Monthly Archives: November 2011

Introduction to Backtesting library in the Systematic Investor Toolbox

November 24, 2011
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Introduction to Backtesting library in the Systematic Investor Toolbox

I wrote a simple Backtesting library to evaluate and analyze Trading Strategies. I will use this library to present the performance of trading strategies that I will study in the next series of posts. It is very easy to write a simple Backtesting routine in R, for example: The code I implemented in the Systematic

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Matrix Package Doodling

November 24, 2011
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Trying not to fall into Thanksgiving Day, football, coma.  So I started looking at the Matrix package.Started out by changing my code from before to create a matrix using the Matrix() function from the Matrix package.n = 4000c = Matrix(.9,n,n)for(...

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Matrix Package Doodling

November 24, 2011
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Matrix Package Doodling

Trying not to fall into Thanksgiving Day, football, coma.  So I started looking at the Matrix package.Started out by changing my code from before to create a matrix using the Matrix() function from the Matrix package.n = 4000c = Matrix(.9,n,n)for(...

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bounded normal mean

November 24, 2011
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bounded normal mean

A few days ago, one of my students, Jacopo Primavera (from La Sapienza, Roma) presented his “reading the classic” paper, namely the terrific bounded normal mean paper by my friends George Casella and Bill Strawderman (1981, Annals of Statistics). Even though I knew this paper quite well, having read (and studied) it myself many times,

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A Function for Adding up Matrices with Different Dimensions

November 24, 2011
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A Function for Adding up Matrices with Different Dimensions

I was unlucky finding a function that can handle matrices with different dimensions. Thus, I coded a little function that sums up matrices, also coping with matrices with different dimensions.Read more »

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Book shoppin’…

November 24, 2011
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Book shoppin’…

I honestly have no book on R programming. In fact I have not a single book on programming at all (my coding proves that ;x). I am pretty sure that I am gonna order (just did!) that book. You can get a look of Matloff’s text here (= pdf for ya)

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Book shoppin’…

November 24, 2011
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Book shoppin’…

I honestly have no book on R programming. In fact I have not a single book on programming at all (my coding proves that ;x). I am pretty sure that I am gonna order (just did!) that book. You can get a look of Matloff’s text here (= pdf for ya)

Read more »

Bringing 64-bit data to R

November 24, 2011
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Bringing 64-bit data to R

The R programming language has become one of the standard tools for statistical data analysis and visualization, and is widely used by Google and many others. The language includes extensive support for working with vectors of integers, numerics (doubles), and many other types, but has lacked support for 64-bit integers. ...

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“Home Runs by Park – 2011 Season” or “Man the Astros Sucked This Year”

November 24, 2011
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“Home Runs by Park – 2011 Season” or “Man the Astros Sucked This Year”

I hate the Giants. Let this be known. What i was hoping to find was another reason to support my claim that their WS win in 2010 was a complete fluke.  So when digging through the game logs for the … Continue reading →

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Happy Thanksgiving!

November 24, 2011
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It's Thanksgiving day here in the US: > library(timeDate) > holiday(2011,"USThanksgivingDay") GMT So we're taking a little break today here at Revolutions. We have a special "Because it's Friday" post queued up for tomorrow, and then we'll be back to the usual schedule on Monday. For readers in the US, enjoy the Thanksgiving holiday!

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