[R-SIG-Finance] An experiment

[BBands]

I posted the following to the Markets list earlier, as that is where
the seed came from, but it more properly belongs here. I wish to start
by thanking all for all the time you have put in and the brilliance of
your work.

"""
I was impressed by the short-term chart of IWM that I looked at
yesterday and intend to do something about it. I will write three
simple Bollinger Band systems and deploy them. I will write them both
in R (likely quantmod, TTR, IBrokers...) and Python (ibPy...) using
the Interactive Brokers API. I plan to use RStudio and PyScripter as
IDEs. The platform will be Ubuntu Linux. Initially I will trade single
lots of 100 shares in an over-capitalized account. When I have
sufficient real-time trade data, I will switch to using a version
optimal f. There will be no optimization; if the systems work they
will be used as designed, if not they will be discarded. If this
works, I will move this project to a collocated server in NY. I will
report back on my progress, but this should take some time (perhaps a
lot) as there is quite a bit to learn and code. Any pointers, tips on
avoiding pratfalls, etc., greatly appreciated; either here or to
BBands at BollingerBands dot com. I've been wanting to do this ever
since Chris Cooper turned his forex robot loose and that was a long
time ago...

Best,

      jab
"""

With any luck, I might have something for the conference next year.

Best,

     John
--
John Bollinger
www.BollingerBands.com