Automated Trading with R

Quantitative Research and Platform Development
1. Auflage 2016
ISBN: 978-1-4842-2177-8
Verlag: Apress

Buch, Englisch, 205 Seiten, Format (B × H): 178 mm x 254 mm, Gewicht: 4511 g

Learn to trade algorithmically with your existing brokerage, from data management, to strategy optimization, to order execution, using free and publicly available data. Connect to your brokerage’s API, and the source code is plug-and-play.

 explains automated trading, starting with its mathematics and moving to its computation and execution. You will gain a unique insight into the mechanics and computational considerations taken in building a back-tester, strategy optimizer, and fully functional trading platform.

The platform built in this book can serve as a complete replacement for commercially available platforms used by retail traders and small funds. Software components are strictly decoupled and easily scalable, providing opportunity to substitute any data source, trading algorithm, or brokerage. This book will:

• Provide a flexible alternative to common strategy automation frameworks, like Tradestation, Metatrader, and CQG, to small funds and retail traders
  
• Offer an understanding of the internal mechanisms of an automated trading system
  
• Standardize discussion and notation of real-world strategy optimization problems

What You Will Learn

• Understand machine-learning criteria for statistical validity in the context of time-series
• Optimize strategies, generate real-time trading decisions, and minimize computation time while programming an automated strategy in R and using its package library
  
• Best simulate strategy performance in its specific use case to derive accurate performance estimates
  
• Understand critical real-world variables pertaining to portfolio management and performance assessment, including latency, drawdowns, varying trade size, portfolio growth, and penalization of unused capital
  

Who This Book Is For

Traders/practitioners at the retail or small fund level with at least an undergraduate background in finance or computer science; graduate level finance or data science students

Zielgruppe

Professional/practitioner

Autoren/Hrsg.

Conlan, Chris

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik EDV | Informatik Programmierung | Softwareentwicklung Programmier- und Skriptsprachen
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik

Inhaltsverzeichnis

Part 1: Problem Scope.- Chapter 1: Fundamentals of Automated Trading.- Chapter 2: Networking Part I: Fetching Data.- Part 2: Building the Platform.- Chapter 3: Data Preparation.- Chapter 4: Indicators.- Chapter 5: Rule Sets.- Chapter 6: High-Performance Computing.- Chapter 7: Simulation and Backtesting.- Chapter 8: Optimization.- Chapter 9: Networking Part II.- Chapter 10: Organizing and Automating Scripts.- Part 3: Production Trading.- Chapter 11: Looking Forward.- Chapter 12: Appendix A: Source Code.- Chapter 13: Appendix B: Scoping in Multicore R.- 

Über Autor(innen)

Chris Conlan began his career as an independent data scientist specializing in trading algorithms. He attended the University of Virginia where he completed his undergraduate statistics coursework in three semesters. During his time at UVA, he secured initial fundraising for a privately held high-frequency forex group as president and chief trading strategist. He is currently managing the development of private technology companies in high-frequency forex, machine vision, and dynamic reporting.