Book description
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.
Automated Trading with R 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
Table of contents
Product information
- Title: Automated Trading with R: Quantitative Research and Platform Development
- Author(s):
- Release date: September 2016
- Publisher(s): Apress
- ISBN: 9781484221785
You might also like
book
Mastering R for Quantitative Finance
Use R to optimize your trading strategy and build up your own risk management system In …
book
Implementing Machine Learning for Finance: A Systematic Approach to Predictive Risk and Performance Analysis for Investment Portfolios
Bring together machine learning (ML) and deep learning (DL) in financial trading, with an emphasis on …
book
Introduction to R for Quantitative Finance
R is a statistical computing language that’s ideal for answering quantitative finance questions. This book gives …
book
Learning Quantitative Finance with R
Implement machine learning, time-series analysis, algorithmic trading and more About This Book Understand the basics of …