[B! *trade] ryskosnã®ãƒ–ãƒƒã‚¯ãƒžãƒ¼ã‚¯

ryskosn id:ryskosn

*tradeã«é–¢ã™ã‚‹ryskosnã®ãƒ–ãƒƒã‚¯ãƒžãƒ¼ã‚¯ (160)

${{author_name}}$

{{{comment_expanded}}}

{{label}}

{{#is_bookmark}}ãƒªã‚¹ãƒˆ{{/is_bookmark}}{{^is_bookmark}}ãƒªãƒ³ã‚¯{{/is_bookmark}}

${{author_name}}$
{{author_name}}{{created}}
{{ #comment }}{{ comment }}{{ /comment }}
- {{ label }}

${{author_name}}$

{{{comment_expanded}}}

{{label}}

{{#is_bookmark}}ãƒªã‚¹ãƒˆ{{/is_bookmark}}{{^is_bookmark}}ãƒªãƒ³ã‚¯{{/is_bookmark}}

C#ã«ã‚ˆã‚‹æŠ•è³‡æ¤œè¨¼ãƒ©ã‚¤ãƒ–ãƒ©ãƒªMagicalNuts - è‡ªå®¶è£½ã‚¯ã‚ªãƒ³ãƒ„
C#ã®ã‚¢ãƒ‰ãƒ™ãƒ³ãƒˆã‚«ãƒ¬ãƒ³ãƒ€ãƒ¼24æ—¥ç›®ã«å‚åŠ ã•ã›ã¦ã„ãŸã ãã¾ã™ã€‚ ã“ã®è¨˜äº‹ã¯ã€åˆ¥ã®ã‚¢ãƒ‰ãƒ™ãƒ³ãƒˆã‚«ãƒ¬ãƒ³ãƒ€ãƒ¼ã€Œã²ã¨ã‚Šã‚¢ãƒ‰ãƒ™ãƒ³ãƒˆã‚«ãƒ¬ãƒ³ãƒ€ãƒ¼ C#ã«ã‚ˆã‚‹æŠ•è³‡æ¤œè¨¼ãƒ©ã‚¤ãƒ–ãƒ©ãƒªMagicalNutsã€ã«æ›¸ãæºœã‚ãŸ23æ—¥åˆ†ã®è¨˜äº‹ã‚’ã¾ã¨ã‚ãŸã‚‚ã®ã§ã™ã€‚ qiita.com ã‚‚ã®å‡„ã„é•·ã„ã®ã§ã€ã”èˆˆå‘³ã®æ²¸ã„ãŸã¨ã“ã‚ã ã‘ã§ã‚‚èªã‚“ã§ã„ãŸã ã‘ã‚Œã°ã¨æ€ã„ã¾ã™ã€‚GitHubã‚„NuGetã§ã‚‚å…¬é–‹æ¸ˆã¿ã§ã™ã€‚ github.com www.nuget.org MagicalNutsã¨ã¯ï¼Ÿ MagicalNutsã¯C#ã«ã‚ˆã‚‹æŠ•è³‡æ¤œè¨¼ãƒ©ã‚¤ãƒ–ãƒ©ãƒªã§ã™ã€‚ä½¿ã„æ–¹æ¬¡ç¬¬ã§ã€æ¬¡ã®ã‚ˆã†ãªã‚¢ãƒ—ãƒªã‚±ãƒ¼ã‚·ãƒ§ãƒ³ã‚’å®Ÿè£…ã§ãã¾ã™ã€‚ æ ªä¸»å„ªå¾…ã‚¤ãƒ™ãƒ³ãƒˆæ¤œè¨¼ã‚¢ãƒ—ãƒªã‚±ãƒ¼ã‚·ãƒ§ãƒ³ ç‹¬è‡ªæŒ‡æ¨™ã‚’è¿½åŠ ã—ãŸãƒãƒ£ãƒ¼ãƒˆã‚¢ãƒ—ãƒªã‚±ãƒ¼ã‚·ãƒ§ãƒ³ ãƒãƒƒã‚¯ãƒ†ã‚¹ãƒˆã‚¢ãƒ—ãƒªã‚±ãƒ¼ã‚·ãƒ§ãƒ³ C#ã®å–ã‚Šå›žã—ã®ã—ã‚„ã™ã•ã‚’æ´»ã‹ã—ã€ç—’ã„æ‰€ã«æ‰‹ãŒå±ŠãæŠ•è³‡ç’°å¢ƒã‚’ä½œã‚ŠãŸã„æ–¹ã®ï¼‘ã¤ã®é¸æŠžè‚¢ã«ãªã‚Œã‚Œã°ã¨æ€ã„ã¾ã™ã€‚MagicalNu
ryskosn 2021/12/24
C#

*trade
ãƒªãƒ³ã‚¯
[AAMAS2021æŽ¡æŠž]æ ªä¾¡äºˆæ¸¬ã®ãŸã‚ã®ã‚¢ãƒ³ã‚µãƒ³ãƒ–ãƒ«ãƒ»é€²åŒ–è¨ˆç®—æ‰‹æ³• : Trader-Companyæ³• - Preferred Networks Research & Development
PFNã§é‡‘èžãƒ»æ©Ÿæ¢°å¦ç¿’ã®ç ”ç©¶é–‹ç™ºã‚’è¡Œã£ã¦ã„ã‚‹ã‚¨ãƒ³ã‚¸ãƒ‹ã‚¢ã®ä¼Šè—¤å…‹å“‰ã§ã™ã€‚äººå·¥çŸ¥èƒ½ï¼ˆç‰¹ã«è‡ªå¾‹ã‚¨ãƒ¼ã‚¸ã‚§ãƒ³ãƒˆã¨ãƒžãƒ«ãƒã‚¨ãƒ¼ã‚¸ã‚§ãƒ³ãƒˆã‚·ã‚¹ãƒ†ãƒ ï¼‰ã®ãƒˆãƒƒãƒ—ä¼šè°ã®ã²ã¨ã¤ã§ã‚ã‚‹AAMAS 2021ã«ã€PFNã®ä¼Šè—¤å…‹å“‰ãƒ»å—è³¢å¤ªéƒŽãƒ»ä»ŠåŸŽå¥å¤ªéƒŽã¨é‡Žæ‘ã‚¢ã‚»ãƒƒãƒˆãƒžãƒã‚¸ãƒ¡ãƒ³ãƒˆæ ªå¼ä¼šç¤¾ã®ä¸å·æ…§æ°ãŒå…±åŒã§åŸ·ç†ã—ãŸæ ªä¾¡äºˆæ¸¬ã«é–¢ã™ã‚‹è«–æ–‡â€œTrader-Company Method: A Metaheuristic for Interpretable Stock Price Predictionâ€ãŒFull paperã§æŽ¡æŠžã•ã‚Œã¾ã—ãŸã€‚æœ¬è¨˜äº‹ã§ã¯ãã®å†…å®¹ã«ã¤ã„ã¦ç°¡å˜ã«ç´¹ä»‹ã—ãŸã„ã¨æ€ã„ã¾ã™ã€‚ Disclaimer: The views expressed here are our own and do not necessarily reflect the views of Preferred Networks and Nomura
ryskosn 2020/12/21
machine-learning

*trade

*finance
ãƒªãƒ³ã‚¯
æˆåŠŸã™ã‚‹æŠ•è³‡ï¼šãƒˆãƒ¬ãƒ¼ãƒ‡ã‚£ãƒ³ã‚°ã®ã‚µã‚¤ã‚¨ãƒ³ã‚¹ - Qiita
ã¯ã˜ã‚ã« æ—©é€Ÿã§ã™ãŒã€çš†ã•ã‚“ã¯æŠ•è³‡ã‚’ã—ã¦ã„ã‚‹ã§ã—ã‚‡ã†ã‹ã€‚ã—ã¦ã„ã‚‹ã¨ã™ã‚Œã°ã€ã©ã®ã‚ˆã†ãªæŠ•è³‡ã‚’ã—ã¦ã„ã‚‰ã£ã—ã‚ƒã‚‹ã§ã—ã‚‡ã†ã‹ã€‚ ä¸–ã®ä¸ã«ã¯æ§˜ã€…ãªæŠ•è³‡å¯¾è±¡ãŒå˜åœ¨ã—ã€ã¾ãŸãã®æŠ•è³‡æ‰‹æ³•ã‚‚æ§˜ã€…ã§ã™ã€‚æŠ•è³‡ã«é–¢ã™ã‚‹æƒ…å ±ã¯ä¸–ã®ä¸ã«æº¢ã‚Œã¦ã„ã¾ã™ã€‚æ°¾æ¿«ã—ã¦ã„ã‚‹ã¨è¨€ã£ãŸã»ã†ãŒã‚ˆã„ã‹ã‚‚ã—ã‚Œã¾ã›ã‚“ã€‚æ›¸ç±ã‚’ä¾‹ã«å–ã‚‹ã¨ã€ç”˜ã„æ–‡å¥ã§æŠ•è³‡ã‚’å¥¨åŠ±ã™ã‚‹ãƒ©ã‚¤ãƒˆãªå…¥é–€æ›¸ã‹ã‚‰é‡‘èžã®å°‚é–€æ›¸ã¾ã§ãšã‚‰ã‚Šã¨ä¸¦ã³ã¾ã™ã€‚ã¾ãŸãƒ–ãƒã‚°ã‚„SNSã‚‚é‡è¦ãªæƒ…å ±æºã¨ãªã£ã¦ãŠã‚Šã€æœ€è¿‘ã§ã¯æŠ•è³‡å‘ã‘ã®YouTubeã‚‚äººæ°—ã‚’é›†ã‚ã¦ã„ã‚‹ã‚ˆã†ã§ã™ã€‚ ã—ã‹ã—ã“ã‚Œã ã‘å¤šæ§˜ãªæƒ…å ±ã‚½ãƒ¼ã‚¹ãŒå˜åœ¨ã™ã‚‹ã«ã‚‚é–¢ã‚ã‚‰ãšã€æŠ•è³‡ã§æˆåŠŸã‚’åŽã‚ã‚‹ã“ã¨ãŒã§ãã‚‹ã®ã¯ã”ãä¸€æ¡ã‚Šã§ã™ã€‚å°‘ã—å¤ã„ãƒªã‚µãƒ¼ãƒã«ãªã‚Šã¾ã™ãŒ2015å¹´ã®é‡Žæ‘è‰åˆ¸ã®å€‹äººæŠ•è³‡å®¶ãƒªã‚µãƒ¼ãƒã§ã¯ã€é€šç®—ã§åˆ©ç›ŠãŒå‡ºã¦ã„ã‚‹å€‹äººæŠ•è³‡å®¶ã®å‰²åˆã¯9.3%ã¨ã®ã“ã¨ã§ã™ã€‚ã©ã†ã—ã¦ã“ã®ã‚ˆã†ãªäº‹æ…‹ã«é™¥ã£ã¦ã—ã¾ã†ã®ã§ã—ã‚‡ã†ã‹ã€‚æŠ•è³‡ã®åˆç´šè€…ã®æ–¹ã¯ã©ã®ã‚ˆã†ãªã‚¢ãƒ—ãƒãƒ¼ãƒã‚’ã—
ryskosn 2020/11/10
*finance

*trade

*statistics
ãƒªãƒ³ã‚¯
å¤–å›½ç‚ºæ›¿å¸‚å ´ã®åŠ¹çŽ‡æ€§ã¨å®‰å®šæ€§ã«å¯¾ã™ã‚‹é«˜é€Ÿå–å¼•ã®å½±éŸ¿ï¼šé«˜é »åº¦ãƒ‡ãƒ¼ã‚¿ã«ã‚ˆã‚‹åˆ†æž
ryskosn 2020/05/09
*finance

*trade
ãƒªãƒ³ã‚¯
æ··é›‘åº¦ã¨ãƒ¬ãƒ©ãƒ†ã‚£ãƒ–ãƒãƒªãƒ¥ãƒ¼ã«ã‚ˆã‚‹æ—¥æœ¬æ ªã‚»ã‚¯ã‚¿ãƒ¼ãƒãƒ¼ãƒ†ãƒ¼ã‚·ãƒ§ãƒ³æˆ¦ç•¥ï½œå‰é‡Žè²´æ™¶ã®ã‚¯ã‚ªãƒ³ãƒ„ãƒˆãƒ”ãƒƒã‚¯ã‚¹ï½œæŠ•è³‡ä¿¡è¨—ã®ãƒ‹ãƒƒã‚»ã‚¤ã‚¢ã‚»ãƒƒãƒˆãƒžãƒã‚¸ãƒ¡ãƒ³ãƒˆ
ä»Šå›žã¯ã€ã€Œæ··é›‘åº¦ã€ã¨ã€Œãƒ¬ãƒ©ãƒ†ã‚£ãƒ–ãƒãƒªãƒ¥ãƒ¼ã€ã‚’æŒ‡æ¨™ã¨ã—ãŸæ—¥æœ¬æ ª17æ¥ç¨®ã‚»ã‚¯ã‚¿ãƒ¼ãƒãƒ¼ãƒ†ãƒ¼ã‚·ãƒ§ãƒ³æˆ¦ç•¥ã®æ§‹ç¯‰ã‚’ç›®æŒ‡ã—ã¾ã™ã€‚ä¸¡æŒ‡æ¨™ã®ä¸Šä½ã‚»ã‚¯ã‚¿ãƒ¼ã€ä¸‹ä½ã‚»ã‚¯ã‚¿ãƒ¼ã®ãƒªã‚¿ãƒ¼ãƒ³å‚¾å‘ã‚’ç¢ºèªã—ãŸä¸Šã§ã€ãƒã‚¬ãƒ†ã‚£ãƒ–ã‚¹ã‚¯ãƒªãƒ¼ãƒ‹ãƒ³ã‚°ã¨ã—ã¦ä½µç”¨ã—ã€æ··é›‘åº¦ãŒä½Žã„ã‚»ã‚¯ã‚¿ãƒ¼ã¨å‰²é«˜ã®ã‚»ã‚¯ã‚¿ãƒ¼ã‚’é™¤ã„ãŸãƒãƒ¼ãƒˆãƒ•ã‚©ãƒªã‚ªã®æ§‹ç¯‰ã‚’ç›®æŒ‡ã—ã¾ã™ã€‚ãªãŠã€ã“ã®æˆ¦ç•¥ã¯ã€å½“ç¤¾ãŒæä¾›ã™ã‚‹é‹ç”¨æˆ¦ç•¥ã§ã¯ã‚ã‚Šã¾ã›ã‚“ã€‚ å…ƒãƒ‡ãƒ¼ã‚¿ã®æº–å‚™ 1. æ··é›‘åº¦ï¼ˆAsset Centralityï¼‰ æŒ‡æ¨™ã®ä¸€ã¤ã¨ã—ã¦ã€Asset Centralityï¼ˆå‚è€ƒæ–‡çŒ®1ï¼‰ã¨ã„ã†å€¤ã‚’ç®—å‡ºã—ã¾ã™ã€‚è¨ˆç®—æ‰‹é †ã¯å¾Œè¿°ã—ã¾ã™ãŒã€ã“ã®æŒ‡æ¨™ã‹ã‚‰ã€å„ã‚»ã‚¯ã‚¿ãƒ¼ãŒã©ã‚Œã ã‘æ··é›‘ã—ã¦ã„ã‚‹ã‹ï¼ˆã¾ãŸã¯æ··é›‘ã—ã¦ã„ãªã„ã‹ï¼‰ã‚’è¨ˆæ¸¬ã—ã¾ã™ã€‚æ··é›‘ã—ã¦ã„ã‚‹ãƒã‚¸ã‚·ãƒ§ãƒ³ã¨ã¯ã€è¨€ã‚ã°ã¿ã‚“ãªãŒè²·ã£ã¦ã„ãŸã‚Šï¼ˆå£²ã£ã¦ã„ãŸã‚Šï¼‰ã™ã‚‹ã‚ˆã†ãªåã£ãŸçŠ¶æ…‹ã®ãƒã‚¸ã‚·ãƒ§ãƒ³ã®ã“ã¨ã‚’æŒ‡ã—ã€æŠ•è³‡ã®ä¸–ç•Œã§ã¯Crowded tradeã¨è¨€ã†ã“ã¨ãŒã‚ã‚Šã¾ã™ã€‚ã“ã®æ··
ryskosn 2020/03/05
YZ ã‹ã‚‰æ•™ãˆã¦ã‚‚ã‚‰ã£ãŸ

*trade
ãƒªãƒ³ã‚¯
AIã‚’ä½¿ã£ãŸå„²ã‹ã‚‹è‡ªå‹•å£²è²·ã®è¦‹åˆ†ã‘æ–¹ã€€ï½žãƒˆãƒ¬ãƒ¼ãƒ‡ã‚£ãƒ³ã‚°ã®ãƒã‚¤ã‚¢ã‚¹å¯¾ç–æŠ€è¡“ã®æ´å²ã¨å±•æœ›ï½žï½œUKI
0.ã¯ã˜ã‚ã«UKIã§ã™ã€‚ ä¸»é¡Œã¨å‰¯é¡Œã®åºåˆ—ã‚’è¿·ã„ã¾ã—ãŸãŒã€ã„ã£ãŸã‚“PVã‚’ç¨¼ã’ãã†ãªã»ã†ã‚’ä¸»é¡Œã«ç½®ãã¾ã—ãŸï¼ˆãã®ã†ã¡ä¿®æ£ã—ã¾ã™ï¼‰ã€‚ (1)å¯¾è±¡èªè€… ãƒ»EAã‚„botãªã©ã®è‡ªå‹•å£²è²·ã«èˆˆå‘³ãŒã‚ã‚‹æ–¹ å…ˆã«çµè«–ã‚’æ›¸ã„ã¦ã—ã¾ã„ã¾ã™ãŒã€ãŸã¨ãˆAIã‚’ä½¿ã£ãŸã¨ã—ã¦ã‚‚å„²ã‹ã‚‹è‡ªå‹•å£²è²·ã®æˆ¦ç•¥ã‚’å®Œå…¨ã«è¦‹åˆ†ã‘ã‚‹ã“ã¨ã¯ä¸å¯èƒ½ã§ã™ã€‚ å•†æè‡ªä½“ã¯æ‚ªã„ã‚‚ã®ã§ã¯ã‚ã‚Šã¾ã›ã‚“ã€‚å½“ç„¶ã€è£½ä½œè€…ãŒèª æ„ã‚’ã‚‚ã£ã¦è£½ä½œã—ãŸã‚‚ã®ã‚‚ã‚ã‚‹ã§ã—ã‚‡ã†ã€‚ã—ã‹ã—ç¾å®Ÿã«ã¯ã€æ‚ªæ„ã®ã‚ã‚‹ã‚‚ã®ï¼ˆå„²ã‹ã‚‰ãªã„ã¨åˆ†ã‹ã£ã¦ã„ã‚‹ãŒå„²ã‹ã‚‹ã‚ˆã†ã«æŒ¯ã‚‹èˆžã£ã¦ã„ã‚‹ã‚‚ã®ï¼‰ã‚„ã€æ‚ªæ„ã¯ãªãã¨ã‚‚ãƒã‚¤ã‚¢ã‚¹ã«æ°—ä»˜ã„ã¦ãŠã‚‰ãšã€çµæžœã¨ã—ã¦è³¼å…¥è€…ãŒä¸åˆ©ç›Šã‚’è¢«ã‚‹ã‚‚ã®ãŒå¤§å¤šæ•°ç´›ã‚Œè¾¼ã‚“ã§ã„ã¾ã™ã€‚ ãã‚‚ãã‚‚å¸‚å ´ã«ã‚¢ãƒ«ãƒ•ã‚¡ï¼ˆåŽç›Šã®æ ¹æºï¼‰ã¯æ®†ã©å˜åœ¨ã—ã¦ãŠã‚‰ãšã€è‡ªå‹•å£²è²·ã®æˆ¦ç•¥æ§‹ç¯‰éŽç¨‹ã§ç™ºç”Ÿã™ã‚‹ãƒã‚¤ã‚¢ã‚¹ã®å½±éŸ¿ã‚’æŽ»ã„æ½œã£ã¦å°†æ¥çš„ã«åˆ©ç›ŠãŒå‡ºã‚‹æˆ¦ç•¥ã‚’ä½œã‚‹ï¼ˆè¦‹åˆ†ã‘ã‚‹ï¼‰ã®ã¯æ¥µç«¯ã«é›£ã—ã„ã“ã¨ã‚’çŸ¥ã‚‹ã¹ãã§ã™ã€‚ä¸ç‰¹å®šå¤šæ•°ã«è²©å£²ã•ã‚Œã¦
ryskosn 2019/12/02
*trade
ãƒªãƒ³ã‚¯
ã‚‹ã‚‹ï½œnote
ryskosn 2019/10/31
option

*trade
ãƒªãƒ³ã‚¯
GitHub - grhop/GHEX
ryskosn 2018/10/04
Grasshopper Exchange Simulator

*trade
ãƒªãƒ³ã‚¯
"Basic Statistical Arbitrage: Understanding the Math Behind Pairs Trading" by Max Margenot
ryskosn 2018/07/09
*trade

arbitrage

ã‚ã¨ã§èªã‚€
ãƒªãƒ³ã‚¯
å£²è²·ã®ãƒ«ãƒ¼ãƒ«ï¼ˆå¿œç”¨ç·¨ï¼‰ | æ—¥æœ¬å–å¼•æ‰€ã‚°ãƒ«ãƒ¼ãƒ—
ã„ãã‚‰ã§ã‚‚ã‚ˆã„ã‹ã‚‰ã€è²·ã„ãŸã„/å£²ã‚ŠãŸã„ã¨ã™ã‚‹æ³¨æ–‡ æŒ‡å€¤æ³¨æ–‡ã‚ˆã‚Šå„ªå…ˆã•ã‚Œã¾ã™ãŒã€æ€ã‚ã¬å€¤æ®µã§ç´„å®šã™ã‚‹å¯èƒ½æ€§ãŒã‚ã‚Šã¾ã™ã€‚ â—‹å††ä»¥ä¸‹ãªã‚‰è²·ã„ãŸã„/â—‹å††ä»¥ä¸Šãªã‚‰å£²ã‚ŠãŸã„ã¨ã™ã‚‹æ³¨æ–‡ ãŸã¨ãˆã°100å††ã®è²·æŒ‡å€¤æ³¨æ–‡ã®å ´åˆã¯ã€ã€Œ100å††ä»¥ä¸‹ãªã‚‰è²·ã„ãŸã„ãŒã€100å††ã‚ˆã‚Šé«˜ã„å€¤æ®µã§ã¯è²·ã„ãŸããªã„ã€ã¨ã„ã†æ„æ€è¡¨ç¤ºã«ãªã‚Šã¾ã™ã€‚ã“ã®å ´åˆã€100å††ã¯ã‚ãã¾ã§é™åº¦ä¾¡æ ¼ãªã®ã§ã€99å††ã§è²·ãˆã‚‹ã“ã¨ã‚‚ã‚ã‚Šãˆã¾ã™ã€‚ç¾åœ¨ã®å€¤æ®µãŒ101å††ãªã‚‰101å††ã§è²·ã†ã“ã¨ã¯ã›ãšã€å€¤æ®µãŒ100å††ä»¥ä¸‹ã«ãªã‚‹ã¾ã§å¾…ã¤ã“ã¨ã«ãªã‚Šã¾ã™ã€‚
ryskosn 2017/12/15
*trade
ãƒªãƒ³ã‚¯
æ—¥æœ¬å–å¼•æ‰€ã‚°ãƒ«ãƒ¼ãƒ—
æ—¥æœ¬å–å¼•æ‰€ã‚°ãƒ«ãƒ¼ãƒ—ï¼ˆJPXï¼‰ã¯ã€æ±äº¬è¨¼åˆ¸å–å¼•æ‰€ã€å¤§é˜ªå–å¼•æ‰€ã€æ±äº¬å•†å“å–å¼•æ‰€ç‰ã‚’é‹å–¶ã™ã‚‹å–å¼•æ‰€ã‚°ãƒ«ãƒ¼ãƒ—ã§ã™ã€‚ç·åˆçš„ãªã‚µãƒ¼ãƒ“ã‚¹æä¾›ã‚’è¡Œã†ã“ã¨ã§ã€å¸‚å ´åˆ©ç”¨è€…ã®æ–¹ã€…ã«ã¨ã£ã¦ã€ã‚ˆã‚Šå®‰å…¨ã§åˆ©ä¾¿æ€§ã®é«˜ã„å–å¼•ã®å ´ã‚’æä¾›ã—ã¾ã™ã€‚
ryskosn 2017/11/01
*trade
ãƒªãƒ³ã‚¯
How to build your own algorithmic trading platform
These are all the post that have been written up until now. I may add/remove post as I get more feedback. Post One: Building your own algotrading platform Post Two: What is Forex Post Three: Placing your first trade Post Four: Downloading historical Forex tick data and importing them in to Python Post Five: Building a backtesting system in Python: or how I lost $3400 in two hours Post Six: Buildin
ryskosn 2017/10/07
*trade
ãƒªãƒ³ã‚¯
ã‚¢ãƒ«ã‚´ãƒªã‚ºãƒ å–å¼•ã®ã‚·ã‚¹ãƒ†ãƒ ã‚’é–‹ç™ºãƒ»é‹ç”¨ã—ã¦ã¿ã¦åˆ†ã‹ã£ãŸã“ã¨
è¶£å‘³ã§ã‚¢ãƒ«ã‚´ãƒªã‚ºãƒ å–å¼•ã®ã‚·ã‚¹ãƒ†ãƒ ã‚’é–‹ç™ºãƒ»é‹ç”¨ã—ã¦ã¿ãŸã“ã¨ã§å¾—ã‚‰ã‚ŒãŸçŸ¥è¦‹ã«ã¤ã„ã¦ã€ç¤¾å†…ã®ãƒ†ãƒ¼ãƒžè‡ªç”±ãªå‹‰å¼·ä¼šã§ç™ºè¡¨ã—ã¾ã—ãŸã€‚Read less
ryskosn 2017/09/04
*trade

*è³‡æ–™
ãƒªãƒ³ã‚¯
ï¼‘å††æŠœãï¼Ÿï¼Ÿï¼Ÿï¼Ÿï¼Ÿ
ï¼‘å††æŠœã‘ã‚Œã°åˆ©ç›Šã¯å‡ºã¾ã™ã€‚ã“ã‚Œã‹ã‚‰èª¬æ˜Žã—ã¾ã™ã€‚ è²·ã£ãŸã¨ãã‹ã‹ã‚‹ç¨Žé‡‘ã¯æ‰‹æ•°æ–™ã«ã‹ã‹ã‚‹æ¶ˆè²»ç¨Žã ã‘ã§ã™ã€‚ï¼‘ï¼ï¼å††ã§ï¼‘ä¸‡æ ªè²·ã£ã¦æ‰‹æ•°æ–™ã‚’ï¼•ï¼‘ï¼‘å††æ‰•ãˆã°å–å¾—å˜ä¾¡ãŒï¼‘ï¼ï¼‘å††ã€ã“ã®æ ªã‚’ï¼‘ï¼ï¼‘å††ã§å£²ã‚Œã°ç¨Žå‹™ä¸Šã®åˆ©ç›ŠãŒå‡ºãªã„ã®ã§ç¨Žé‡‘ã¯ã‚¼ãƒå††ã€ã—ã‹ã—ç´„å®šä»£é‡‘ã¯ï¼‘ï¼ï¼‘ä¸‡å††ã§ã™ã‹ã‚‰ã€å£²ã‚Šã®æ‰‹æ•°æ–™ãŒï¼–ï¼‘ï¼‘å††ã ã¨ã™ã‚‹ã¨ã€å·®ã—å¼•ã„ã¦ãŠé‡‘ãŒï¼˜ï¼˜ï¼—ï¼˜å††å¢—ãˆã¾ã™ã€‚ç¨Žé‡‘ã‹ã‹ã‚‰ãªã„ã§ãŠé‡‘ãŒå¢—ãˆã‚‹ã®ã§ã™ã‚ˆãã€‚ã“ã†ã„ã†åˆ©ç›Šã‚’ç‹™ã£ã¦ã„ã‚‹ã‚ã‘ã§ã™ã€‚ã‚‚ã¡ã‚ã‚“ï¼‘ï¼ï¼’å††ã§å£²ã‚ŒãŸã‚‰ç¨Žé‡‘å¼•ã„ã¦ã‚‚ã€ã‚‚ã£ã¨å„²ã‹ã‚Šã¾ã™ã€‚
ryskosn 2017/07/04
*finance

*trade

tax
ãƒªãƒ³ã‚¯
1å††æŠœãã«ã¤ã„ã¦ã¾ãšã€å¹´é–“ã§ã“ã‚Œã¾ã§ã«100ä¸‡å††ã®åˆ©ç›ŠãŒã§ã¦ã„ã‚‹ã¨ã—ã¾ã™ã€‚æ‰‹æ•°æ–™ã‚’ç‰‡é“1000å††ã¨ã—ã¦ã€100å††ã®æ ªã‚’ç¾ç‰©ã§10ä¸‡æ ªè²·... - Yahoo!çŸ¥æµè¢‹
1å††æŠœãã«ã¤ã„ã¦ ã¾ãšã€å¹´é–“ã§ã“ã‚Œã¾ã§ã«100ä¸‡å††ã®åˆ©ç›ŠãŒã§ã¦ã„ã‚‹ã¨ã—ã¾ã™ã€‚ æ‰‹æ•°æ–™ã‚’ç‰‡é“1000å††ã¨ã—ã¦ã€100å††ã®æ ªã‚’ç¾ç‰©ã§10ä¸‡æ ªè²·ã„ã€100å††ã§10ä¸‡æ ªå£²ã£ãŸå ´åˆã€å–å¾—å˜ä¾¡ãŒ101å††ã«ãªã‚Š 1å††æŠœãã«ã¤ã„ã¦ ã¾ãšã€å¹´é–“ã§ã“ã‚Œã¾ã§ã«100ä¸‡å††ã®åˆ©ç›ŠãŒã§ã¦ã„ã‚‹ã¨ã—ã¾ã™ã€‚ æ‰‹æ•°æ–™ã‚’ç‰‡é“1000å††ã¨ã—ã¦ã€100å††ã®æ ªã‚’ç¾ç‰©ã§10ä¸‡æ ªè²·ã„ã€100å††ã§10ä¸‡æ ªå£²ã£ãŸå ´åˆã€å–å¾—å˜ä¾¡ãŒ101å††ã«ãªã‚Š ã€ç¨Žæ³•ä¸Šã¯æå¤±ãŒç™ºç”Ÿã™ã‚‹ã¨çŸ¥ã‚Šã¾ã—ãŸã€‚ ã“ã®ã‚ˆã†ãªå ´åˆã€æå¤±ã¨ã—ã¦ç¨Žé‡‘ãŒé‚„ä»˜ã•ã‚Œã€åŒå€¤æ’¤é€€ã§ã‚‚åˆ©ç›ŠãŒã§ã¾ã™ã‹ï¼Ÿå…·ä½“çš„é‡‘é¡ã‚‚æ•™ãˆã¦ã„ãŸã ãã¨å¬‰ã—ã„ã§ã™ã€‚
ryskosn 2017/07/04
*finance

*trade

tax
ãƒªãƒ³ã‚¯
Decoded: Breaking down how an actual trading algorithm works. Want to impress your friends? Learn how trading algos work
The next step is sending that list onto an order processing algorithm that goes out and buys or sells the stocks that have been selected. The code may seem hard to follow, but itâ€™s one of the oldest tricks in the â€œquantâ€ book. The algorithm employs a general statistical arbitrage strategy based on the tendency of overvalued stocks to go back down and the undervalued ones to go up. In the 1970s, 19
ryskosn 2017/05/25
ã‚ã¨ã§èªã‚€

Quants

*trade
ãƒªãƒ³ã‚¯
Mac ã¨ GNU/Linux ã§ãƒˆãƒ¬ãƒ¼ãƒ‡ã‚£ãƒ³ã‚°ç’°å¢ƒã‚’ç”¨æ„ã™ã‚‹ | 774::Blog
ãƒˆãƒ¬ãƒ¼ãƒ‡ã‚£ãƒ³ã‚°ãƒ„ãƒ¼ãƒ«ã¨ã„ãˆã° Windows ç”¨ã®ã‚½ãƒ•ãƒˆã‚¦ã‚§ã‚¢ãŒå¤šãã€å¤šãã®ãƒˆãƒ¬ãƒ¼ãƒ€ãƒ¼ã‚‚å¤šæ•°ã®ãƒ¢ãƒ‹ã‚¿ãƒ¼ã‚’å‚™ãˆãŸ Windows ã‚’ä½¿ã†ã¨ã„ã†ã®ãŒæ¯”è¼ƒçš„å¤šã„ã¨æ€ã†ã€‚ãã‚“ãªä¸ã€ Mac ã‚’å§‹ã‚ã¨ã™ã‚‹ iOS ã‚„ GNU/Linux ã®ç’°å¢ƒã§ã©ã®ã‚ˆã†ã«ç›¸å ´ã‚’ç›£è¦–ã—ãŸã‚‰è‰¯ã„ã ã‚ã†ã‹ã€‚ã“ã®ãŸã³ãƒˆãƒ¬ãƒ¼ãƒ‡ã‚£ãƒ³ã‚°ç’°å¢ƒã‚’æ•´ãˆãŸã®ã§ã¡ã‚‡ã£ã¨æ›¸ã„ã¦ã¿ã‚ˆã†ã¨æ€ã†ã€‚ Mac/iPad ã¾ãš Mac ã§ã®ãƒˆãƒ¬ãƒ¼ãƒ‡ã‚£ãƒ³ã‚°ãƒ„ãƒ¼ãƒ«ã¨ã„ãˆã°æ¥½å¤©è¨¼åˆ¸ãŒå¼·ã„ã€‚ iOS ã§åˆ©ç”¨ã§ãã‚‹ iSPEED ã¯ã‹ãªã‚Šé«˜æ©Ÿèƒ½ã ã—ã€ãã‚Œã¨é€£æºã—ã¦ç›£è¦–éŠ˜æŸ„ã‚’å…±æœ‰ã§ãã‚‹ MARKET SPEED for Mac ã‚‚ãªã‹ãªã‹ä¾¿åˆ©ã€‚ æ¥½å¤©è¨¼åˆ¸ã§ç™ºæ³¨ã™ã‚‹ã‹ã©ã†ã‹ã¯ã¨ã‚‚ã‹ãã€ç›£è¦–ãƒ„ãƒ¼ãƒ«ã¨ã—ã¦ã¯ãªã‹ãªã‹è‰¯ã„æ„Ÿã˜ã§ã™ãã€‚ç‰¹ã«å¾Œè€…ã® MARKET SPEED ã¯ãƒãƒ£ãƒ¼ãƒˆã‚„æ¿ã‚‚è¦‹ã‚„ã™ã„ã—ã€ãƒªã‚¢ãƒ«ã‚¿ã‚¤ãƒ ã§ç›£è¦–ã™ã‚‹ã®ã«ã¯ã¡ã‚‡ã†ã©ã„ã„ã€‚ GNU/Linux ã˜ã‚ƒã‚ GN
ryskosn 2017/03/14
Python

*trade
ãƒªãƒ³ã‚¯
ã€Œã½ã‚“ã½ã“ã€ã®ã‚¯ãƒ¼ãƒ«ãƒ»ã‚¯ãƒªãƒ†ã‚£ãƒ¼ã‚¯ : My Trading Life
2013å¹´02æœˆ07æ—¥15:40 ã‚«ãƒ†ã‚´ãƒªMy Trading Life My Trading Life (34)ã€€ç¬¬3éƒ¨(2) ç›¸å¤‰ã‚ã‚‰ãšç›¸å ´ã¯å¼·ã„ãã€‚å‰å›žã®è¨˜äº‹ã§ã€10æœˆï¼•æ—¥ã«ã‚½ãƒ‹ãƒ¼ã¨æ–°æ—¥é‰„ã‚’è²·ã£ãŸã“ã¨ã‚’ã€Œè²·ã†ã‚¿ã‚¤ãƒŸãƒ³ã‚°ã¯çµ¶å¦™ã€é¸ã‚“ã éŠ˜æŸ„ã¯å¾®å¦™ã€ã¨æ›¸ã„ãŸãŒã€ãã®å¾Œã©ã¡ã‚‰ã‚‚æ€¥é¨°ã€‚ã‚‚ã—ã‹ã—ãŸã‚‰éŠ˜æŸ„é¸ã³ã‚‚æ‚ªããªã‹ã£ãŸã®ã‹ã‚‚ã—ã‚Œãªã„ãžã€‚ã¾ã‚ã€ã¨ã‚‚ã‚ã‚Œã€ã“ã®ç›¸å ´ã€10ï¼…20ï¼…ã®åˆ©ç›Šã‚’æ±‚ã‚ã¦å°è³¢ã—ãç«‹ã¡å›žã‚ã†ã¨ã™ã‚‹ã®ã§ã¯ãªãã€ï¼’å¹´å¾Œ3å¹´å¾Œã«ï¼•å€10å€ã«ãªã£ã¦ã‚‚ä¸æ€è°ã§ã¯ãªã„éŠ˜æŸ„ã‚’ç‹™ã£ã¦ã€ã©ã£ã—ã‚Šæ§‹ãˆãŸæ–¹ãŒã„ã„ã¨æ€ã†ã€‚æœˆè¶³ã‚„é€±è¶³ã®é•·æœŸãƒãƒ£ãƒ¼ãƒˆã‚’è¦‹ã¦ã€ãã®éŠ˜æŸ„ã®å±…å¿ƒåœ°ã®è‰¯ã•ãã†ãªæ ªä¾¡æ°´æº–ã‚’ç¢ºèªã—ã¦ã‹ã‚‰è²·ã†ã¹ãã ã¨æ€ã†ã€‚ ç½«ç·šå±‹ã‚„è¬›é‡ˆå¸«ã®å‡ºç•ªã¯ãªã„ãã€‚æ—¥è¶³ã®ãƒ’ã‚²ãŒä¸Šå‘ã„ã¦ã‚‹ã¨ã‹ä¸‹å‘ã„ã¦ã‚‹ã¨ã‹ã€ä¸€ç›®å‡è¡¡è¡¨ã®é…è¡Œã‚¹ãƒ‘ãƒ³ãŒã©ã†ãªã£ãŸã¨ã‹ã€ãƒœãƒªãƒ³ã‚¸ãƒ£ãƒ¼ãƒãƒ³ãƒ‰ã¨ã‹MACDã¨ã‹ã€ãã‚“ãªã®é–¢ä¿‚ãªã„ã ã‚ã†ãã€‚å¤–å›½äººæŠ•è³‡
ryskosn 2017/02/23
*trade
ãƒªãƒ³ã‚¯
ã‚ªãƒ—ã‚·ãƒ§ãƒ³ãƒãƒªã‚¢ãƒ¼ã®æ”»é˜² : ä¹æ¡æ¸…éš† ç›¸å ´è¦³ã¨é‡‘èžå·¥å¦
ãƒ‰ãƒ«å††ã§10ã€‡å††ã«ã‚ªãƒ—ã‚·ãƒ§ãƒ³ãƒãƒªã‚¢ãŒã‚ã£ã¦ã€ã“ã‚Œã‚’æ„è˜ã—ãŸä»•æŽ›ã‘ã®è²·ã„ã¨é˜²æˆ¦ã®å£²ã‚ŠãŒäºˆæƒ³ã•ã‚Œã‚‹ ã¨ã„ã†ã‚³ãƒ¡ãƒ³ãƒˆã¯ã‚ˆãç™»å ´ã—ã€ä½•æ°—ã«èžã„ã¦ã„ã‚‹ã¨ãã‚“ãªã‚‚ã‚“ã‹ãªã¨æ€ã†ã®ã§ã™ãŒã€ ã‚ˆãã‚ˆãè€ƒãˆã¦ã„ãã¨ã€ãƒãƒªã‚¢ã‚ªãƒ—ã‚·ãƒ§ãƒ³ãŒå¤§é‡ã«ã‚ã£ãŸå ´åˆã€å®Ÿéš›ã«åƒãéœ€çµ¦ã¯ã€ã“ã†ã—ãŸã‚ã£ã•ã‚Šã—ãŸã‚³ãƒ¡ãƒ³ãƒˆã¨ã¯å°‘ã—é•ã„ã¾ã™ã€‚ ãƒãƒªã‚¢ã‚ªãƒ—ã‚·ãƒ§ãƒ³ã¨ã¯ ã‚¢ãƒƒãƒ—ã‚¢ãƒ³ãƒ‰ã‚¢ã‚¦ãƒˆ ãƒ€ã‚¦ãƒ³ã‚¢ãƒ³ãƒ‰ã‚¢ã‚¦ãƒˆ ã®2ç¨®é¡žãŒã‚ã‚Šã¾ã™ã€‚ æ—¥çµŒå¹³å‡ã§èª¬æ˜Žã—ã¾ã™ã¨ ã‚¢ãƒƒãƒ—ã‚¢ãƒ³ãƒ‰ã‚¢ã‚¦ãƒˆã‚³ãƒ¼ãƒ«ã¨ã¯ã€ 18000å††ã®ã‚³ãƒ¼ãƒ«ã‚ªãƒ—ã‚·ãƒ§ãƒ³ãŒæ—¥çµŒå¹³å‡ãŒ19000å††ã«ãªã£ãŸã‚‰çªç„¶æ¶ˆæ»…ã—ã¦ã—ã¾ã†ã‚ªãƒ—ã‚·ãƒ§ãƒ³ã§ã™ã€‚ã›ã£ã‹ãã‚¤ãƒ³ã‚¶ãƒžãƒãƒ¼ã«ãªã£ã¦ã„ãŸã®ã«ã€æ—¥çµŒå¹³å‡ãŒä¸Šæ˜‡ã—ã™ãŽã¦ã—ã¾ã†ã¨ã™ã¹ã¦ãŒãƒ‘ãƒ¼ã«ãªã£ã¦ã—ã¾ã†æ‚©ã¾ã—ã„ã‚ªãƒ—ã‚·ãƒ§ãƒ³ã§ã™ã€‚ ãƒ€ã‚¦ãƒ³ã‚¢ãƒ³ãƒ‰ã‚¢ã‚¦ãƒˆã‚³ãƒ¼ãƒ«ã¨ã¯ã€18000å††ã®ã‚³ãƒ¼ãƒ«ã‚ªãƒ—ã‚·ãƒ§ãƒ³ãŒæ—¥çµŒå¹³å‡ãŒ17000å††ã«ãªã£ãŸã‚‰ãªããªã£ã¦ã—ã¾ã†ã‚ªãƒ—ã‚·ãƒ§ãƒ³ã§ã™ã€‚ã“ã¡ã‚‰ã¯ã€é§„ç›®ãã†
ryskosn 2016/11/29
option

*trade
ãƒªãƒ³ã‚¯
Time-series momentumã«é–¢ã™ã‚‹ã¾ã¨ã‚ â€“ Momentum
æ¦‚è¦ (9-Jul-2017) ãƒ‡ãƒ¼ã‚¿æ›´æ–° Time-series momentumãŠã‚ˆã³Momentumå…¨èˆ¬ã«é–¢ã™ã‚‹ã¾ã¨ã‚ å‰å›žä½œæˆã—ãŸãƒãƒ³ã‚°ã‚ªãƒ³ãƒªãƒ¼ç³»åˆ—ã‚’ã‚‚ã¨ã«Time-series momentumã®ãƒãƒƒã‚¯ãƒ†ã‚¹ãƒˆã‚’è¡Œãªã† 1. CTA Automated Hedge Funds Make Millions in Januaryâ€™s Market Selloff â€“ WSJ The Quants Are Taking Over Wall Street ã“ã“æ•°å¹´(?)ã§ã™ãŒã€ã‚³ãƒ³ãƒ”ãƒ¥ãƒ¼ã‚¿ãƒ¼ãƒ‰ãƒªãƒ–ãƒ³ã®æŠ•è³‡æ„æ€æ±ºå®šã‚’è¡Œãªã†ãƒ•ã‚¡ãƒ³ãƒ‰ãŒã«ã‚ã‹ã«æ³¨ç›®ã‚’é›†ã‚ã¦ã„ã¾ã™ã€‚ãã®ä¸ã§ã‚‚ç‰¹ã«ãƒ˜ãƒƒãƒ‰ãƒ©ã‚¤ãƒ³ã‚’å ã‚ã‚‹ã®ãŒä¿—ã«CTA(Commodity Trading Advisers)ã¨å‘¼ã°ã‚Œã‚‹ãƒ˜ãƒƒã‚¸ãƒ•ã‚¡ãƒ³ãƒ‰ã®ã‚°ãƒ«ãƒ¼ãƒ—ã§ã¯ãªã„ã§ã—ã‚‡ã†ã‹ã€‚CTAã¯ã€åå‰ã«ã“ãCommodityã¨ã‚ã‚Šã¾ã™ãŒã€æŠ•è³‡å¯¾è±¡ã‚’ã‚³ãƒ¢ãƒ‡ã‚£ãƒ†ã‚£ã«é™
ryskosn 2016/11/29
*trade

*ã¾ã¨ã‚

*ã‚ã¨ã§ã‚‚ã†ä¸€å›žèªã‚€
ãƒªãƒ³ã‚¯
1 2 3 4 5 6 7 8 æ¬¡ã®ãƒšãƒ¼ã‚¸