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• Extend Your Analysis Capabilities With R

  ARTICLE SYNOPSIS ...You can create a statistical bridge from your trading platform to a spreadsheet to the R programming environment to accomplish specialized tasks as well as extend your market and portfolio analysis capabilities. Here's an example of how to do it...

AUTHOR: Guy Brys and Luc Van HofDATE: SEP 2023SUBJECT: Data Analysis

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• An ETF Portfolio Based On Minimizing Drawdown

  ARTICLE SYNOPSIS ...A good risk management plan will deal effectively with the inevitable drawdowns that will occur. The results of this study point to a way you can improve an ETF portfolio and minimize drawdowns...

AUTHOR: Guy Brys and Luc Van HofDATE: MAY 2022SUBJECT: Trading Methodology

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• Studying ETFs Online With R

  ARTICLE SYNOPSIS ...Here is an example of using an open-source language, R, to code indicators, which the authors then used to create their own app that can compare ETFs. Here is how they did it...

AUTHOR: Guy Brys and Luc Van HofDATE: JAN 2020SUBJECT: Coding

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• A Nonparametric Performance Measure by Guy Brys and Luc Van Hof

  ARTICLE SYNOPSIS ...A Nonparametric Performance Measure by Guy Brys and Luc Van Hof Many an indicator generates buy/sell signals, but how effective are they? We can measure the quality of such signals by embedding them into a fairly simple trading system. We will apply two performance measures -- the classical return on account (ROA) and a nonparametric one (ACC) -- to four indicators to measure the quality of the buy/sell signals, followed by a walk-forward optimization and a discussion of the results. IN THEORY Generally speaking, a trading strategy is a collection of rules triggered by one or more indicators...

AUTHOR: Guy Brys and Luc Van HofDATE: JAN 2003SUBJECT: Trading Systems