Joshua Ulrich

1,656 reputation

2621

bio	website	fosstrading.com
	location	St Louis, MO
	age	32
visits	member for	2 years, 3 months
	seen	yesterday
stats	profile views	315

My formal education is in economics. My programming skills and computer knowledge are self-taught. I have an uncanny ability to find answers to questions outside my immediate expertise. I have a deep love of learning and I enjoy building / fixing all kinds of things -- software, computer hardware, engines, etc.

	1,656 reputation	bio	website	fosstrading.com	visits	member for	2 years, 3 months
2621 badges		location	St Louis, MO		seen	yesterday

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2d	comment	backtesting options strategies in R blotter is very stable, but quantstrat is not. blotter is accounting infrastructure, it isn't oriented toward any type of security. I'm currently working on adding options functionality to quantstrat.
2d	comment	Optimal mortgage rate strategy Note that you can often break the lock for a fee (e.g. 1/8).
Apr 29	comment	How could covariance help with pattern prediction? Sample statistics and trend analysis are not sufficient to make a question on-topic. As @chrisaycock (and the FAQ) state, the site is for professionals (industry/academic). As it currently stands, your question is not indicative of a professional level.
Apr 10	comment	How to detect and adjust for stock splits? Don't do this. It's much better to use `quantmod::adjustOHLC` with Yahoo data. When `use.Adjusted=FALSE` (the default), the function pulls the split and dividend data from Yahoo and calculates the ratios manually.
Apr 2	comment	Stochastic modelling of derivatives on dividends This is very broad (you have at least 5 questions). You'd likely get (better) answers if you split this into 2-4 more specific questions.
Feb 6	comment	Multiple (linear) regression @Freddy: I agree with you; just playing devil's advocate.
Feb 6	comment	Multiple (linear) regression @Freddy: I didn't vote to close, but this is close to "Could someone help me develop a trading strategy?" and therefore some may deem it's off-topic according to the FAQ.
Feb 5	comment	Daily returns using adjusted close @Marcus: from looking at the entire history, it seems the 5/1 stock split was on 1994-06-20, not 2006-06-19.
Feb 5	comment	How to simulate one-minute bars data from one-day bars? @Quartz: not all scaling will change the first and last observations. You could calculate the line between the start and end points and shift all the observations above (below) that line by the required factor to reach the high (low) for the period.
Feb 4	comment	Yield Curve construction FRED API
Dec 20	comment	Using the termstrc package in R You might want to try the YieldCurve package. I found it easier to use.
Dec 18	comment	Target daily ROI for a market-making algorithm Aim for something > 0%.
Dec 14	comment	Control Bloomberg logins in a library <HELP><HELP> <Ctrl>+C <Ctrl>+V
Dec 11	comment	Mortgage prepayment regression model This site is for professional quants. Your question is off-topic, not because you're an undergraduate, but because it's not relevant to professionals. Go to the library and get a book on valuing MBS and use that to start learning about prepayment drivers.
Dec 5	comment	Can a programmer be a quant trader without knowing all that math and models? Your question would have been closed even without a moderator's vote. This is not a career advice site.
Nov 28	comment	Treasury Bond Yield Curves in R +1 I second this suggestion.
Oct 16	comment	Statistical significance of trading systems that use indicators with long lookbacks Cross-posted on NP (already has one answer).
Oct 13	comment	Where do swap rates and/or long-term forward rates come from? When two interest rates really love each other, they... well... you know.
Oct 7	comment	Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property Asking for "stories and experience" isn't a good fit for this site.
Sep 4	comment	ROC: difference between discrete and continuous? @DarrenCook: user508 is probably referring to `Return.Calculate` and `Calculate.Returns`. Most PerformanceAnalytics functions that take a return vector have default to simple returns (and therefore geometric chaining).