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Model a Quantitative Trading Strategy in R

Beginner

Updated 01/2025

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10 hours6 videos74 exercises5,400 XP5,519Statement of Accomplishment

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Course Description

R is widely used by analysts and traders around the world to develop quantitative trading strategies that can be executed manually or through program trading. This is an introductory course for beginners in R to get familiar with quantitative trading strategies and coding technical indicators in R. You will learn technical terms associated with trading strategies, work with data.tables in R, and manipulate the input data to create trading signals and profit-and-loss columns. You will also learn about optimizing parameters to be able to maximize profits. This course is for everyone interested in getting started with algorithmic trading. No prior knowledge is required!

Prerequisites

There are no prerequisites for this course

1

Introduction to R for trading

Read file: read.csv()

Get a glimpse of your data

Types, Classes and Dimensions of Objects in R

Extract data frame cell value

Extract value of consecutive cells in a column

Function c()

Create a column using function c()

Vector Operations

Calculate returns: Get started

Using the diff() function

Calculate returns: Using c() and diff() together

Calculate returns: For the second row

Calculate returns: the general formula

Calculate returns: vector division

Calculate returns: for-loop

Calculate log returns

Plotting and interpreting charts

Plot the Returns

Conditional Statements

2

Code a basic trading strategy

Introduction

Using the current position counter

Generate trading signal (1)

Generate trading signal (2)

Generating trading signal in actual table

Output Variables

Trading quantity & traded lots

Calculate trading profit

Mark to market

Coding the strategy in R

Load the data set

Plot the data

Initialize output variables

Rows and iterations

Define & initialize counters

The for-loop

The if condition for signal generation

The if condition for buy or sell

Update columns in case of buy

Update columns in case of sell

Last scenario: no change in trading position

Formula for calculating the trading profit

Formula for calculating the mark to market

Calculate profit and mark to market

Calculate traded lots

Print profit & traded lots

Run the complete code and report the results

3

Create a technical indicator

Review of previous chapter

Introduction to a new strategy

Parameters and indicators in the new strategy

Calculate box size in prices

Calculate reversal size in prices

Load and plot the dataset

Initialize parameters

Signal Generation Logic

Practice benchmark calculation 1

Practice signal generation 1

Practice benchmark calculation 2

Practice signal generation 2

Logic for generating trading signal of buy

Conditions for buying

Conditions for selling

Coding the strategy in R

Initialize bench counter

Initiate the for loop

For loop: if condition for buy

For loop: if condition for sell

For loop: scenario of no change

Review of the condition for changing benchmark

Formula for changing benchmark

For loop: updating the counter 'bench'

Calculate the trade profit and the mark to market

Mold your for-loop in a function

Run the final code

Optimize the input parameters

Model a Quantitative Trading Strategy in R

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