Quant Mashup - Shifting Sands

Streaming OANDA with python and ZeroMQ [Shifting Sands]

I have been looking at its REST API for OANDA, for potential use with an FX trading system I developed. The API has two streaming endpoints, one for prices and one for account events such as trades opening and stuff like that. Asynchronous IO is always a bit fiddly, and I wanted separate processes(...)

The Halloween effect with python and pandas [Shifting Sands]

The Halloween effect, aka “sell in May and go away” is the observation that equity market returns tend to be worse over summer time in the northern hemisphere. Anyone who has followed markets for a while has probably noticed a distinct lull over the summer period. But can we quantify this(...)

Equity Ranking Backtest with Python/Pandas [Shifting Sands]

I have been look at equities a bit of late, I am particularly interested in ranking a universe of equities for “low frequency” manual trading on a weekly or monthly basis. Every period I would rank each name on a bunch of different factors, then invest in the highest ranked ones for that month.(...)

Simulation and relative performance [Shifting Sands]

There’s been some nice posts on randomness the last week or so, in particular here and here. I would like to look at how we can use simulations to get a better understanding of how some aspect of a trading system holds up relative to a bunch of random trades. In this example, I look at entries on(...)

Adopting R for experienced developers [Shifting Sands]

More and more frequently I come across people who express an interest in R, and I thought I would share some advice to help people decide if R is something they should use, as well as some high level advice on getting started. Most of these people are developers with at least few years experience(...)