Category Archives: Programming

Adding Comments to CSV Files

Various of my R scripts produce csv files as output. For instance, I run a lengthy SVM back test, the end result is a csv file containing the indicator with some additional information. The problem is that over time one loses track what exactly the file contained and what parameters were used to produce it.

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Parallelized Back Testing

As mentioned earlier, currently I am playing with trading strategies based on Support Vector Machines. At a high level, the approach is quite similar to what I have implemented for my ARMA+GARCH strategy. Briefly, the simulation goes as follows: we step through the series one period (day, week, etc) at a time. For each period, we use history of pre-defined length to determine the best model parameters. Then, using these parameters, we forecast the next period.

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Unstable parallel simulation, or after finishing testing, test some more

Lately I have been working on a trading system based on Support Vector Machine (SVM) regression (and yes, if you wonder, there are a few posts planned to share the results). In this post however I want to share an interesting problem I had to deal with.

Few days ago, I started running simulations using my latest code over years of historic data. Everything seemed to work fine, and the results looked promising. Experience has thought me that there is nothing like too much testing when it comes to trading strategy simulations, in other words, when your money is on the line. So, I decided to run one more test, which I usually do – to confirm that simulations with the same parameters, produce the same indicator.

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