Articles

Posted to the R-SIG-Finance mailing list today:

For those who missed it, the slides for the R/Finance 2009 tutorials
and presentations are now available on RinFinance.com

http://www.RinFinance.com/presentations

We want to thank everyone who traveled to Chicago to make this happen. With nearly 200 attendees, coming from 8 countries and 20+ states in the US, the conference exceeded all of our expectations. A very big thank you to our presenters for taking the time to join us, UIC’s International Center for Futures and Derivatives for hosting the event, and our sponsors REvolution Computing and Microsoft for their support.

Though it’s more than two weeks later, here’s the second post in the series that will demonstrate how to build, test, and implement a trading strategy with R. You can find the first post here.

The first post replicated this simple RSI(2) strategy from the MarketSci Blog. This second post will demonstrate how to replicate this strategy that scales in/out of RSI(2).

A couple notes before moving to the code:

1. The rsi2pos() function isn’t necessary, but it provides an example of how to define a function. Plus, it enables us to test several ideas with much greater speed and flexibility.

The first international R/Finance 2009 conference in Chicago, IL was a huge success! David Smith from REvolution Computing has written a great summary of the entire event. I’ll take the lazy route and point you to his blog post. :)

The first international conference dedicated to the use of R in the finance industry, R/Finance 2009, was a great success. With over 150 attendees (my poor estimation skills notwithstanding), sold-out tutorials, and an outstanding lineup of invited and contributing speakers from around the world, this event really demonstrated the importance of R in the world of financial analysis.

After a year of “we plan to accept new subscribers shortly”, opentick has shut its doors completely. As of March 20th, the opentick service is no longer available.

From opentick.com:

3/16/2009

To opentick subscribers, friends, supporters, contributors and the rest of the community…

It has been quite a journey for opentick, and for those of you who have been with us for the ride we cannot thank you enough for the support, contributions and guidance you have given us over the course of the last 5 years. We could not have come as far as we have without you.

This is the first of a series of posts that will demonstrate how to build, test, and implement a trading strategy using my favorite FOSS, R. I chose the RSI(2) strategy because it has gotten considerable attention on trading blogs over the past 6 months.

In particular, I will be replicating and extending some of the results from Michael Stokes’ excellent MarketSci Blog. This post will focus on replicating this simple RSI(2) strategy.

The conference website has details on:

• the agenda and speakers,

• travel accommodations,

• registration, and

• sponsors, who made the conference possible.

Hope to see you there!

Jeff Ryan’s IBrokers package was mentioned on Ernie Chan’s blog, Quantitative Trading. Though the package is still in pre-alpha stage, it is generating quite a bit of interest.

Source:
Ernie Chan
Friday, January 16, 2009
Quantitative Trading: Algorithmic Trading Technology Update

Call for Papers

The Finance Department of the University of Illinois at Chicago (UIC),
the International Center for Futures and Derivatives at UIC, and
members of the R finance community are pleased to announce

R/Finance 2009: Applied Finance with R

on April 24 and 25, 2009, in Chicago, IL, USA

Confirmed keynote speakers include:

Patrick Burns (Burns Statistics)
David Kane (Kane Capital)
Roger Koenker (U of Illinois at Urbana/Champaign)
David Ruppert (Cornell)
Diethelm Wuertz (ETH Zürich)
Eric Zivot (U of Washington)

Krishna Kumar, Jan Vecer and the great folks at REvolution computing put on a great event at the beautiful Columbia University campus on the Upper West Side of New York.

Presentations by Whit Armstrong, Anthony Brockwell, Bryan Lewis, Scott Payseur, Peter Carl, Brian Peterson, and our own Jeff Ryan made for an impressive display of the power of R in quant finance. Jeff’s presentation slides can be found here.

Some great things are happening in this community, and we are certainly glad to be part of them.

This blog will highlight the development and use of free open-source software to research, test, and trade financial markets.

Meet the authors:

Joshua Ulrich is currently the author and maintainer of four R packages:

• TTR - Technical Trading Rules - a suite of technical analysis functions
• opentick - an R API to the opentick databases
• xts - eXtensible Time Series - a time-based data class that integrates all of the current time-series classes (co-authored with Jeff Ryan)
• pack - convert binary to and from formats other programs and machines can understand

Jeff Ryan is currently the author and maintainer of four R packages: