- Joined
- 6/6/08
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Just wanted to update you guys on a project I'm currently working on for my mentor in Chicago, who I hope will have enough trading revenue to hire me at his new shop by the end of the year:
A hedge ratio calculator, which calculates ten different hedge ratios (not written by me--the functionality for interfacing with those hedge ratios WAS written by me, though).
They are: (Var being variance, not value at risk--remember, prop trading here)
minVar
stdPriceVar
stdReturnVar
stdPriceDev
stdReturnDev
regPrice
regPrcChg
regReturn
pcaRatio (principal components)
equal (aka to have equal cash amounts)
From what I hear, this should be useful to lots of traders out there.
Of course, it's all written in R, with quantstrat, qmao, financialInstrument, blotter, and all of that good stuff that you can find on R-forge.
This should (hopefully) be out this month, or at least by the end of this year. There was one other open source project I was working on whose purpose was to tie together different calendar month contracts into one indefinite series, but that's in the sandbox in Chicago atm.
A hedge ratio calculator, which calculates ten different hedge ratios (not written by me--the functionality for interfacing with those hedge ratios WAS written by me, though).
They are: (Var being variance, not value at risk--remember, prop trading here)
minVar
stdPriceVar
stdReturnVar
stdPriceDev
stdReturnDev
regPrice
regPrcChg
regReturn
pcaRatio (principal components)
equal (aka to have equal cash amounts)
From what I hear, this should be useful to lots of traders out there.
Of course, it's all written in R, with quantstrat, qmao, financialInstrument, blotter, and all of that good stuff that you can find on R-forge.
This should (hopefully) be out this month, or at least by the end of this year. There was one other open source project I was working on whose purpose was to tie together different calendar month contracts into one indefinite series, but that's in the sandbox in Chicago atm.
