Blog Archives

Since My Last Trip to Disney

October 20, 2011
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Since My Last Trip to Disney

My family is off to DisneyWorld for a week, so there will not be any posts while I am there. However, I thought it would be interesting to see how Disney stock has done since my last trip September 2010.Maybe since Disney has done so poorly, the crowd...

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System in 10 Minutes After Twitter

October 13, 2011
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System in 10 Minutes After Twitter

On Twitter last night, I spotted @milktrader from www.algorithmzoo.com doing some range research on equity indexes.  I offered a tweet on the crazy Russell 2000 17% move over 7 days.  Within 10 minutes, I discovered a signal that worked very ...

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Generosity of Asian Central Banks

October 12, 2011
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Generosity of Asian Central Banks

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...

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Efficient Frontier of Buy-Hold and Tactical System

October 6, 2011
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Efficient Frontier of Buy-Hold and Tactical System

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...

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Difficult Month for One of My Best Ideas

September 30, 2011
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Difficult Month for One of My Best Ideas

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 ...

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ttrTests This is a Test Test 3:Data Snoopy

September 30, 2011
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ttrTests This is a Test Test 3:Data Snoopy

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...

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ttrTests This is a Test–Test 1 and Test 2

September 28, 2011
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ttrTests This is a Test–Test 1 and Test 2

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...

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ttrTests: Its Great Thesis and Incredible Potential

September 26, 2011
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ttrTests: Its Great Thesis and Incredible Potential

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...

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Performance with ggplot2

September 16, 2011
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Performance with ggplot2

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)...

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Reporting Good Enough to Share

September 15, 2011
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Reporting Good Enough to Share

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...

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