What do we hope to achieve? Strategy Creation : Product Testing product testing may be done both before and after production rollout identify hypotheses about quantstrat forex market mechanism of action of the strategy. How does your strategy make money?
R tools How are we going to do all this? About the code Don’t cut and paste code from these slides! MA, MACD, RSI, custom indicators TTR package provides many classical indicators, a. Signals Investopedia: A sign, usually based on technical indicators, that it is a good time to buy or sell a particular security Quantstrat: Signals denote times at which the strategy may want to take action. 30:00 GBPUSD ” ” :30:00 GBPUSD ” ” :00:00 GBPUSD ” ” :00:00 GBPUSD ” ” :30:00 GBPUSD ” ” :00:00 GBPUSD ” ” :30:00 GBPUSD ” ” :00:00 GBPUSD ” ” :00:00 GBPUSD 1.
553″ ” :00:00 GBPUSD ” ” :30:00 GBPUSD ” ” :30:00 GBPUSD ” ” :30:00 GBPUSD 1. Save strategy, so we can load it later and add more components, or apply to different scenarios save. 1 jan users Apr 7 22:53 luxor. Parameter Optimization all strategies have parameters: What are the right ones? Parameter sets Optimizing strategy parameters Parameter sets are part of strategy paramset. Order Sets set consisting of one or more OCO orders OCO – one cancels other if one gets filled, all others are cancelled identified by orderset name tag eg.
Order Sizing Order Sizing, like everything else in quantstrat, is modular. You can write your own order sizing functions. ES choice of your objective function is very important to walk forward analysis in this case, the objective function chooses rather poor out-of-sample parameters chasing highest insample End. Rebalancing how do you allocate capital among different instruments in a strategy?
Further Work stuff we’re working on or would like to compiled applyrules move the path-dependent state machine loop to faster compiled code strategy initialization and wrapup cuts down on ‘boilerplate’ code would reduce code duplication in e. Monte Carlo or Burns-style random trades analysis generalized objective for walk forward analysis Encyclopedia of Trading Strategies get involved! Bios Jan Humme independent financial trader computer scientist and software developer quantstrat package coauthor Brian G. Are High Frequency Traders Prudent and Temperate? First Prudential Markets Pty Ltd ABN 16 112 600 281 AFSL 286354. Business Objectives and Complex Portfolio Optimization. 2 2012 Global Futures and Forex, Ltd.