Order Type and Parameter Optimization in quantstrat

DISCLAIMER: Any losses incurred based on the content of this post are the responsibility of the trader, not the author. The author takes no responsibility for the conduct of others nor offers any guarantees.

Introduction

You may have noticed I’ve been writing a lot about quantstrat, an R package for developing and backtesting trading strategies. The package strikes me as being so flexible, there’s still more to write about. So far I’ve introduced the package here and here, then recently discussed the important of accounting for transaction costs (and how to do so).

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Transaction Costs are Not an Afterthought; Transaction Costs in quantstrat

DISCLAIMER: Any losses incurred based on the content of this post are the responsibility of the trader, not the author. The author takes no responsibility for the conduct of others nor offers any guarantees.

Introduction: Efficient Market Hypothesis

Burton Malkiel, in the finance classic A Random Walk Down Wall Street, made the accessible, popular case for the efficient market hypothesis (EMH). One can sum up the EMH as, “the price is always right.” No trader can know more about the market; the market price for an asset, such as a stock, is always correct. This means that trading, which relies on forecasting the future movements of prices, is as profitable as forecasting whether a coin will land heads-up; in short, traders are wasting their time. The best one can do is buy a large portfolio of assets representing the composition of the market and earn the market return rate (about 8.5% a year). Don’t try to pick winners and losers; just pick a low-expense, “dumb” fund, and you’ll do better than any highly-paid mutual fund manager (who isn’t smart enough to be profitable).

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On Programming Languages; Why My Dad Went From Programming to Driving a Bus

In Data Science from Scratch, a book introducing data science using Python, Joel Grus said the following about R (pg. 302):

Although you can totally get away with not learning R, a lot of data scientists and data science projects use it, so it’s worth getting familiar with it.

In part, this is so that you can understand people’s R-based blog posts and examples and code; in part, this is to help you better appreciate the (comparatively) clean elegance of Python; and in part, this is to help you be a more informed participant in the never-ending “R versus Python” flamewars.

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Where to Go from Here? Tips for Building Up R Experience

At the University of Utah, I teach the R lab that accompanies MATH 3070, “Applied Statistics I.”” None of my students are presumed to have any programming experience, and they never hesitate to remind me of that fact, especially when they are starting out. When I create assignments and pick problems, I often can write a one- or three-line solution in thirty seconds that students will sometimes spend four hours trying to solve. They then see my solution and slap their foreheads at its simplicity. I can be tricky with my solutions. For example, suppose you wish to find the sample proportion for a certain property. A common approach (or at least the one used in the textbook our course uses, Using R for Introductory Statistics by John Verzani) looks like this:

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How the House Makes a Profit: A R Shiny App for Explaining the Key Idea to Gambling

As many of you may know, I teach statistics at the University of Utah. Below is a post about how industries based on chance events, such as casinos or insurance companies, are able to guarantee a profit. I have also included R code for a Shiny app that demonstrates the ideas discussed in the blog post.

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On Game Development as a Hobby

One day I was looking around on GameJolt and saw a Fireside article by a developer called @jacklehamster, entitled: “That time I chose to leave my gamedev passion on the side of the road; A story about my love and hate relationship with game programming.” It’s about his romance with game programming: his sections are entitled, “It was love at first sight,” “The younger years,” “The breakup,” “Missing my first love,” “An unstoppable passion,” “Fear of commitment,” and “The way I see it.” Maybe this article touched on me because I was still fresh from a breakup I did not want to happen, and any inkling of romance could make me miss it terribly. But for whatever reason, this article (a very good one I encourage everyone to read) seemed to inspire a lot of thought in me, particularly about his need for game development to be a career, and his slight aversion to leave game development as “just a hobby.”

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