Publications by Ilya Kipnis
Another Failed Volatility Histeresis: Ehlers’s Own Idea
This week, I attempted to use Ehlers’s own idea from this presentation. Essentially, the idea is that when an indicator is flat, line crossings can produce whipsaws, so add a fraction of the daily range to the lagged indicator, and see if the non-lagged indicator crosses the threshold. In this case, it’s an exponentially smoothed daily range...
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A John Ehlers oscillator — Cycle RSI(2)
Since I’ve hit a rut in trend following (how do you quantify rising/falling/flat? What even defines those three terms in precise, machine definition? How do you avoid buying tops while not getting chopped by whipsaws?), I decided to look the other way, with oscillators. Certainly, I’m not ready to give up on Dr. Ehlers just yet. So, in this p...
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A Hammer Trading System — Demonstrating Custom Indicator-Based Limit Orders in Quantstrat
So several weeks ago, I decided to listen on a webinar (and myself will be giving one on using quantstrat on Sep. 3 for Big Mike’s Trading, see link). Among some of those talks was a trading system called the “Trend Turn Trade Take Profit” system. This is his system: Define an uptrend as an SMA10 above an SMA30. Define a pullback as an SMA5...
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VCI — The Value Charts Indicator
So recently, I was made known of the Value Charts Indicator , which was supposed to be some form of alternative to the RSI. I decided to investigate it, and see if it’s worth using. Before diving into a strategy, here’s how the indicator works: "VCI" <- function(OHLC, nLookback=40, nRange=8, pctRank=FALSE) { if(nLookback > 7) { varA <- ...
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Comparing ATR order sizing to max dollar order sizing
First off, it has come to my attention that some readers have trouble getting some of my demos to work because there may be different versions of TTR in use. If ever your demo doesn’t work, the first thing I would immediately recommend you do is this: Only run the code through the add.indicator logic. And then, rather than adding the signals an...
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The Limit of ATR Order Sizing
Before beginning this post, I’d like to notify readers that I have a webcast tomorrow (Wednesday, Sep. 3) at 4:30 EST for Big Mike’s Trading. Those that can follow the code and the analytics on this blog will see nothing new, but for those that effectively “nod and wait for the punchline” in the form of the equity curve, I’ll demonstrat...
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Nuts and Bolts of Quantstrat, Part I
Recently, I gave a webinar on some introductory quantstrat. Here’s the link. So to follow up on it, I’m going to do a multi-week series of posts delving into trying to explain the details of parts of my demos, so as to be sure that everyone has a chance to learn and follow along with my methodologies, what I do, and so on. To keep things simp...
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Intermission: A Quick Thought on Robust Kurtosis
This post was inspired by some musings from John Bollinger that as data in the financial world wasn’t normally distributed, that there might be a more robust computation to indicate skewness and kurtosis. For instance, one way to think about skewness is the difference between mean and median. That is, if the mean is less than the median, that t...
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Nuts and Bolts of Quantstrat, Part II
Last week, I covered the boilerplate code in quantstrat. This post will cover parameters and adding indicators to strategies in quantstrat. Let’s look at a the code I’m referring to for this walkthrough: #parameters pctATR <- .02 period <- 10 atrOrder <- TRUE nRSI <- 2 buyThresh <- 20 sellThresh <- 80 nSMA <- 200 #indicators add.indicator(...
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Nuts and Bolts of Quantstrat, Part III
This post will focus on signals in quantstrat. In comparison to indicators, signals in quantstrat are far more cut-and-dry, as they describe the interaction of indicators with each other–whether that indicator is simply the close price (“Close”), or a computed indicator, there are only so many ways indicators can interact, and the point of...
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