Blog Archives

Thoughts on LSPM from R/Finance 2010

April 18, 2010
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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...

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Historical / Future Volatility Correlation Stability

April 11, 2010
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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...

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Maximum Probability of Profit

April 9, 2010
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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 ...

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TTR_0.20-2 on CRAN

March 30, 2010
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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...

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Updated Tactical Asset Allocation Results

February 6, 2010
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Updated Tactical Asset Allocation Results

In November, I used the strategy in Mebane Faber's Tactical Asset Allocation paper to provide an introduction to blotter. Faber has updated the strategy's results through the end of 2009. For those interested, he expands on the paper in his book, The...

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R/Finance 2010: Registration Open

February 5, 2010
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R/Finance 2010: Registration Open

As posted by Dirk Eddelbuettel on R-SIG-Finance: R / Finance 2010: Applied Finance with R April 16 & 17, Chicago, IL, US The second annual R / Finance conference for applied finance using R, the premier free software system for statistical comput...

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LSPM with snow

January 10, 2010
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LSPM with snow

My last post provided examples of how to use the LSPM package. Those who experimented with the code have probably found that constrained optimizations with horizons > 6 have long run-times (when calc.max >= horizon).This post will illustrate how the s...

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LSPM Examples

January 2, 2010
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LSPM Examples

I have received several requests for additional LSPM documentation over the past couple days and a couple months ago I promised an introduction to LSPM. In this long-overdue post, I will show how to optimize a Leverage Space Portfolio with the LSPM pa...

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Tactical asset allocation using blotter

November 18, 2009
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Tactical asset allocation using blotter

blotter is an R package that tracks the P&L of your trading systems (or simulations), even if your portfolio spans many security types and/or currencies. This post uses blotter to track a simple two-ETF trading system. The contents of this post b...

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opentick alternatives

November 5, 2009
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opentick alternatives

I've been getting a bit of traffic from people searching for opentick (the defunct company), so I've started a list of similar (but non-free) data providers. I'm not affiliated with any of these vendors, and the list is in no particular order. I'll u...

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