statistics package?

Discussion in 'Automated Trading' started by RandomOrNot, Jan 13, 2009.

  1. Hi guys,

    I am looking for a statistics package tailored to the needs of a trader. Is there something out there you know of, preferably in JAVA and open source. I now, that there should be many general statistics libraries, but what about a special one for trading?

    Best regards,
  2. well it's not tailored specifically to trading... but R is the most popular open-source statistics program out there... the great thing about it is that it's used at so many universities both for teaching and research that pretty much anything quant you would ever want to do exists for R as a library.

    You really don't need trading-specific stats packages, because most trading stuff comes down to PL. However there's lots of R trading packages out there... go to (the R search engine) and search on trading or trader, finance, etc.
  3. rosy2


  4. Hi guys,

    thank you for your links. Both look interesting. With trading specific, I mean some package, which can compute relevant numbers, to asses the quality of a trading system, like volatility, sharp ratio, etc....

    I guess you can do it all yourself, I just wanted to check if there is already something nice out there.

  5. here is a package for R, which includes :

    ohlc chart plotting in R
    sharpe, sortino and maxDD functions in R.

    the people who produce this package product a ton of computational finance tools

    volatility is a pretty subjective term, you could use stddev which is built-into R. or you could use VaR, or something else... like I said, if you r-seek and search on whatever methods you want to use... you will almost certainly find a package that supports it for free. here's some other finance packages in R :

    Note that not all of these packages will necessarily assume working with same input/output data, so you may have to massage things a bit going between functions.

    good luck.