Publications by Joshua Ulrich
Welcome to FOSS Trading
This blog will highlight the development and use of free open-source software to research, test, and trade financial markets.Meet the authors:Joshua Ulrich is currently the author and maintainer of four R packages:TTR – Technical Trading Rules – a suite of technical analysis functionsopentick – an R API to the opentick databases...
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Computational Finance with R
Krishna Kumar, Jan Vecer and the great folks at REvolution computing put on a great event at the beautiful Columbia University campus on the Upper West Side of New York.Presentations by Whit Armstrong, Anthony Brockwell, Bryan Lewis, Scott Payseur, Peter Carl, Brian Peterson, and our own Jeff Ryan made for an impressive display of the...
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R/Finance 2009: Applied Finance with R
Call for PapersThe Finance Department of the University of Illinois at Chicago (UIC),the International Center for Futures and Derivatives at UIC, andmembers of the R finance community are pleased to announceR/Finance 2009: Applied Finance with Ron April 24 and 25, 2009, in Chicago, IL, USAConfirmed keynote speakers include:Patrick Bur...
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IBrokers Featured on Quantitative Trading
Jeff Ryan’s IBrokers package was mentioned on Ernie Chan’s blog, Quantitative Trading. Though the package is still in pre-alpha stage, it is generating quite a bit of interest.Source:Ernie ChanFriday, January 16, 2009Quantitative Trading: Algorithmic Trading Technology Update Related To leave a comment for the author, please fo...
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TTR_0.2 on CRAN
I am happy to announce a long-overdue update to the TTR package (version 0.2) is now on CRAN.This update represents a major milestone, as TTR useRs are no longer restricted to using matrix objects. TTR 0.2 uses xts internally, so all major time series classes are now supported.NEW FEATURES:– Added the zig zag indicator: ZigZag()–...
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Registration for R/Finance 2009 is Open!
The conference website has details on:the agenda and speakers,travel accommodations,registration, andsponsors, who made the conference possible.Hope to see you there! Related To leave a comment for the author, please follow the link and comment on their blog: FOSS Trading. R-bloggers.com offers daily e-mail updates about R news an...
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Testing RSI(2) with R, First Steps
This is the first of a series of posts that will demonstrate how to build, test, and implement a trading strategy using my favorite FOSS, R. I chose the RSI(2) strategy because it has gotten considerable attention on trading blogs over the past 6 months.In particular, I will be replicating and extending some of the results from Micha...
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opentick is no more
After a year of “we plan to accept new subscribers shortly”, opentick has shut its doors completely. As of March 20th, the opentick service is no longer available.From opentick.com:3/16/2009To opentick subscribers, friends, supporters, contributors and the rest of the community…It has been quite a journey for opentick, and for ...
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R/Finance 2009 Overview
The first international R/Finance 2009 conference in Chicago, IL was a huge success! David Smith from REvolution Computing has written a great summary of the entire event. I’ll take the lazy route and point you to his blog post. 🙂The first international conference dedicated to the use of R in the finance industry, R/Finance 200...
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RSI(2) with Position Sizing
Though it’s more than two weeks later, here’s the second post in the series that will demonstrate how to build, test, and implement a trading strategy with R. You can find the first post here.The first post replicated this simple RSI(2) strategy from the MarketSci Blog. This second post will demonstrate how to replicate this str...
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