tag:blogger.com,1999:blog-27152216936240749612012-02-16T09:50:15.547-08:00Sharing investing and online trading ideas and helping traders get started.shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.comBlogger591100tag:blogger.com,1999:blog-2715221693624074961.post-3454919058958835492009-06-30T23:59:00.001-07:002009-07-26T02:09:46.201-07:00

This articles explains how to evaluate continued fractions and offers VBA code for Excel implementationContinued fractions are of the form belowContinued fractions can be used to express certain numbers, such as π. They are also used in calculating bessel functions of fractional orders. A general method to evaluate continued functions is known as the modified Lentz's method.The algorithm is

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com2tag:blogger.com,1999:blog-2715221693624074961.post-84696332509422535752009-06-30T23:59:00.000-07:002009-07-10T12:42:00.698-07:00

Introductory Concepts in Time Series AnalysisA time series refers to a set of data that is ordered by time. Price, volume and return data are three examples of time series. Time series can be discrete or continuous. In a discrete series, the time interval between each observation is an integer value. Continuous series are ordered by real numbers, the entire set of numbers that form the number

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-49665398745257333552009-06-30T23:58:00.001-07:002009-07-10T12:57:38.520-07:00

Hi (to whoever is reading this),A big welcome for finding my site. This post is a running list of updates and work done on this site, inclusive of any on-going projects so that visitors including you can have a better understanding of the things I am doing. 11 July 09Have not updated this journal for some time. Basically, I spent the last 2 weeks revamping the site layout. I tore the built-in

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-13933683881253450102009-06-30T23:58:00.000-07:002009-07-12T01:41:03.502-07:00

Financial time series such as price data are in general digital signals. They can only take on a set range of values and can only be measured at discrete time intervals. Even tick data is digital. It is merely sampled at very small time intervals, i.e. the machine records the prevailing quote every millisecond and only shows you those that have changed.Visit HERE for introductory information on

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-71688283325985139512009-06-30T23:57:00.000-07:002009-07-10T12:42:48.440-07:00

One of the first few questions that I ask myself is what are technical indicators? Are they just a jumble of equations? In fact, most technical indicators are filters. A filter can be viewed as an equation that transforms a time series to another form, such as how moving averages are supposed to smooth a time series. The objective of a filter is to identify and extract certain features, such as

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-14971240316793102062009-06-30T23:56:00.000-07:002009-07-10T12:43:26.525-07:00

This post is where all basic information is stored so that you can easily understand what I am talking about.Introduction to Signals1. A signal is a sequence of numbers2. A signal consists is measured along two dimensions – displacement and time.3. An analogue signal is a continuous signal varying in continuous time. Its displacement (from 0) and time can take on real values*. At each infinitely

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-19162696173928545852009-06-30T11:48:00.000-07:002009-07-06T14:59:24.668-07:00

The code below provides a convenient sub routine to perform the Fisher transform. The FT_1 sub routine uses the high and low prices of your dataset as its inputs. You will also need to specify a number n representing the length of the normalising period in the transformation process. The sub routine produces 5 columns of outputs - the median price, normalised median price, smoothed normalised

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-67424694320932562992009-06-30T11:28:00.000-07:002009-07-05T17:28:03.775-07:00

Average Directional Movement Rating ADRComes with formula, calculation steps and VBA codeIntroductionThe average directional movement rating ADR is based on the average directional index ADX. You might want to read about the average directional index before proceeding further. The ADR is calculated as follows:ADR=(current ADX + ADX k periods ago)/2As such, ADR can be seen as an approximate of the

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-7799387037333313872009-06-30T08:56:00.000-07:002009-07-06T09:57:58.260-07:00

Weighted Moving Average WMAComes with formula, calculation steps and VBA codeThe weighted moving average is calculated by giving each lagging price a smaller weight. The weight decreases at a constant rate from n to 0.WMA = [n x Pricet + (n-1) x Pricet-1 + … + 2 x Pricet-n+2 + Pricet-n+1] / (n + (n-1) + …+ 2 + 1)The divisor (n + (n-1) + …+ 2 + 1) can be calculated using the formula [n x (n+1)] /

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com1tag:blogger.com,1999:blog-2715221693624074961.post-10881131205042030402009-06-30T07:30:00.000-07:002009-07-05T13:29:35.960-07:00

Directional Movement Index DMXComes with formula, calculation steps and VBA codeIntroductionThe directional movement index, DMX is derived from the positive and negative directional movement indicators, +DMI and -DMI. It is calculated as follows.DMX = Absolute of [+DMI - (-DMI)] / [+DMI + (-DMI)]The +DMI is the Welles Wilder's moving average of +DM over n days divided by the average true range

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-63456298798201407542009-06-30T05:29:00.000-07:002009-07-05T13:33:51.559-07:00

Directional Movement Indicator DMIComes with formula, calculation steps and VBA codeIntroductionThe directional movement indicator DMI is the directional movement smoothed by the Welles Wilder's moving average normalized by the average true range. Like directional movement, the DMI is made of two studies - Positive DMI and Negative DMI or +DMI and -DMI respectively. Both +DMI and -DMI are behave

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-66678360790159214862009-06-30T03:19:00.000-07:002009-07-07T05:17:44.783-07:00

Chande Momentum Oscillator CMOComes with formula, calculation steps and VBA codeThe Chande momentum oscillator is calculated as follows.CMO= (Sum of all positive Changes in Price – Absolute Sum of all negative Changes in Prices) / (Sum of all positive Changes in Price + Absolute Sum of all negative Changes in Prices), over n periods., where Today’s Change in Price = Today’s Price – Yesterday’s

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-34377982273144662582009-06-29T15:18:00.000-07:002009-07-05T14:21:20.485-07:00

Average True Range ATRComes with formula, calculation steps and VBA CodeThe average true range is the Welles Wilder's moving average, WWMA of the true range, TR of a period. It is calculated as follows.ATR=WWMA of TRTRt=max of (Hight,Closet-1) - min of (Lowt,Closet-1)ATR=(TRt+(n-1) x (WWMA of TR)t-1) / nVBA CodeMethod A uses functions, while Method B uses sub procedures to calculate APZ. Method B

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-42746382423962172822009-06-29T14:32:00.000-07:002009-07-05T14:29:48.095-07:00

Average Directional Index ADXComes with formula, calculation steps and VBA codeIntroductionThe average directional index, ADX is a relatively complex indicator involving a total of five other technical studies. They are Welles Wilder's moving average, average true range, directional movement, directional movement indicator and directional movement index. The ADX is a measure of trend strength,

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-56894026339742279682009-06-29T01:24:00.000-07:002009-07-05T14:41:21.011-07:00

Adaptive Price Zone APZComes with formula, calculation steps and VBA codeThe Adaptive Price Zone APZ indicator is from the Technical Analysis of Stocks & Commodities Magazine, September 2006 article "Trading With An Adpative Price Zone" by Lee Leibfarth. It has an upper and lower boundary and prices are expected to reverse when it hits either boundar.Upper APZ boundary = EMA of (EMA of Price for

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-86741843018185601132009-06-28T16:52:00.000-07:002009-07-05T14:45:11.590-07:00

Chaikin Oscillator COSCComes with formula, calculation steps and VBA codeIntroductionThe Chaikin oscillator is very similar to the Chaikin money flow, except that it is actually the difference between two moving averages of the Accumulation/Distribution line or ADL. Some articles uses a simple moving averge, while some propose that an exponential moving average be used instead. I choose the

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-60978687015914648672009-06-28T13:06:00.000-07:002009-07-05T14:56:56.571-07:00

Chaikin Money Flow CMFComes with formula, calculation steps and VBA codeIntroductionThe Chaikin money flow, CMF is calculated asCMF = Sum of (CLV x Volume) for last n periods / Sum of Volume for last n periods, where n is specified by the user. (CLV x Volume) is a proxy of money flow in and out of a stock. The numerator, sum of (CLV x Volume) for the last n periods is actually very similar to

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-38189700968319072822009-06-28T01:19:00.000-07:002009-07-05T15:51:32.349-07:00

In a previous article, I wrote about clearing the cache for your Excel web queries in VBA and disabling background queries. However, that method is less flexible and requires you to specific tables for Excel to extract the data from. Here, I recommend a method to perform web queries using a so-called "XMLHTTP" object, which is potentially much faster than a typical data connection. It downloads

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com1tag:blogger.com,1999:blog-2715221693624074961.post-4154445306939959072009-06-27T12:41:00.000-07:002009-07-05T15:55:13.479-07:00

What is a User Defined Function?A user defined function, UDF is a function created by users to perform custom calculations in Excel and can used like any other Excel built-in functions, such as SUM, AVERAGE, etc. Custom functions can be written in VBA using Visual Basic Editor or in other languages as components of custom Add-Ins. The focus of this article is to write UDFs in VBA only. What are

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-46601052475271595352009-06-26T14:26:00.000-07:002009-07-05T16:07:40.061-07:00

Looping Web Queries Faster and Easier in VBA without the interuptionsThere are two major poblems with using VBA to perform web queries, that will cause Excel to bug out and show the 1004 or its equivalent Error message.1) Excel actually reads from your internet explorer when performing queries. When your cache is full, usually by the 40th to 50th query, your macro will bug out.2) Excel will move

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-6977986311457105122009-06-24T12:02:00.000-07:002009-07-05T16:19:09.882-07:00

A successful VBA project usually fulfils five criteria 1) meets user requirements, 2) is flexible, 3) user friendly, 4) optimized for speed and 5) easy to maintain. Good programming practices can improve your productivity as you create effective VBA applications with minimal effort on coding and debugging.Many beginning programmers fall into the trap of not critically examining user requirements

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-60549196418737394342009-06-23T12:42:00.000-07:002009-07-05T16:26:43.215-07:00

Pricing and Risk ManagementThe price of an asset is supposedly the expected value of its future cashflows minus interest that you will earn for saving your money in Treasury. The challenge lies in figuring out what is 'expected cashflows' in as smart a way as possible. It sounds simple but options and credit derivatives are large pricing challenges. The famed black-scholes model is known for

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-50426005906270313972009-06-23T11:20:00.001-07:002009-06-28T08:26:36.250-07:00

My first experience of being a quant was when I worked for a hedge fund dealing in commodities years ago. Ironically, it was a matter of luck that I got the job as I didn't have any formal training in mathematics or programming back then. My background was more in the financial markets. However, the experience got me started on my multi-year learning journey in quantitative finance and I realized

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-50808227705519425642009-06-23T08:26:00.000-07:002009-07-06T02:49:15.093-07:00

Moving Average Convergence/Divergence MACDComes with formula, calculation steps and VBA CodeThe MACD is based on the difference of two exponential moving averages. Convergence signifies the end of a trend, while divergence means that a trend is forming. To compute the MACD, users need to specifya) Fast, the number of periods the slow moving average is based on,b) Slow, the number of periods the

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-5400642021138500922009-06-23T08:24:00.000-07:002009-07-06T05:20:45.671-07:00

Keltner Channel KCComes with formula, calculation steps and VBA codeIntroductionTo compute the Keltner channel, you need to specify 2 valuesa) n, the number of historical periods the channel is based on andb) k, the width multiplier of the channelStep 1: Compute the typical price of each periodTypical Price, TP = (High + Low + Close)/3Step 2: Calculate the simple moving average representing the

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-22194754644846822382009-06-23T08:22:00.000-07:002009-07-06T08:50:42.622-07:00

Kaufman Adaptive Moving Average KAMAComes with formula, calculation steps and VBA codeIntroductionThe KAMA uses a smoothing constant in its calculation which requires the user to specify 3 integer values,a) j, the number of periods to be used for the KAMAb) Fast, the number of periods for a fast moving averagec) Slow, the number of periods for a slow moving average Step 1: Calculate the change in

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-42376181520367510962009-06-23T08:19:00.000-07:002009-07-06T11:35:28.522-07:00

Hull Moving Average HMAComes with formula, calculation step and VBA codeThe Hull moving average for n periods is calculated as suchHMA = WMA of (2 x WMA for last n/2 periods – WMA for last n periods) for last k periods, where k =square root of n rounded to a whole number n/2 is also rounded to a whole number. and the WMA refers to a weighted moving average.Both n is specified by the user. A

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-76229875772308351622009-06-22T13:38:00.000-07:002009-06-28T08:44:44.458-07:00

28 June 09Jay Yam, 22, had the following comments after reading some of our articles. Hi,First of all, thank you so much for writing such a professional and informative blog for us.Here are my questions: How useful is quantitative analysis with it comes to commodities trading? Do all the CTA heavily rely on their black-box system too or they are more discretionary in trading? What's the

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com1tag:blogger.com,1999:blog-2715221693624074961.post-51169739849732153632009-06-22T11:03:00.000-07:002009-06-22T11:04:26.373-07:00

The Heikin-Ashi technique is an alterntive of charting candle stick bars to show prevailing trends. The Open, High, Low and Close are recomputed as belowHAClose = (Open + High + Low + Close)/4HAOpen = (Yesterday’s Open + Yesterday’s Close) / 2HAHigh = Maximum of Today’s High, Open and CloseHALow = Minimum of Today’s High, Open and CloseThe down days are represented by shaded bars, while the up

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-13721204831044259412009-06-22T10:05:00.000-07:002009-07-06T11:47:30.350-07:00

Time Series ForecastComes with formula, calculation steps and Excel implementationThe time series forecast indicator is a linear regression of the prices for the past n periods and attempts to make a forecast for the next k periods. If k is set to 0, you are forecasting the last period, not the future, assuming that we are at the start of the current period. In another words, the time series

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-56871917449681148942009-06-21T13:17:00.000-07:002009-06-22T20:19:57.476-07:00

I decided to write this post after reading so much of the anger in some of those trading forums, after some traders lose a significant portion of their wealth on the markets. Here are some methods that I SUSPECT, but cannot PROVE, what some brokers and some vendors use to earn your money. FOREX1) Offer you way too much leverage than you need. Some brokers off 200x leverage for forex and allow you

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-69240346256227596722009-06-21T03:00:00.000-07:002009-07-06T14:09:26.301-07:00

The Fisher transform can be used to identify price reversals on its own or trends when two Fisher transform lines cross each other. Ehler wrote about the Fisher transform indicator in Stocks and Commodities Magazine article, "Using the Fisher Transform" published on November 2002.This article explains the Fisher transform. If you are looking for VBA code to implement the Fisher transform, you can

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-90998541561474764872009-06-20T15:28:00.000-07:002009-07-06T23:45:24.296-07:00

Darvas Box DBComes with formula, calculation steps and VBA codeThe calculation of the Darvas Box for each period or bar is quite complex, out of the indicators I have seen so far, for a study that does not use anything other than the High and Low of each period. Each day or period is classified into States. For each period, we keep a record of the Trailing High and Trailing Low. Based on the

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-52157095358746182092009-06-20T15:25:00.000-07:002009-07-07T03:21:25.301-07:00

Commodity Channel Index, CCIComes with formula, calculation steps and VBA codeCCI = (Current Typical Price – Simple Moving Average of Typical Price) / (k x Mean Deviation), where Current Typical Price = (High + Low + Close) / 3Simple Moving Average of Typical Price = Sum of Typical Price over the last n periods / nMean Deviation = Sum of absolute of (each typical price in the last n days –

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-22221152248307926952009-06-20T15:23:00.000-07:002009-07-07T05:47:52.763-07:00

Power Volume IndicatorsBalance of Power, BOPBalance of power is not a power volume indicator. Nonetheless, I classified it here, to avoid an excessively short post for a relatively simple indicatorBOP = (Close – Open)/(High – Low)Users typically use the BOP indicator by smoothing it with a moving average. Other Referenceshttp://www.linnsoft.com/tour/techind/bop.htmBuySell Pressure, BSPBuy

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-89260209854569454612009-06-20T15:22:00.000-07:002009-07-07T07:16:48.173-07:00

Bollinger Band BBComes with formula, calculation steps and VBA codeThe Bollinger band plots three lines on the chart. Upper Bollinger Band = Simple Moving Average over last n days + k x Standard Deviation of Price over last n days. Middle Bollinger Band= Simple Moving Average over last n daysLower Bollinger Band = Simple Moving Average over last n days - k x Standard Deviation of Price over last

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-76740905006005814012009-06-20T15:20:00.000-07:002009-07-01T02:17:55.964-07:00

Aroon Indicator AIComes with formula, calculation step and VBA Code. The Aroon oscillator is elaborated after the Aroon Indicator. The Aroon indicator is defined as suchAroon Up is the number of days it took out of n days to achieve the High in the same n days / nAroon Down is the number of days it took out of n days to achieve the Low in the same n days / n, where n is specified by the user. If

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-49284580312690439742009-06-19T22:38:00.000-07:002009-07-01T02:16:50.451-07:00

Exponential Moving Average EMAComes with formula, calcuation steps and VBA codeIntroductionThe exponential moving average, EMA is calculated as follows.EMAt = α x Price + (1 – α) x EMAt-1,where α = 2 / (1 + n) The subscript t is used to denote time e.g. t-1 refers to the period before t and n, to be specified by the user, refers to the "averging period" of the EMA. For example, the EMA equivalent

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-49337145061840976742009-06-19T13:57:00.000-07:002009-07-01T02:17:13.113-07:00

Welles Wilder's Moving Average WWMAComes with formula, calculation steps and VBA codeThe Welles Wilder's moving average, WWMA is computed as follows.WWMAt=[Pricet + WWMAt-1 x (n-1)] / nWWMAt=1/n x Pricet + (1-1/n) x WWMAt-1 , where n is specified by the user. It becomes apparent that the Welles Wilder's moving average is an approximation of the exponential moving average, which is shown below as

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-89177345159557657472009-06-19T13:13:00.000-07:002009-07-01T02:17:35.514-07:00

Directional Movement DMComes with formula, calculation steps and VBA CodeIntroductionThe directional movement index is based on the directional movement indicator which is in turn calculated from the directional movement of the period. Directional movement classifies market movements into positve and negative directional movements, represented by +DM and -DM respectively. Users must understand

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com1tag:blogger.com,1999:blog-2715221693624074961.post-29871997965371279552009-06-19T13:06:00.000-07:002009-07-01T02:18:22.828-07:00

Accumulation/Distribution Line ADLComes with formula, calculation steps and VBA codeIntroductionThe accumulation/distribution line, ADL, is calculated the following way.ADLt = ADLt-1 + CLV x Volume, where CLV = [(Close – Low) – (High – Close)] / (High – Low),where the subscript t is used to denote time e.g. t-1 refers to the period before t. CLV stands for close location value and

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-64349993714157429022009-06-19T05:00:00.000-07:002009-06-19T18:15:54.835-07:00

Metadata is loosely defined as ‘data in data’. According to Microsoft Knowledge Base, metadata that is saved in your workbook includes the following• Your name• Your initials• Your company or organization name• The name of your computer• The name of the network server or hard disk where you saved the workbook• Other file properties and summary information• Non-visible portions of embedded OLE

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com1tag:blogger.com,1999:blog-2715221693624074961.post-83769445291541519942009-06-19T01:05:00.000-07:002009-06-24T08:38:07.302-07:00

In general, I am biased towards using Excel for basic data work. While some people frown upon Excel and think that it is for amateurs, there are good reasons for using Excel. One of the strongest selling points for Excel is that your data is stored visibly and any changes you make on the spreadsheet can be viewed real time. This way, it is easier to learn and pick up. The formulas are also stored

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-4568924080550368072009-06-18T18:32:00.000-07:002009-06-18T20:44:14.845-07:00

I have previously written a post on ensuring that the historical data you use is of reasonable quality. The quality of your data is potentially worsened if your dataset is pieced together from multiple sources, which is not surprising, given that I have spotted a few firms selling data that is older than them. To help myself clean or scrub my data, I created an excel spreadsheet to automatically

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-20312000907910628412009-06-16T23:00:00.000-07:002009-07-05T01:42:32.426-07:00

This site received a visit via Google search some time ago. Based on his search terms, he was probably looking for VBA code on moving average crossovers. Unfortunately I did not have that up at that time. There was no way for me to get back to him even though I wanted to help him.YOU are important to me. If you are looking for something that our site does not currently have or you would like to

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com24tag:blogger.com,1999:blog-2715221693624074961.post-35865303845558785932009-06-15T11:51:00.000-07:002009-07-12T03:19:48.068-07:00

Most traders start off by trying to find the right trading system – a set of trading rules to be used repeatedly over time. Finding a profitable trading system or strategy takes time, a lot of time if you are not good with quanlitative or quantitative analysis. A profitable strategy on paper can even blow up on live trading due to poor execution. This is why I recommend beginning traders to start

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-10242959915351861882009-06-13T23:56:00.000-07:002009-06-18T17:00:43.870-07:00

When backtesting a strategy, you typically simulate trades based on historical data. The quality of your data matters. It gives you accurate simulated profits and saves you lots of time correcting data errors. Good quality data will usually fit the following critieria. 1) No gaps or missing data. 2) No invalid data. (e.g. price data filled with symbols instead.)2) Do not have same price or

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-51708296567910983202009-06-13T16:58:00.001-07:002009-06-28T07:43:30.967-07:00

I just had dinner with an old friend who has been working at a proprietary trading firm or arcade for the past two years. It got me wondering what does it take to have your own prop trading house. The perks are good - having your own hours, not needing to wear office attire to work etc. After talking to him for some time, I summarize the key points below.1) How much capital do I need?Not hundreds

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-78826816488503283542009-06-13T12:42:00.000-07:002009-06-19T15:53:31.271-07:00

A quick note on some of the common types of trading strategiesChoose a trading strategy that suits you. Trading strategies differ by trading frequency, number of instruments traded, holding period (how long you hold your position), risk reward profile etc. If you have a daytime job and do not know how to automate your strategy, you could start off with a low frequency strategy (the one to two

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-12983346054417297852009-06-13T10:23:00.000-07:002009-06-26T16:48:39.758-07:00

Excel spreadsheets by Finance4Traders can be downloaded from http://sites.google.com/site/finance4traders/A Website with lots of SpreadsheetsThis guy called gummy seems to be a big time fan of excel until recently when the author claimed that he has lost interest in all things finance. As the site might go down any time soon, go download all you need from there. http://www.gummy-stuff.org/Excel/

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-58363719528686192062009-06-12T08:50:00.000-07:002009-06-21T10:52:49.392-07:00

It is inherently difficult to decide on a trading strategy or indicator. You have to decide on how often you want to trade, what you want to trade and what kind of indicators you will pursue. I deliberately avoided technical indicators when I started and only restarted looking a indicators recently for a mini-project. The model or system that I would use had to involve some amount of quantitative

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-91761005288245729372009-06-11T10:18:00.001-07:002009-06-27T12:45:09.426-07:00

Excel is a ubiquitous tool in the office. Most office workers today are expected to know some amount of Excel programming, inclusive of basic VBA skills. When applying for entry level jobs, claiming that you are competent in Excel programming now implies that you are able to program automation or COM add-ins - not something that many people can do. Therefore, it is important to have some VBA

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-76842790154406378642009-06-11T10:17:00.002-07:002009-07-25T13:16:32.502-07:00

Why Quant in Trading?Some of the most successful hedge fund managers today are run by quants. A good example will be Jim Simons of Renaissance Technologies. He spent 17 years in the academia before setting up 'RenTec' as Renaissance Technologies is commonly known [1]. 'RenTec' manages assets in excess of US$20 billion and its flagship Medallion Fund was up 58% for the first nine months of 2008 [2

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-87977342457914075462009-06-11T10:17:00.001-07:002009-07-10T12:38:14.578-07:00

Technical indicators are popular tools among traders. Are they truly profitable? How do they work? These are some of the questions that I shall attempt to answer in this section. This section has 2 parts. Part 1 consist of general articles on technical analysis and quantitative stuff, while Part 2 is a glossary of 'how to calculate's to aid you in computing and understanding how technical

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-49391044492132747272009-06-07T08:37:00.000-07:002009-06-23T15:30:28.355-07:00

Finance4Traders is a site targeted at traders wishing to build a strategy or model of their own. It shall contain information on trading platforms, technical indicators and quantitative models such as neural networks etc. Hence, the name finance for traders simply refers to the promotion of relevant finance know how for traders.Unbiased trading research: Bringing open source to tradingThese days,

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com1tag:blogger.com,1999:blog-2715221693624074961.post-2004043471410898142009-06-04T06:58:00.000-07:002009-07-05T10:46:42.045-07:00

Updated and effective as of 7 July 09. Site Content Policy for http://finance4traders.blogspot.com. Disclaimer All data, information and media provided on http://finance4traders.blogspot.com, otherwise known as our content, are for informational purposes only. You should understand that our content are personal opinions and do not represent that of any company or organization. While we may

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-39819706385551630242009-06-03T10:57:00.000-07:002009-07-05T10:46:03.014-07:00

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-51377454145063745612009-06-01T17:34:00.000-07:002009-06-24T13:06:34.294-07:00

Money management skills, be it in trading or in daily activities are essential life tools. After all, money is hard earned. These section contain a list of articles that I cannot classify under anywhere else. They are meant to be easy/interesting reads for beginners. Contents1) Types of trading strategies2) 5 things to consider when creating your own trading strategy: A different view3) What is

shinjuhttp://www.blogger.com/profile/17674257500182266149noreply@blogger.com0tag:blogger.com,1999:blog-2715221693624074961.post-83215764284587342962009-06-01T11:49:00.000-07:002009-06-19T15:34:39.176-07:00

Updated and effective as of 13 June 09.Privacy Policy for http://finance4traders.blogspot.comThe privacy of our visitors to http://finance4traders.blogspot.com is important to us.At http://finance4traders.blogspot.com.com, we recognize that privacy of your personal information is important. Here is information on what types of personal information we receive and collect when you use and visit

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