1
Introduction to R for trading
Free
This chapter equips you with basic programming skills in R before proceeding to strategy writing. This chapter covers reading a data.table, creating new columns in the table, calculating returns by different methods, loop functions, conditional functions, and plotting of datasets.
2
Code a basic trading strategy
In this chapter, you’ll learn how to write a simple strategy based on stock price movements, learn how to generate trading signals and how to determine the trading quantity and price to place orders. Finally, learn to assess your strategy based on the accrued profit and loss. Use R as a statistical tool to write your first fully functional programming code that performs these tasks automatically.
3
Create a technical indicator
Apply the knowledge you’ve learned to create a more sophisticated trading strategy based on point and figure charting. By the end of this chapter, you will appreciate the complexities involved in creating quantitative trading strategies and will be equipped with the skills to write your own trading strategies in R.

Initializing

Trading quantity & traded lots

Now that we know how to create trading signals, we will learn to compute trading quantity and calculate total number of traded lots.

The Trading quantity is determined as follows:

It is 1 for the first order, which is always buy,
It is 2 for subsequent buys, and
It is -2 for subsequent sells.

In case of sell, assigning negative sign to the value of trading quantity is just a convention to denote 'sold'.

The total number of traded lots = the cumulative sum of absolute trading quantity + 1

We add '1' while calculating traded lots to account for the last open position.

Complete the table below. In this example, parameter = 5.

What will be the total number of traded lots through this strategy for the given data?

Possible answers

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