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Category Archives: Quantitative Finance
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 [...]
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 [...]
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 (forex trading is not allowed in a TFSA, by the way) as a hypothetical case study. I conclude that even if I can trade in my best month, every month, [...]
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 [...]
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. [...]
Adapting to changing market volatility with a statistical position size table
We know that prices can go up or down. We also know that the quality of these ups and downs can be very smooth or very choppy. As such, it’s not surprising that the trend and volatility of a market form the two universal characteristics of a price action. No matter which market you trade, [...]
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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.
First look at Google App Engine for automated trading and quant analysis on the cloud