I’m pleased to announce that lambda.r 1.1.1 is now available on CRAN. This release is mostly a bug fix release, …Continue reading »

We have been looking at a way to improve risk adjusted returns by using a volatility filter. Although we could use VIX or equivalent, it turns out that historical volatility will work just as well, if not a little better.You can see part 1 here Digging into the VIX, and part 2 here What can we use...

Barycentric interpolation generalises linear interpolation to arbitrary dimensions. It is very fast although suboptimal if the function is smooth. You might now it as algorithm 21.7.1 in Numerical Recipes (Two-dimensional Interpolation on an Irregular Grid). Using package geometry it can be implemented in a few lines of code in R. Here’s a quick explanation of what

In GNU R the simplest way to measure execution time of a piece code is to use system.time. However, sometimes I want to find out how many times some function can be executed in one second. This is especially useful when we want to compare function...

What effect do predicted correlations have when optimizing trades? Background A concern about optimization that is not one of “The top 7 portfolio optimization problems” is that correlations spike during a crisis which is when you most want optimization to work. This post looks at a small piece of that question. It wonders if increasing predicted … Continue reading...

Upgrading R on Windows is not easy. While the R FAQ offer guidelines, some users may prefer to simply run a command in order to upgrade their R to the latest version. That is what the new {installr} package is …Read more »