Blog Archives

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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David Varadi’s RSI(2) alternative

July 19, 2009
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David Varadi’s RSI(2) alternative

Here's a quick R implementation of David Varadi's alternative to the RSI(2).  Michael Stokes over at the MarketSci blog has three great posts exploring this indicator: Varadi’s RSI(2) Alternative: The DV(2) RSI(2) vs. DV(2) Last Couple...

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RSI(2) Evaluation

June 28, 2009
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RSI(2) Evaluation

Despite my best efforts, it's been a month since the last post of this series. The first post replicated this simple RSI(2) strategy from the MarketSci Blog using R. The second post showed how to replicate the strategy that scales in/out of RSI(2). ...

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Packages featured with Inference for R

May 12, 2009
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Packages featured with Inference for R

quantmod, TTR, and xts were (not so) recently featured on the Inference for R Blog. Inference for R is a Integrated Development Environment (IDE) designed specifically for R.The post gives an example of how to easily perform advanced financial stock a...

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R/Finance 2009 Presentations Online

May 4, 2009
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R/Finance 2009 Presentations Online

Posted to the R-SIG-Finance mailing list today:For those who missed it, the slides for the R/Finance 2009 tutorialsand presentations are now available on RinFinance.comhttp://www.RinFinance.com/presentationsWe want to thank everyone who traveled to Chi...

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RSI(2) with Position Sizing

May 1, 2009
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RSI(2) with Position Sizing

Though it's more than two weeks later, here's the second post in the series that will demonstrate how to build, test, and implement a trading strategy with R. You can find the first post here.The first post replicated this simple RSI(2) strategy from ...

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