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IKTrading

Ilya Kipnis's collection of quantitative trading and computational investing functions. Also includes demos of publicly-released ideas such as Flexible Asset Allocation and SeekingAlpha strategies.

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Version

Version

1.0

License

GPL-2

Maintainer

Ilya Kipnis

Last Published

May 25th, 2017

Functions in IKTrading (1.0)

ERM

Varadi's Error-Adjusted Momentum
EAA

Elastic Asset Allocation (EAA)
DVO

David Varadi Oscillator
hourlyPL

Hourly P&L box plot
heikinAshi

HeikinAshi
FAAreturns

Flexible Asset Allocation returns algorithm
FAA

Flexible Asset Allocation returns algorithm
durationStatistics

Duration Statistics
ichimoku

Ichimoku
agg.chart.ME

Aggregate Maximum Excursion Charts
lagATR

Lagged ATR
osMaxDollar

Order Size: Max Dollar
sigAND

sigAND
SIROC

SIROC -- Smoothed Indexed Rate Of Change
quandClean

Quandl Futures Data Cleaning
MSR

Varadi's MSR
osDollarATR

osDollarATR
stepwiseCorRank

Stepwise Correlation Rank
OHV

Varadi's Offsetting HV
stratBoxPlots

Strategy Signal Expectancy Boxplots
VCI

ValueCharts Indicator