The only thing that separates the United States from Europe and the notorious PIIGS is the generosity of Asian Central Banks who have been consistently quantitatively easing since 1998 (Join the Reserves). From TimelyPortfolio Without this generos...
In my mind, there are two very disparate views in the money management space: Markowitz style diversification and Faber style tactical allocation. I thought it would be fun to see what happens when we try to blend the two with an efficient frontier bet...
THIS IS NOT INVESTMENT ADVICE. MY IDEAS PROBABLY WILL LOSE YOU MONEY, AND I WILL NOT LET YOU KNOW WHEN I CHANGE MY MIND. Bloomberg’s article “Asian Currencies Set for Worst Month Since 1997 Crisis Caused IMF Bailouts” demonstrates why with ...
THIS IS NOT INVESTMENT ADVICE. IT IS JUST AN EXAMPLE AND WILL LIKELY LOSE LOTS OF MONEY IF YOU PURSUE WHAT IS DISCUSSED. READER IS RESPONSIBLE FOR THEIR OWN GAINS OR LOSSES. IF YOU ARE AN UNLIKELY WINNER, I WOULD LOVE TO HEAR YOUR STO...
Just to remind everyone, THIS IS NOT INVESTMENT ADVICE AND ANY ACTIONS TAKEN BASED ON THIS DISCUSSION WILL PROBABLY RESULT IN SIGNIFICANT LOSSES. We had fun with the ttrTests package in two previous posts ttrTests: Its Great Thesis and Incredible Poten...
I stumbled on the ttrTests R package as mentioned in my post ttrTests Experimentation. I did not recognize its potential until I spent much more time absorbing the basis of the package—David St. John’s thesis Technical Analysis Based on Movin...
Now after Reporting Good Enough to Share, let’s use ggplot2 and PerformanceAnalytics to turn this into this From TimelyPortfolio I have been notified that the colors aren’t great. How does everyone like this? R code (click to download)...
Sorry to all my faithful readers for my absence recently. I started a new job at a new firm, so my blogging has moved down the priority list but only temporarily. I am still committed to documenting my thoughts, especially finance and R thoughts as dis...
Let’s take Modest Modeest for Moving Average one step further and use it in a basic tactical allocation system using Vanguard funds. THIS IS NOT INVESTMENT ADVICE AND VERY EASILY MIGHT CAUSE LARGE LOSSES. VANGUARD FUNDS IMPOSE EARLY REDEM...
I have no idea who originated the idea of using moving averages to determine entry and exit points in a trading system. I do know that Mebane Faber (briefly discussed in Shorting Mebane Faber) has recently popularized the notion through his >7...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
