Category Archives: R

R statistical programming language.

Python versus R

Posted on February 4, 2016 by admin

A quick web-search will find you plenty of people contributing to the debate as to whether R or Python is better for data analysis. I’m not really going to contribute to that debate here having already expressed my frustrations with … Continue reading →

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Rolling your own

Posted on January 26, 2016 by admin

In the previous post I discussed my attempts at replicating a trend following algorithm. This post takes a short step back to discuss a prerequisite of running a futures trading strategy, joining the individual series together to create a continuous … Continue reading →

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Still trending

Posted on January 26, 2016 by admin

In a previous post I described my attempts to replicate the trend-following algorithm from the book Following the Trend by Andreas Clenow.  This post gives an update on my somewhat chequered progress since then. Introduction As a quick re-cap, trend-following is … Continue reading →

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Following in the footsteps of Following the Trend

Posted on November 26, 2015 by admin

I recently read the book “Following the Trend” by Andreas Clenow.  It gives explicit details about how to construct a trend following trading strategy on futures using simple rules, and explores in some depth the performance over a wide variety of asset … Continue reading →

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Learning R – a quick route to misery

Posted on November 25, 2015 by admin

I’ve started to re-use R recently for a project that I’ll blog about soon, having only briefly used it before in an academic project.  It’s very powerful, and once you know what you’re doing can be used to manipulate data … Continue reading →

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