Important News and Updates!

Posted on 20th December 2012 in Research, Uncategorized

Our website will be soon one year old and some major updates are under consideration! Please read below.

1) Daily FOREX Correlation (NEW!): We will update every day estimates of the correlation for all currencies. This methodology is based on a new academic research paper of ours and can be used for hedging purposes. It will be updated daily - After December 2012

2) Daily FOREX Picks (NEW!): Based on the above, we will also create a strategy that invests in 6 currencies. The performance of this FX portfolio will be tracked online – After December 2012

3) ETF Switcher (Daily): Some of all strategies will be kept – After February 2013

4) Risk Sentiment Indicators based on ETFs will be extracted from ETF Switcher and will be presented separately  - After February 2013

5) TNA/TZA Pairs Trading (Weekly): This will be changed and updates will be daily - After February 2013

6) FAS/FAZ Pairs Trading (NEW!): A similar strategy to TNA/TZA will be applied in FAS/FAZ  with daily updates – After February 2013

 

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Stock Market and US elections

Posted on 19th September 2012 in r-bloggers, Research

We made a very simple R file that historically gathers the period before and after the US elections. The inexperienced user has the ability to set the tickers of asset she wants to study and the look-back and look-forward periods. Most of the functions are wrapped up and can be found in a separate file here http://www.quantf.com/download2/US-elections-procs.R , so that all experienced users can open and edit the source file.

Looking at SP-500, NASDAQ-100 and RUSSELL-2000 graphs we see that in 1980, 1984, 1988, 1992, 2000, 2004 and 2008 there was rise in the market some weeks before the elections (something similar happened last week due to the QE Fed announcement). Then we have an decrease and as we approach to the elections the market goes up again. A similar decrease started last Friday at the end of day and continued on Monday and Tuesday.

Bottomline: pre-elections periods can be tricky so have it in mind and be prepared!

 

# Written by D. Thomakos and F. Papailias
#
# Contact Details: papailias@quantf.com
# dimitrios.thomakos@gmail.com, thomakos@quantf.com
#
# All material is provided for use as is, with no guarrantees, either expressed or implied.
# Copyright (C) under the authors' names Papailias, Fotis and Thomakos, Dimitrios for both
#
#-------------------------------------------------------------------------#
# Quantitative Finance & Technical Trading #
# http://www.quantf.com #
#-------------------------------------------------------------------------#
# 
# PLEASE MAINTAIN THIS HEADER IN ALL COPIES OF THIS FILE THAT YOU USE
# Remove everything to start from scratch
rm(list=ls(all=TRUE))
#------------------------ USER INPUT -----------------------------#
# Select the assets you need. Here we use SP-500, NASDAQ-100, RUSSELL-2000, TNA, TZA, FAZ, FAS
tickers.all <- c("^GSPC", "^NDX", "^RUT", "SPY")
ndays <- 60 # calendar days
nrows <- 60 # trading days
source("http://www.quantf.com/download2/US-elections-procs.R")
for(i in seq(1, length(tickers.all), 1))
{
 wrap.n.plot(prices, tickers.all[i], dates, ndays, nrows, ele)
}




		
		
		



													

						
						
						

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								IMA article published in Market Technician – The Journal of the Society of Technical Analysts, UK
							

												
						
						

							Posted on 5th July 2012 in Research
						
	
						
														
						
									
														
We are more than happy to announce that a small article based on our Improved Moving Average Strategies (you can find more here) has been published in Market Technician. We are indebted to the board of the Journal that has allowed us to re-distribute the article freely.


 



GDE Error: Unable to load profile settings



 


or download the .pdf here


 


Kind Regards,


Fotis

													

						
						
						

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								IMA Article published in the Market Technician – The Journal of the Society of Technical Analysts (UK)
							

												
						
						

							Posted on 31st May 2012 in Research
						
	
						
														
						
									
														
It is with great pleasure to announce that the current issue of the Market Technician – The Journal of the Society of Technical Analysts (UK), includes a non-technical note of our Improved Moving Average!


Please visit the following link


http://www.sta-uk.org/sta_market_technician.html


 

													

						
						
						

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								Ichimoku Clouds R Code Trading
							

												
						
						

							Posted on 9th April 2012 in forex-bloggers, r-bloggers, Research
						
	
						
														
						
									
														
Download the full program here


Here you can find an R Code for Ichimoku Clouds analysis and trading.


Have fun!


		
		
		


 


# The function for computing the Ichimoku cloud

ichimoku <- function(data,pars)

{


 # REMEMBER THAT THE DATA SHOULD BE IN ORDER

 #

 # HIGH, LOW and CLOSE

 #

 # ==========================================


 # Number of observations

 Nobs <- NROW(data)


 # Get the three parameters

 p1 <- pars[1]

 p2 <- pars[2]

 p3 <- pars[3]


 # The maximum of these should be p3, check

 if ((p1 > p2) | (p1 > p3) | (p2 > p3)) 

 { 

 stop(“parameters should enter in ascending order”) 

 }

 # Set the max

 maxp <- p3


 # You will leave out maxp observations

 cloud.lines <- matrix(0,nrow=Nobs-maxp,ncol=5)

 colnames(cloud.lines) <- c(“Tenkan”,”Kijun”,”SenkouA”,”SenkouB”,”Chikou”)


 # Run a loop to make the computations

 for (i in seq(maxp+1,Nobs,1))

 {

 # Compute the cloud lines

 tenkan <- (max(data[seq(i-p1,i,1),1])+min(data[seq(i-p1,i,1),2]))/2

 kijun <- (max(data[seq(i-p2,i,1),1])+min(data[seq(i-p2,i,1),2]))/2

 senkouA<- (tenkan+kijun)/2

 senkouB<- (max(data[seq(i-p3,i,1),1])+min(data[seq(i-p3,i,1),2]))/2

 chikou <- data[i,3]


 # Save in appropriate places

 cloud.lines[(i-maxp),] <- c(tenkan,kijun,senkouA,senkouB,chikou) 

 }


 # OK, now align them correctly: SenkouA and SenkouB are moved p2 periods forward

 # while Chikou is moved p2 periods backward…

 A1 <- rbind(cloud.lines[,1:2],matrix(NA,p2,2))

 A2 <- rbind(matrix(NA,p2,2),cloud.lines[,3:4])

 A3 <- c(cloud.lines[(p2+1):(Nobs-maxp),5],matrix(NA,2*p2,1))

 new.cloud.lines <- cbind(A1,A2,A3)

 colnames(new.cloud.lines) <- colnames(cloud.lines)


 # Align the data as well

 new.data <- rbind(data[(maxp+1):Nobs,],matrix(NA,p2,3))

 colnames(new.data) <- colnames(data)


 # OK, return everything

 return(list(data=new.data,cloud.lines=new.cloud.lines))

}


 


# Set the ichimoku parameters

pars <- c(50,100,120)


out <- ichimoku(x,pars)

													

						
						
						

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