Blog Archives

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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Xasax closes shop

October 18, 2009
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Xasax closes shop

Six months after shutting down opentick completely Xasax (opentick's parent company) has followed suit.It looks like Xasax hit funding problems in August... Inside Market Data mentions the above in this story. Here is the full story (subscription requ...

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Update

September 22, 2009
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Update

I can't believe it's been two months since I last posted... wow, time has a way of slipping through my fingers.  Here's a short list of some upcoming posts: An introduction to LSPM -- a new R package that implements Ralph Vince's leverage space po...

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