing. The kalm...
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