August 2012

Adaptive Asset Allocation – Sensitivity Analysis

August 20, 2012 | systematicinvestor

Today I want to continue with Adaptive Asset Allocation theme and examine how the strategy results are sensitive to look-back parameters used for momentum and volatility computations. I will follow the sample steps that were outlined by David Varadi on the robustness of parameters of the Adaptive Asset Allocation algorithm ... [Read more...]

Getting Started with R and Hadoop

August 20, 2012 | David Smith

Last week's meeting of the Chicago area Hadoop User Group (a joint meeting the Chicago R User Group, and sponsored by Revolution Analytics) focused on crunching Big Data with R and Hadoop. Jeffrey Breen, president of Atmosphere Research Group, frequently deals with large data sets in his airline consulting work, ... [Read more...]

plot.xts with Moving Average Panel

August 20, 2012 | klr

(for all plot.xts posts, see http://timelyportfolio.blogspot.com/search/label/plot.xts) As another example of all that we can do with the new plot.xts, let’s try to do a price plot with a moving average overlays.  We will use the ETFs shown by M...
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Mid-August flotsam

August 20, 2012 | Luis

Reached mid-semester point, with quite a few new lectures to prepare. Nothing extremely complicated but, as always, the tricky part is finding a way to make it meaningful and memorable. Sometimes, and this is one of those times, I sound … Continue reading → [Read more...]

Another comparison of heuristic optimizers

August 20, 2012 | Pat

A herd of heuristic algorithms is compared using a portfolio optimization. Previously “A comparison of some heuristic optimization methods” used two simple and tiny portfolio optimization problems to compare a number of optimization functions in the R language. This post expands upon that by using a portfolio optimization problem that ... [Read more...]

Heatmap tables with ggplot2

August 20, 2012 | steve

I wrote before about heatmap tables as a better way of producing frequency or other tables, with a solution which works nicely in latex. It is possible to do them much more easily in ggplot2, like this library(Hmisc) library(ggplot2) library(reshape) data(HairEyeColor) P=t(HairEyeColor[,,2]) Pm=melt(... [Read more...]

R for Dummies – a quick review of reviews

August 20, 2012 | Ian

The book R for Dummies was released recently, and was just reviewed by Dirk Eddelbuettel in the Journal of Statistical Software. Dirk is an R luminary, creating such fantastic works as Rcpp. R for Dummies seems to have beaten Dirk's natural disinclination to like anything with "for Dummies" appended to ... [Read more...]

Flat forecasts

August 19, 2012 | Rob J Hyndman

About once a week someone will tell me there is a bug in my forecast package for R because it gives forecasts that are the same for all future horizons. To save answering the same question repeatedly, here is my response. A point forecast is (usually) the mean of the ... [Read more...]

Using paste( ) to read and write multiple files in R

August 19, 2012 | Travis Hinkelman

This post is a quick tip on how to use the paste( ) function to read and write multiple files. First, let’s create some data. [crayon-533f259401760359948418/] The next step is not necessary, but makes the subsequent code more readable. [crayon-533f259401770436644635/] The following example is silly because you would ... [Read more...]

Horizon plots with ggplot2, sort-of

August 19, 2012 | steve

The Timely Portfolio blog via R-bloggers has recently published some interesting entries about the value of horizon plots for visual comparison of a number of time series. Very nice it looks too. You can read more about them here. The trick to understanding them is to imagine that each row ...
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R for Ecologists: Putting Together a Piecewise Regression

August 19, 2012 | Nathan Lemoine

Piecewise regression comes about when you have ‘breakpoints’, where there are clearly two different linear relationships in the data with a sudden, sharp change in directionality. This crops up occasionally in ecology when dealing with, for example, species richness of understory plants … Continue reading → [Read more...]

London 2012 Olympics — Medals per hundred players

August 19, 2012 | Tony

It’s the weekend. I just woke up from a nap. Got my mind freshed. I’d like to continue with my digging into the Olympics medal results. Today, I cited the number of participants from each country (see wikipedia). I want to see how … Continue reading → [Read more...]

Linear regression in OpenBUGS

August 18, 2012 | petrkeil

I always wondered why is it so difficult to find an OpenBUGS example of simple linear regression on the Web. Curiously, such example is even missing in the OpenBUGS help. The only nice example so far is in the book … Continue reading → [Read more...]

Querying a database from within R

August 18, 2012 | stathack

For a while now I have been contemplating pulling data from our postgreSQL db directly from R, but just never actually pulled the trigger until today.  What I found was that it was a lot easier than I ever could have imagined.  My laptop was already on the VPN, so ... [Read more...]

read raster data in parallel

August 18, 2012 | Tim Salabim

Use library(parallel) to read raster data in parallel fashion Use library(parallel) to read raster data in parallel fashion Recently, I have been doing some analysis for a project I am involved in. In particular, I was interested what role pacific sea surface temperatures play with regard to rainfall ...
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Experience with Oracle R Enterprise in the Oracle micro-processor tools environment

August 17, 2012 | Sherry Lamonica

Normal 0 false false false EN-US X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-qformat:yes; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin-top:0in; mso-para-margin-right:0in; mso-para-margin-bottom:10.0pt; mso-para-margin-left:0in; line-height:115%; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-fareast-font-family:"Times New ...
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GARCH Panel in plot.xts

August 17, 2012 | klr

I’m clearly out of my realm of competence with most of the rugarch functions, but I thought it might be nice to provide an example combining plot.xts and uGARCHroll. R code from GIST:
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