Publications by kafka
R package Blotter
How many times have you been disappointed by nice trading system, because neither trading cost or slippage or bid/ask spread were included into back-test results? Did you find difficult to back-test a portfolio in R or many portfolios with different stocks? Blotter package is supposed to solve these problems. In really – it is complicated. I sp...
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Intraday volatility of OMX Baltic stocks
Usually, intraday volatility exhibits a “smile” – it is high at open and close and it is lower during the trading day. DJI index, 5 min. intervals, CET time: MOS stock, 5 s. intervals, CET time: Because many readers of this blog are trading Nasdaq OMX Baltic stocks, it is worth to share my findings about volatility in these markets. It...
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Mean reverting strategies and volatility
Mean reverting strategies are beating on mean reversion of the prices. There are various flavors of mean reverting strategies, but as a proxy I chose RSI(2). You can find many entries on blogosphere about this strategy, but nowadays its popularity dried up. What made me wondering is that there was an idea about correlation between return of such ...
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Millionaire’s advice
Viktor Uspaskich is euro-parliamentarian delegated by Lithuania. His was born in Russia, Arkhangelsk Oblast and later on he moved to Lithuania where he made his fortune and first millions. Recently, I saw an interview with him and I found interesting to test his claim, that gold and oil are negatively correlated. Meaning that, when the price of...
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3 weak days in a row
Recently, Trading the odds posted one of many flavors of mean reverting strategies and I decided to get my hands dirty by writing R code and testing it. You can find full description of the strategy by following latter link above. Long story short – if SPY shows lower open, high and close 3 days in a row, then buy on the close of third day and ...
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Interesting volatility measurement
Long time ago I stumbled across interesting volatility measurement at quantifiableedges.blogspot.com. The idea is following: take 3-day historical volatility of S&P 500 index and divide that by 10-day historical volatility. Then mark all points which are less that 0.25 and measure the volatility of 3 following days. On average, the volatility of...
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