Monthly Archives: December 2011

Multi-Asset Backtest : Rotational Trading Strategies

December 5, 2011
By
Multi-Asset Backtest : Rotational Trading Strategies

I want to discuss the implementation of Rotational Trading Strategies using the backtesting library in the Systematic Investor Toolbox.The Rotational Trading strategy switches investment allocations throughout the time, betting on few top ranked assets. For example, the ranking can be based on relative strength or momentum. A few examples of the Rotational Trading Strategies (or

Read more »

My Favorite Graphs

December 5, 2011
By
My Favorite Graphs

The important criterion for a graph is not simply how fast we can see a result; rather it is whether through the use of the graph we can see something that would have been harder to see otherwise or that could not have been seen at all. – William Cleveland, The Elements of Graphing Data,Related posts:

Read more »

Using R — Standalone Scripts & Error Messages

December 5, 2011
By

Open-source R is an amazing tool for statistical analysis and data visualization. Serious R gurus have found ways to do just about anything entirely within the R environment. Nevertheless, there are many of us who wish to plug R into …  ...

Read more »

Loading OSU’s VGPM ocean productivity data in R

December 5, 2011
By

Oregon State University makes a set of ocean productivity data derived from satellite data available for download and use by researchers. The Ocean Productivity website explains the available data and how it was derived. I have put together a few R fun...

Read more »

PCA file calculation with "R".

December 5, 2011
By
PCA file calculation with "R".

X es la matriz centrada (X is the centered matrix). Xcov es la matriz de covarianzas de X (Xcov is the covariance matrix of X).Con la función "eigen" calculamos los "eigenvectors" y "eigenvalues" de Xcov.(With the function "eigen" we calculate the "ei...

Read more »

Decimal to Binary in "R"

December 5, 2011
By
Decimal to Binary in "R"

Lately...I've been learning "R"...that weird programming language aimed for Statistics and Statistical programming...and I really like it...so as usual, I needed to create my own Decimal to Binary application -;)binary bsum bexp while (p_number > 0) { digit p_number bsum ...

Read more »

Vote Compass: visualizing Canadian poll results with R

December 5, 2011
By
Vote Compass: visualizing Canadian poll results with R

Vote Compass is an online "electoral literacy application, whose goal is to encourage engagement with and stimulate discussion around the policy platforms of Canada's political parties. In the lead-up to the 2011 Canadian election, Vote Compass collected the results of an on-line 10-minute survey from more than 2 million participants, and used the results to align voters with the...

Read more »

International Open Data Hackathon

December 5, 2011
By
International Open Data Hackathon

This past Saturday, I hung out at the Seattle branch of the International Open Data Hackathon. The event was hosted at the Pioneer Square office of Socrata, a small company that helps governments provide public open data.A pair of data analysts from Tableau were showing off a visualization for the Washington...

Read more »

A pure R poker hand evaluator

December 5, 2011
By
A pure R poker hand evaluator

There's already a lot of great posts out there about poker hand evaluators, so I'll keep this short.  Kenneth J. Shackleton recently released a very slick 5-card and 7-card poker hand evaluator called SpecialK.  This evaluator is li...

Read more »

From datasets to algorithms in R

December 5, 2011
By

Many statistical algorithms are taught and implemented in terms of linear algebra. Statistical packages often borrow heavily from optimized linear algebra libraries such as LINPACK, LAPACK, or BLAS. When implementing these algorithms in systems such as Octave or MATLAB, it is up to you to translate the data from the use case terms (factors, categories, numerical variables)...

Read more »