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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...

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...

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...

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...

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...

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 ...

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...

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...

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...

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...