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    Trading With R

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    codereverser
    This document summarizes a presentation on using R for systematic trading. It discusses the systematic trading process, advantages of using R, key R packages for trading like quantstrat and blotter, and provides an example of a simple trading system using moving average crossovers on AAPL stock. Resources for learning more about quantstrat and R trading are also listed.

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    Trading With R

    Uploaded by

    codereverser
    7K views19 pages
    This document summarizes a presentation on using R for systematic trading. It discusses the systematic trading process, advantages of using R, key R packages for trading like quantstrat and blotter, and provides an example of a simple trading system using moving average crossovers on AAPL stock. Resources for learning more about quantstrat and R trading are also listed.

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    Brief Presentation about tools available in R for trading system research

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    This document summarizes a presentation on using R for systematic trading. It discusses the systematic trading process, advantages of using R, key R packages for trading like quantstrat and blotter, and provides an example of a simple trading system using moving average crossovers on AAPL stock. Resources for learning more about quantstrat and R trading are also listed.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    7K views19 pages

    Trading With R

    Uploaded by

    codereverser
    This document summarizes a presentation on using R for systematic trading. It discusses the systematic trading process, advantages of using R, key R packages for trading like quantstrat and blotter, and provides an example of a simple trading system using moving average crossovers on AAPL stock. Resources for learning more about quantstrat and R trading are also listed.

    Copyright:

    Attribution Non-Commercial (BY-NC)
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    Download as pdf or txt
    of 19

    Trading with R

    R User Group - Singapore Chinmay Patil


    Futures and Options Trader

    Disclaimer
    This is not a demonstration of how to trade!

    Content
    1. 2. 3. 4. Systematic Trading Process Why R for trading (research) R Tools Simple Trading System

    Systematic Trading Process


    Formulate hypothesis and tests to validate the hypothesis Run the tests in a research platform using available data Refine if promising Reject quickly if not promising Perform parameter robustness and walk forward optimization testing If all tests are passed, implement the strategy for production

    Why R for trading (research)


    Advantages Disadvantages

    Flexible, powerful language Best of class tool-chain Community Open-Source Cross-platform

    Not as fast as C (or other low level languages) Single-threaded Limited live deployment options

    R Tools

    Overview of R tool chain


    xts FinancialInstruments TTR
    Technical indicators Financial time series data retrieval and management package Functions for tracking trades and positions in portfolios, calculating profit-and-loss by position and portfolio, and tracking performance in a capital account Time series class Financial metadata data structure

    quantmod blotter

    Overview of R tool chain (contd.)


    quantstrat High-level abstraction layer allowing to build and test strategies in very few lines of code PerformanceAnalytics Econometric functions for performance and risk analysis of financial instruments or portfolios. Mainly analyses series of periodic returns

    Various stages of backtesting


    1. Data Retrieval and Management

    2. Data Evaluation
    quantstrat, TTR quantstrat quantstrat

    XTS, FinancialInstrument, quantmod

    3. Defining Signals

    4. Defining Rules
    5. Backtest
    quantstrat, blotter

    6. Performance Analysis
    PerformanceAnalytics

    Simple Trading System


    Data : AAPL, daily OHLC data Indicators : Two moving averages Signals : Crossing of two moving averages Rules :
    Buy when fast moving average crosses over slow moving average Sell when fast moving average crosses under slow moving average

    Resources
    Package manuals http://stackoverflow.com/questions/tagged/qua ntstrat IRC
    Server : chat.freenode.net Channel : #R-Finance

    Contact
    chinmay.patil@gmail.com chinmay@indigoatlantic.com

    Additional Slides

    Data Retrieval and Management


    Data source
    Bloomberg, Reuters, Yahoo finance, Google finance Proprietary Databases (SQL, CSV) Clean up data (remove unrealistic prices) Convert data to proper format (XTS) XTS (time series data structure ) FinancialInstrument (Security metadata data structure) quantmod (data retrieval and storage) Indexing, mmap, RTAQ (packages for very big data)

    Data preparation

    Packages

    Data Evaluation
    Calculate Indicators
    Technical Indicators Fundamental Indicators Macro Indicators

    Transform Prices
    For complex securities like spreads, options etc

    Packages
    TTR Signal extraction Any timeseries analysis packages

    Defining Signals
    Identify signals / patterns from various conditions met by price, indicators etc. Signals just indicate that a particular predefined condition is satisfied Packages
    quantstrat

    Defining Rules
    Define how your strategy should handle different signals Rules decide how to act on the signals Decide trade sizes, trade risk etc. Packages
    quantstrat PortfolioAnalytics LPSM

    Backtest
    Run your Rules over historical data to generate historical simulated trades Log generated trade Packages
    blotter quantstrat

    Performance Analysis
    Calculate per trade performance Calculate portfolio equity performance Analyze returns distributions Check if performance metrics are within required risk/reward constraints Packages
    blotter PerformanceAnalytics

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