TipMyPip / Blog
The tick-data provided in the .csv (comma separated values) file format sometimes may be a real problem to handle quickly, especially when the total size starts to count in hundreds of GB. If your goal is to extract a time-series with, say, hourly time resolution only, Read more -> Sources...
function [str]=bankformat(num) num2=floor(num*1000)/1000; r=int32(100*(num-floor(num))); str = num2str(num2); k=find(str == '.'); if(isempty(k)) str=[str,'.00']; end FIN = min(length(str),find(str == '...
A precious lesson I learned during my venture over programming an independent backtesting engine for new trading model was slippage. Simply speaking, slippage is a fraction of stock price which you need to assume as a deviation from the price you are willing to pay...
It is one of the most fundamental approaches in measuring the risk, but truly worth revising its calculation. Value-at-Risk (VaR...
When I read the book of Nassim Nicholas Taleb Black Swan my mind was captured by the beauty of extremely rare events and, concurrently, devastated by the message the book sent: the non-computability of the probability of the consequential rare events using scientific methods (as owed to the very...
Having in mind the upcoming series of articles on building a backtesting engine for algo traded portfolios, today I decided to drop a short post on a simulation of the portfolio realised profit and loss (P&L...
Forecasting future has always been a part of human untamed skill to posses. In an enjoyable Hollywood production of Next Nicolas Cage playing a character of Frank Cadillac has an ability to see the future just up to a few minutes ahead...
Working with financial time-series, especially in trading and its following analysis of data trends or so on, we wish to rebin (resample) our data into a new time-series which would provide us with some sort of a new information on Read More -> Sources...
I decided to take the data analysis on Black Swan and Extreme Loss Modeling to the next level and examine the time distribution of extreme losses across the entire S&P 500 universe of traded stocks...
Everybody would agree on one thing: the nervousness among traders may lead to massive sells of stocks, the avalanche of prices, and huge losses. We have witnessed this sort of behaviour many times...