Blog Archives

Application of Horizon Plots

July 31, 2012
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Application of Horizon Plots

for background please see prior posts Horizon Plot Already Available and Cubism Horizon Charts in R Good visualization simplifies, and stories are better told with effective and pretty visualizations. Although horizon plots are not immediately intuitiv...

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Hi R and Axys, I’m d3.js “Nice to Meet You” (On the Iphone)

July 27, 2012
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Hi R and Axys, I’m d3.js “Nice to Meet You” (On the Iphone)

I am still definitely in the proof of concept stage, but as I progress I get more excited about the prospects of combining d3.js with R and Axys through Bryan Lewis’ really nice R websockets package (even nicer now that he has added the daemonize fun...

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Inspirational Stack Overflow Dendrogram Applied to Currencies

July 25, 2012
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Inspirational Stack Overflow Dendrogram Applied to Currencies

When I saw the answer to this Stack Overflow question, I immediately remembered working on my old post Clustering with Currencies and Fidelity Funds and just had to try to apply this technique.  As I should have guessed, it worked with only a mini...

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The Failure of Asset Allocation – Bonds Are An Imperfect Hedge

July 24, 2012
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The Failure of Asset Allocation – Bonds Are An Imperfect Hedge

US investors were spoiled by US Treasuries which acted as a near perfect hedge to stocks during the 2008-2009 crisis.  However, in real crisis, bonds rarely offer any comfort, and asset allocation fails (see post Death Spiral of a Country and IMF ...

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Best of Axys, R, d3.js, and HTML5

July 19, 2012
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Best of Axys, R, d3.js, and HTML5

Axys, R, d3.js, and HTML5 all offer incredibly powerful tools for investment management and reporting, but they are not set up to synergistically interact to fill each other’s gaps and leverage each other’s strengths.  In my ideal scenario, Ax...

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More Exploration of Crazy RUT

July 5, 2012
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More Exploration of Crazy RUT

Unintentionally while playing with the lawstat package in R, I started trying to build systems (STANDARD DISCLAIMER: NOT INVESTMENT ADVICE AND WILL LOSE LOTS OF MONEY SO PROCEED WITH CAUTION) based on the Jarque Bera test of normality (entry in Wikiped...

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Graphics Artifacts from Quarterly Commentary

July 2, 2012
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Graphics Artifacts from Quarterly Commentary

For my Q2 2012 commentary, I tried multiple graphs to illustrate the disconnect of the US stock markets with the rest of the world.  I think I finally settled on this simple Excel bar graph populated by Bloomberg data, but I thought some might lik...

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Horizon Plot Already Available

June 29, 2012
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Horizon Plot Already Available

When I wrote Cubism Horizon Charts in R, I should have known that horizon plot functionality already exists in R http://rgm2.lab.nig.ac.jp/RGM2/func.php?rd_id=latticeExtra:horizonplot and in this case in one of my already favorite packages latticeExtra...

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Crazy RUT in Academic Context Why Trend is Not Your Friend

June 26, 2012
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Crazy RUT in Academic Context Why Trend is Not Your Friend

In response to Where are the Fat Tails?, reader vonjd very helpfully referred me to this paper The Trend is Not Your Friend! Why Empirical Timing Success is Determined by the Underlying’s Price Characteristics and Market Efficiency is Irrelevant by P...

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Where are the Fat Tails?

June 19, 2012
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Where are the Fat Tails?

In Crazy RUT, I started to explore why the moving average strategy has failed for the last 2 decades on the Russell 2000.  I still do not have an answer, but I thought looking at skewness and kurtosis might help explain some of the challenge of be...

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