The birth of a strategy pt. 2 – extending VXX history and other data concerns

This is the third part in a series describing how to approach the creation of a new trading strategy, including everything from idea generation, universe selection, data generation, proper in/out of sample testing, necessary considerations before live trading and the eventual big decision: do I want to trade that? The first posts can be found … Continue reading The birth of a strategy pt. 2 – extending VXX history and other data concerns

The time has come: setting up a DB with MySQL and R

The recent decision by Yahoo to screw with their API for financial data (and in the process disabling all packages/functions in various programing languages obtaining EOD (end-of-day) data, at least temporarily) shows us two important things: Nothing is free and reliable forever It's a good idea to have a database set up So for everyone … Continue reading The time has come: setting up a DB with MySQL and R

Constrained by capital or why rounding down is bad for you

Imagine this, you have backtested a strategy adhering to all the "general rules": you did proper in/out of sample testing, you have stable parameters (if the strategy has any), you didn't overfit, you account for transaction costs and slippage, everything seems good and you are ready to deploy your strategy and earn you some money. … Continue reading Constrained by capital or why rounding down is bad for you