The ACD Method

Discussion in 'Technical Analysis' started by sbrowne126, Jul 16, 2009.

  1. Maverick74

    Maverick74

    What? You guys take Mondays off now? :)
     
    #11381     Mar 28, 2016
  2. Lol. Always here lurking in the shadows :)
     
    #11382     Mar 29, 2016
  3. Maverick74

    Maverick74


    How is your stuff in R coming along?
     
    #11383     Mar 29, 2016
  4. With regard to the scoring its working perfectly apart from being a little slow importing the data, which is currently stored in csv files.

    The better way of doing this is to store and run the code directly from a database. So I am in the process of planning a move to postgres. Once processed and scored, R can then be used to interrogate the database and run analysis. It should be a lot quicker with a setup like this and also gives me the advantage of holding quite a large dataset of instruments and scores.

    With regard to actual analysis I have been exploring correlations/spread among similar asset classes, using an ACD framewrok. So far it looks good from the scope of being able to identify regime change. This is all being done with the plan of identifying the best times to be trading spreads etc.
     
    #11384     Mar 29, 2016
  5. Maverick74

    Maverick74

    You pretty good with GARCH models?
     
    #11385     Mar 29, 2016
  6. With respect to coding? Or implementation?
     
    #11386     Mar 29, 2016
  7. Maverick74

    Maverick74

    Both.

    I'm frustrated that GARCH on R apparently does not really make it easy to use multi-variable fundamental models.
     
    #11387     Mar 29, 2016
  8. ignl

    ignl

    I never did anything with garch but there are some packages for multivariate garch (e.g. https://cran.r-project.org/web/packages/rmgarch/index.html). Did you try it or some other packages?
     
    #11388     Mar 29, 2016
  9. #11389     Mar 29, 2016
  10. Maverick74

    Maverick74

    Yet another GARCH I have not checked out. Thnx, I'll take a look.
     
    #11390     Mar 29, 2016
    redbaron1981 likes this.