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You're reading from  Learning Quantitative Finance with R

Product typeBook
Published inMar 2017
Reading LevelIntermediate
PublisherPackt
ISBN-139781786462411
Edition1st Edition
Languages
R
Concepts
Financial Technology
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Authors (2):
Dr. Param Jeet
Dr. Param Jeet
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Dr. Param Jeet

Dr. Param Jeet is a Ph.D. in mathematics from one of India's leading technological institute in Madras (IITM), India. Dr. Param Jeet has a couple of mathematical research papers published in various international journals. Dr. Param Jeet has been into the analytics industry for the last few years and has worked with various leading multinational companies as well as consulted few of companies as a data scientist.
Read more about Dr. Param Jeet

PRASHANT VATS
PRASHANT VATS
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PRASHANT VATS

Prashant Vats is a masters in mathematics from one of India's leading technological institute, IIT Mumbai. Prashant has been into analytics industry for more than 10 years and has worked with various leading multinational companies as well as consulted few of companies as data scientist across several domain.
Read more about PRASHANT VATS

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Momentum or directional trading

Momentum trading is trading when the instrument is trending up or down or, in other words, continuation in the trend as like historical winners are expected to be winners and historical losers are expected to lose. You bet on the direction of the instrument and you aim for buying at a low price and selling at a high price. I will not cover the pros and cons and what the different types of momentum trading strategies are. It is left to the trader to devise any idea. I will cover how to implement momentum trading rules and backtest using historical data in R. Stock return depends on various factors, and later in this chapter, I will show you how to use the multifactor model which explains stock return.

Let me start with simple technical indicators.

Technical indicators are implemented in the quantmod package so I will be using quantmod for this:

> library('quantmod') 
>getSymbols("^DJI",src="yahoo") 
[1] "DJI" 
> head(DJI)

We have...

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Learning Quantitative Finance with R
Published in: Mar 2017Publisher: PacktISBN-13: 9781786462411
© 2017 Packt Publishing Limited All Rights Reserved

Authors (2)

author image
Dr. Param Jeet

Dr. Param Jeet is a Ph.D. in mathematics from one of India's leading technological institute in Madras (IITM), India. Dr. Param Jeet has a couple of mathematical research papers published in various international journals. Dr. Param Jeet has been into the analytics industry for the last few years and has worked with various leading multinational companies as well as consulted few of companies as a data scientist.
Read more about Dr. Param Jeet

author image
PRASHANT VATS

Prashant Vats is a masters in mathematics from one of India's leading technological institute, IIT Mumbai. Prashant has been into analytics industry for more than 10 years and has worked with various leading multinational companies as well as consulted few of companies as data scientist across several domain.
Read more about PRASHANT VATS

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