Quant Mashup - Flare 9x
Parameter Sensitivity Analysis [Flare 9x]
In this post we demonstrate ideas to test for parameter sensitivity. Here we have a strategy with 5x parameters. 3x being look back periods for a specific indiactor. The other 2x being an entry level threshold and an exit level threshold. I decided to change the original parameters by up to 50% in
- 5 years ago, 15 Aug 2018, 11:12pm -
SPY Mean Reversion With John Ehlers Adaptive RSI [Flare 9x]
It has been a busy few months. I have been exploring market indicators that John Ehlers has created which he publicly made available in his book: Cycle Analytics for Traders : Advanced Technical Trading Concepts. The key theme of his book is applying digital signal processing filters to better
- 5 years ago, 8 Aug 2018, 07:37pm -
Julia – Build any time resolution using 1 minute data [Flare 9x]
Reliable data makes for more accurate models. It is not the end of the world if there are minor discrepancies although data does need to be representative to build models and make good assumptions. Common data errors are known to be found at market closing times. We want the auction price not the
- 5 years ago, 28 Jun 2018, 10:09pm -
Estimating the Hurst Exponent Using R/S Range [Flare 9x]
In this post we will estimate the Hurst exponent using the R/S method. The Hurst exponent determines the long range memory of a time series (more below). If a series has no memory ie if each point in time is independent from previous points in time then its said to be more of a random process.
- 5 years ago, 12 Jun 2018, 08:47am -
Julia – Download Free Data Using Alphavantage API [Flare 9x]
For those of you wanting to get started/familiar with the Julia language. I wrote a small script to import .csv data using the Alphavantage API. In this example we demonstrate how to download a single .csv file as well as batch download multiple .csv files and export as .csv. First lets download a
- 6 years ago, 11 Apr 2018, 11:11am -
Speed Check! Juilia Vs R Back Test Script [Flare 9x]
In a quest for speed enhancements over R. I opted to look at the Julia language. It is a high level programming language touting similar speed to C. I find the syntax not at all that different from Python and R. If you have knowledge of the ‘how’ to solve many problems using those languages, the
- 6 years ago, 8 Apr 2018, 10:07am -
R – Quantifying Trend Days [Flare 9x]
In this post I will be using R and data.table to extract all trend up / down days. The following method was used to quantify a trend day: 1. Trend up = Close price closes within 25% of the days high 2. Trend down = Close prices closes within 25% of the days low 3. Exclusive of gaps, if open is above
- 6 years ago, 28 Mar 2018, 10:01am -
Stress Testing an Intraday Strategy Through Monte Carlo Methods [Flare 9x]
This is an intraday ES strategy that I was testing for a client. The client was not interested in it due to the low frequency of trades, hence I may post it for others to view. It shows how a strategy was proved through stress testing and looking for optimal conditions to apply the strategy. The
- 6 years ago, 20 Feb 2018, 02:03am -