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Algorithmic Trading and Market Microstructure
Man vs. Robot on the bleeding edge of computational finance
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Informed Options Trading prior to M&A Announcements: Insider Trading?

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FRAMA Part V: Wrap-Up on Confirmatory Indicator/Test Sample

FRAMA Part V: Wrap-Up on Confirmatory Indicator/Test Sample | Algorithmic Trading and Market Microstructure | Scoop.it
So, it is possible to create a trading system that can correctly isolate severe and protracted downturns, without taking (too many) false signals. Here are the rules: 126 day FRAMA, FC=4, SC=300 (w...
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Tweet from @nanexllc

Tweet from @nanexllc | Algorithmic Trading and Market Microstructure | Scoop.it
One of the most exquisite charts in my collection: #Art http://t.co/O1olpMjnCN
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Betting on the Ponies: non-Unicorn Investing - Reaction Wheel

Betting on the Ponies: non-Unicorn Investing - Reaction Wheel | Algorithmic Trading and Market Microstructure | Scoop.it
Twenty fucking five to one My gambling days are done I bet on a horse called the Bottle of Smoke And my horse won - The Pogues I have decided to angel invest. Any advice? I spent some time decades ago in the horse-racing world, as a guest of someone who was actually in the …
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Currency Exchange Rate Forecasting with ARIMA and STL

Currency Exchange Rate Forecasting with ARIMA and STL | Algorithmic Trading and Market Microstructure | Scoop.it
I have made an example of time series forecasting with R, demonstrating currency exchange rate forecasting with the ARIMA and STL models. The example is easy to understand and follow. R source file...
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FRAMA Part III: Avoiding Countertrend Trading -- A First Attempt

FRAMA Part III: Avoiding Countertrend Trading -- A First Attempt | Algorithmic Trading and Market Microstructure | Scoop.it
This post will begin to experiment with long-term directional detection using relationships between two FRAMA indicators. By observing the relationship between two differently parametrized FRAMAs a...
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US market portrait 2014 week 26

US market portrait 2014 week 26 | Algorithmic Trading and Market Microstructure | Scoop.it
US large cap market returns.Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R...
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The Continuing Search For Robust Momentum Indicators: the Fractal Adaptive Moving Average

The Continuing Search For Robust Momentum Indicators: the Fractal Adaptive Moving Average | Algorithmic Trading and Market Microstructure | Scoop.it
Following from the last post and setting aside the not-working-as-advertised Trend Vigor indicator, we will turn our attention to the world of adaptive moving averages. In this case, I will be work...
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Algorithmic and High Frequency Trading in Dynamic Limit Order Markets by Alejandro Bernales :: SSRN

Algorithmic and High Frequency Trading in Dynamic Limit Order Markets by Alejandro Bernales :: SSRN | Algorithmic Trading and Market Microstructure | Scoop.it
We consider a dynamic equilibrium model of algorithmic trading (AT) for limit order markets.
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US market portrait 2014 week 24

US market portrait 2014 week 24 | Algorithmic Trading and Market Microstructure | Scoop.it
US large cap market returns.Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R...
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Trend Vigor Part III: ATR position sizing, Annualized Sharpe above 1.4, and Why Leverage Is Pointless

Trend Vigor Part III: ATR position sizing, Annualized Sharpe above 1.4, and Why Leverage Is Pointless | Algorithmic Trading and Market Microstructure | Scoop.it
To continue the investigation of Trend Vigor (see part 1 here, and part 2 here), let's examine the importance of position sizing. Also, this post will show the way to obtain this equity curve: Befo...
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A positive batting average trend follower? Introducing Trend Vigor.

A positive batting average trend follower? Introducing Trend Vigor. | Algorithmic Trading and Market Microstructure | Scoop.it
Since this is the first post on this blog, a quick start up for those who may be reading this who don't have my exact technical background: this blog will mostly use R, and backtesting will be done...
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Content Used to Be King. Now It’s the Joker.  — Climate Confidential — Medium

Content Used to Be King. Now It’s the Joker.  — Climate Confidential — Medium | Algorithmic Trading and Market Microstructure | Scoop.it
Why I’ve decided to stop taking “content” gigs and other journalists should, too. 
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US market portrait 2014 week 29

US market portrait 2014 week 29 | Algorithmic Trading and Market Microstructure | Scoop.it
US large cap market returns.Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R...
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US market portrait 2014 week 28

US market portrait 2014 week 28 | Algorithmic Trading and Market Microstructure | Scoop.it
US large cap market returns.  Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R...
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FRAMA Part IV: Continuing the Long/Short Filter Search

FRAMA Part IV: Continuing the Long/Short Filter Search | Algorithmic Trading and Market Microstructure | Scoop.it
This post examines an n-day median filter for two desirable properties: robustness to outliers and an inherent trend-confirming lag. While this is an incomplete filter (or maybe even inferior), it ...
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US market portrait 2014 week 27

US market portrait 2014 week 27 | Algorithmic Trading and Market Microstructure | Scoop.it
US large cap market returns.Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R...
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VIX-Manipulating HFT Algo Is Booted From Dark Pool, Exposed For Whole World To See | Zero Hedge

VIX-Manipulating HFT Algo Is Booted From Dark Pool, Exposed For Whole World To See | Zero Hedge | Algorithmic Trading and Market Microstructure | Scoop.it
VIX was monkey-hammered lower once again today, lifting stocks vertically to Russell 2000 record highs and The Dow within a point of 17,000. The question is who (or what) is doing it. Nanex seems to have found out who...
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FRAMA Part II: Replicating A Simple Strategy

FRAMA Part II: Replicating A Simple Strategy | Algorithmic Trading and Market Microstructure | Scoop.it
This post will begin the investigation into FRAMA strategies, with the aim of ultimately finding a FRAMA trading strategy with less market exposure, fewer whipsaw trades, and fewer counter-trend tr...
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A Simple Shiny App for Monitoring Trading Strategies

A Simple Shiny App for Monitoring Trading Strategies | Algorithmic Trading and Market Microstructure | Scoop.it
In a previous post I showed how to use  R, Knitr and LaTeX to build a template strategy report. This post goes a step further by making  the analysis  interactive. Besides the interactivity, the Sh...
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US market portrait 2014 week 25

US market portrait 2014 week 25 | Algorithmic Trading and Market Microstructure | Scoop.it
US large cap market returns.Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R...
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Trend Vigor Part IV: Shorting and Walk Forward Test

Trend Vigor Part IV: Shorting and Walk Forward Test | Algorithmic Trading and Market Microstructure | Scoop.it
While Trend Vigor has potential on the long end (as seen in part III of this investigation here), as Andreas Clenow has stated in his article "Trend Following Does Not Work On Stocks", the short si...
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Analyzing volatility patterns for SP500 stocks

Analyzing volatility patterns for SP500 stocks | Algorithmic Trading and Market Microstructure | Scoop.it
Analyzing SP500 volatility paths for common underlying factors
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Trend Vigor Part II--the Delta parameter, Ehlers entries and exits, and (vaguely) intelligent portfolio management.

Trend Vigor Part II--the Delta parameter, Ehlers entries and exits, and (vaguely) intelligent portfolio management. | Algorithmic Trading and Market Microstructure | Scoop.it
The last post gave a cursory overview of implementing a basic quantstrat strategy, and an introduction to Dr. Ehlers's Trend Vigor indicator, with a less than intelligent exit. This post will delve...
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US market portrait 2014 week 23

US market portrait 2014 week 23 | Algorithmic Trading and Market Microstructure | Scoop.it
US large cap market returns.Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by S&P on 2014 January 11) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R...
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