Automated trading with R : quantitative research and platform development /: quantitative research and platform development. ([2016])

• Record Type: Book
• Further Information: Note: Chris Conlan.
• Other Names: Conlan, Chris
• Contents: At a Glance; Contents; About the Author; About the Technical Reviewers; Acknowledgments; Introduction; Part 1: Problem Scope; Chapter 1: Fundamentals of Automated Trading; Equity Curve and Return Series; Characteristics of the Equity Curve; Characteristics of the Return Series; Risk-Return Metrics; Characteristics of Risk-Return Metrics; Sharpe Ratio; Maximum Drawdown Ratios; Partial Moment Ratios; Regression-Based Performance Metrics; Optimizing Performance Metrics; Part 2: Building the Platform; Chapter 2: Networking Part I; Yahoo! Finance API; Setting Up Directories. URL Query BuildingData Acquisition; Loading Data into Memory; Note on Coding Style; Updating Data; YQL Web Service; URL and Query Building; Note on Quantmod; Background; Comparison; Organizing as Date-Uniform zoo Object; Note on zoo Objects; Chapter 3: Data Preparation; Handling NA Values; Note: NA vs. NaN in R; IPOs and Additions to S & P 500; Merging to the Uniform Date Template; Forward Replacement; Linearly Smoothed Replacement; Volume-Weighted Smoothed Replacement; Discussion of Replacement Methods; Real Time vs. Simulation; Influence on Volatility Metrics; Influence on Trading Decisions. ConclusionClosing Price and Adjusted Close; Adjusting for Stock Splits; Adjusting for Cash Dividends; Efficient Updating and Adjusted Close; Implementing Adjustments; Test for and Correct Inactive Symbols; Computing the Return Matrix; Chapter 4: Indicators; Indicator Types; Overlays; Oscillators; Accumulators; Pattern/Binary/Ternary; Machine Learning/Nonvisual/Black Box; Example Indicators; Simple Moving Average; Moving Average Convergence Divergence Oscillator (MACD); Bollinger Bands; Custom Indicator Using Correlation and Slope; Indicators Utilizing Multiple Data Sets; Conclusion. Chapter 5: Rule SetsOur Process Flow as Nested Functions; Terminology; Example Rule Sets; Overlays; Oscillators; Accumulators; Filters, Triggers, and Quantifications of Favor; Chapter 6: High-Performance Computing; Hardware Overview; Processing; Multicore Processing; Hyperthreading; Memory; The Disk; Random Access Memory (RAM); Processor Cache; Swap Space; Software Overview; Compiled vs. Interpreted; Scripting Languages; Speed vs. Safety; Takeaways; for Loops vs. apply Functions; for Loops and Memory Allocation; apply-Style Functions; Use Binaries Creatively; Note on Measuring Compute Time. Multicore Computing in REmbarrassingly Parallel Processes; doMC and doParallel; The foreach Package; The foreach Package in Practice; Integer Mapping; Computing the Return Matrix with foreach; Computing Indicators with foreach; Chapter 7: Simulation and Backtesting; Example Strategies; Our Simulation Workflow; Listing 7-1: Pseudocode; Listing 7-1: Explanation of Inputs and User Guide; Discussion; Implementing Example Strategies; Summary Statistics and Performance Metrics; Conclusion; Chapter 8: Optimization; Cross Validation in Time Series; Numerical vs. Analytical Optimization.
• Publisher Details: Berkeley : Apress
• Publication Date: 2016
• Copyright Date: 2016
• Extent: 1 online resource
• Subjects: 005.133; Computer science; R (Computer program language); COMPUTERS -- Programming Languages -- General; R (Computer program language); Computer Science; Programming Languages, Compilers, Interpreters; Programming Techniques; Computers -- Programming -- General; Computer programming / software development; Programming & scripting languages: general; Electronic books
• Languages: English
• ISBNs: 9781484221785; 1484221788; 9781484221778
• Related ISBNs: 148422177X; 9781484221778
• Notes: Note: Online resource; title from PDF title page (EBSCO, viewed October 4, 2016).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.