Algorithmic trading adds noise to the market we have known. So why not add some noise to your historic market data. This way you can check if your algorithmic trading strategies are fit for the future. Learn how to generate noisy data and how to test your strategies for stability in a noisy market.
Category: best of
my favourite posts on quanttrader.com
An Algorithmic Stock Picking Portfolio
A volatility and return based stock picking algorithm. Portfolio construction, picking criteria and the ideas behind this approach. Excess returns of your portfolio against an equally weighted index portfolio.
Tradesignal Implied Volatility and IV Percentile Scanner
Use free data from the web and load it into Tradesignal to scan for implied volatility and IV percentile. Full code given for free
Bet on Bollinger
Ever since John Bollinger introduced his Bollinger Bands in the early 1980s the bands have been a favourite indicator to all technical trades. This article is about the prediction capabilities of Bollinger bands.
Scanning for Support and Resistance Probabilities
Scanning a market for support and resistance levels which will most likely not be penetrated in the near future is key for strategies like short options or vertical spreads. This article hows how RSI can be used to solve this problem.
Demystifying the 200 day average
The 200 day moving average is a classic of technical analysis. but is there any edge or statistical significance in it? How do equity and Forex market differ when it comes to this indicator? See the analysis and the answer to these questions.
Statistics of VIX
This article is about the statistics of VIX. What determines if it is better to sell or to buy volatility. Some simple statistics can provide the answer and also show the dangers of this kind of volatility trade.
Machine learning: kNN algorithm explained
Can inspiration be replaced by brute force? This article shows how to program and possibly use a simple kNN algorithm to trade Brent. A two dimensional data set will be used. RSI will determine if tomorrows market will move up or down.
Ranking: percent performance and volatility
When ranking a market analysts usually pick the percent performance since a given date as their key figure. If a stock has been at 100 last year and trades at 150 today, percent performance would show you a 50% gain (A). If another stock would only give a 30% gain (B), most people now would… Continue reading Ranking: percent performance and volatility
Selbstlernende Handelssysteme
Ein jeder kennt die klassischen Indikatoren wie RSI oder Stochastic. Und ein jeder kennt die dazugehörigen Handelsanweisungen: Long, wenn überverkauft, Short wenn überkauft. Und zumindest im Lehrbuch funktioniert das auch. Aber wie sieht das ganze am realen Chart aus? Würden Sie dem Lehrbuch vertrauen und Ihren Kunden auch einen baldigen Kauf empfehlen wenn der RSI unter… Continue reading Selbstlernende Handelssysteme
.VIX .S&P500 Timing Strategie
Der VIX Index als Panikindikator Der VIX Index stellt die implizite Volatität der S&P500 Aktienoptionen dar. Damit ist er ein sehr gutes Mass für das aktuelle Paniklevel des Marktes. Und Sie kennen sicher die Börsenweisheit “Kaufe, wenn die Kanonen donnern”. Diese beiden Dinge werden die Ausgangsbasis des hier vorgestellten Handelssystems für den S&P500 Index sein.… Continue reading .VIX .S&P500 Timing Strategie