I will be attending Ralph Vince's risk-opportunity analysis workshop in Tampa this weekend. Drop me a note if you're in the area and would like to meet for coffee / drinks.
Blog Archives
Algorithmic Trading with IBrokers
Kyle Matoba is a Finance PhD student at the UCLA Anderson School of Management. He gave a presentation on Algorithmic Trading with R and IBrokers at a recent meeting of the Los Angeles R User Group. The discussion of IBrokers begins near th...
Patrick Burns is blogging
Patrick Burns is the author of several helpful R resources, including A Guide for the Unwilling S User, The R Inferno, and S Poetry. He also wrote one of my favorite critiques of Microsoft Excel: Spreadsheet Addiction. His writing is witty, entertain...
Margin Constraints with LSPM
When optimizing leverage space portfolios, I frequently run into the issue of one or more f$ (/f) being less than the margin of its respective instrument. For example, assume the required margin for an instrument is $500, f$ is $100, an...
Estimating Probability of Drawdown
I've shown several examples of how to use LSPM's probDrawdown function as a constraint when optimizing a leverage space portfolio. Those posts implicitly assume the probDrawdown function produces an accurate estimate of actual drawdo...
LSPM Joint Probability Tables
I've received several requests for methods to create joint probability tables for use in LSPM's portfolio optimization functions. Rather than continue to email this example to individuals who ask, I post it here in hopes they find it via a Google...
Thoughts on LSPM from R/Finance 2010
I just got back from R/Finance 2010 in Chicago. If you couldn't make it this year, I strongly encourage you to attend next year. I will post a more comprehensive review of the event in the next couple days, but I wanted to share some of my notes spec...
Historical / Future Volatility Correlation Stability
Michael Stokes, author of the MarketSci blog recently published a thought-provoking post about the correlation between historical and future volatility (measured as the standard deviation of daily close price percentage changes). This post is intended...
Maximum Probability of Profit
To continue with the LSPM examples, this post shows how to optimize a Leverage Space Portfolio for the maximum probability of profit. The data and example are again taken from The Leverage Space Trading Model by Ralph Vince. These optimizaitons take ...
TTR_0.20-2 on CRAN
An updated version of TTR is now on CRAN. It fixes a couple bugs and includes a couple handy tweaks. Here's the full contents of the CHANGES file:TTR version 0.20-2 Changes from version 0.20-1NEW FEATURES:Added VWAP and VWMA (thanks to Brian Peterson...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
