Attempting to profit from short-term fluctuations in a security's price as opposed to investing in the security for use or income.

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121 views

How to projectP&L or drawdowns on pair trading , trading and portfolios?

This is for planning and risk management. I am stuck on the following thoughts - Back-test the trading strategy for a period similar to the one you expect and then project. Do the above using ...
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230 views

IB with R which package?

I want to implement my models in R and trade according to them with my IB account. Now I am wondering, how I should solve this problem? Do I need to program with C an access ...
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67 views

% Return on backtest with variable positions and notional amounts

I have a 14 year backtest for a systematic strategy that uses a static notional per each position. On any given day I could have multiple positions long and short and notional long and short. How do ...
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26 views

What packages are out there to extract trading signals from time series data [on hold]

I have lot's of time series that I would like to compare. Similar time series shall be grouped together. Is there a decent package out there to extract significant features that I could use to ...
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1answer
1k views

Can end-to-day trading be profitable? If not, why? [closed]

Many academics argue that end-to-day trading, where you go long or short before opening and sell your security at the end of the day, is not profitable. Various explanations are given for this ...
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1answer
120 views

Elliott wave priciple applied to any Time Series

I'm strongly interested to computing Elliott Wave to any given Timeseries. Does anybody tried? Is there any phython library to do that? I'm looking for an algorithm taht if I give to it a time ...