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Category Archives: Quantitative Finance
First look at Google App Engine for automated trading and quant analysis on the cloud
I just spent the last few hours looking into Google App Engine to use it for trading. Google App Engine (GAE) is a cloud computing development and hosting platform for web applications. GAE is similar to the well-known Amazon EC2 service but it is also very different. The main difference between GAE and EC2 is [...]
Is a $5000 Questrade TFSA trading account cost effective? – Part 4
Alright, so I’m back from the dead. Let’s finish this cost-benefit analysis before the weekend. Here are back links for Part 1, Part 2, Part 3 in case you missed them.
The table below shows my expected return as derived through part 2 and part 3 of this series. As you can see, I’m only expected [...]
Is a $5000 Questrade TFSA trading account cost effective? – Part 3
This post continue on the calculations from part 2 of this TFSA trading cost analysis series. Part 1 is an introduction outlining the rationale for this work. Let’s pick up where we left off. I was just about to figure out what is my expected profit using probability theory.
To do that, I use my historical [...]
Is a $5000 Questrade TFSA trading account cost effective? – Part 2
Part 1 of this TFSA trading account cost analysis series considered the costs of a TFSA trading account using data from my recent forex trading as a hypothetical case study. I conclude that even if I can trade in my best month, every month, I would still lose money in a TFSA because of [...]
Why I am not a big fan of MQL4 or trading platform scripting
I spent most of 2008 trading futures and developing automated systems on Tradestation. The futures trading didn’t turn out so well as I lost 40% of my account and had to call it quit. My quant development work on the other hand, was coming along slow but steadily. However, since I couldn’t bear the monstrous [...]
Analysing monthly forex trading performance in changing market conditions
In my previous post, I discussed about 3 reasons why I don’t use Jensen’s alpha or Sharpe ratio for my montly trading performance measurement. In this post, I will talk about what I actually use and how I came up with it.
As I was saying in the previous post, what one chooses to use as [...]
3 reasons why I don’t use Jensen’s alpha or Sharpe ratio for my forex trading
As a part-time trader, measuring my monthly trading performance can be as simple or as complex as it can be. On a scale of 1 to 10, 1 being just reading the percent return from the account statement and 10 being running a statistical analysis, my preferred trading performance measurement method is a simple 3. [...]
My name is Paul and I am a full-time engineer, part-time trader. Back in 2000, I deposited my $5000 interest-free student loan with an online broker. Since then, my interest in trading has become an obsession.
Data Scraping the Toronto Stock Exchange: Extracting 3,660 companies’ data