Blog Archives

Real Time Structural Break

April 27, 2012
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Real Time Structural Break

Yesterday as I played with bfast I kept thinking “Yes, but this is all in hindsight.  How can I potentially use this in a system?”  Fortunately, one of the fine authors very generously commented on my post Structural Breaks (Bull or Bear?...

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Structural Breaks (Bull or Bear?)

April 26, 2012
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Structural Breaks (Bull or Bear?)

When I spotted the bfast R package, I could not resist attempting to apply it to identify bull and bear markets.  For all the details that I do not understand, please see the references: Jan Verbesselt, Rob Hyndman, Glenn Newnham, Darius Culvenor...

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Drawdown Look at Frontier of Assets and Systems

April 23, 2012
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Drawdown Look at Frontier of Assets and Systems

In Efficient Frontier of Funds and Allocation Systems, I had hoped to start exploring how a frontier can potentially be created with only one asset, or how an even more efficient frontier could be created with assets and also systems on those assets.&n...

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Efficient Frontier of Funds and Allocation Systems

April 18, 2012
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Efficient Frontier of Funds and Allocation Systems

I did a very basic experiment in Efficient Frontier of Buy-Hold and Tactical System where I determined the efficient frontier of the S&P 500 with itself transformed by a Mebane Faber 10-month moving average tactical allocation. The result was inter...

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knitr Performance Report-Attempt 2

April 18, 2012
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knitr Performance Report-Attempt 2

Over the years I have changed my learning process from reading thoroughly first before proceeding to reading minimally and then applying immediately.  I very quickly see the gaps in my knowledge.  This method is far more painful but seems to ...

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knitr Performance Report-Attempt 1

April 13, 2012
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knitr Performance Report-Attempt 1

I get very excited about new R packages, but rarely is my excitement so fulfilled as with knitr.  Even with no skill, I have already been able to adapt the example Yihui Xie provides in his knitr Graphics Manual into a crude first version of a per...

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Latex Allergy Cured by knitr

April 11, 2012
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Latex Allergy Cured by knitr

I have always known that at some point I would have to succumb to the power of Latex, but Latex has been uncharacteristically intimidating to me.  I finally found the remedy to my Latex allergy with the amazing and fantastic knitr package from Yih...

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Piggybacking and Hopefully Publicizing R Experts

April 9, 2012
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Piggybacking and Hopefully Publicizing R Experts

I was inspired by the Revolution Analytics blog post http://blog.revolutionanalytics.com/2009/11/charting-time-series-as-calendar-heat-maps-in-r.html on the d3.js style calendar heat map that Paul Bleicher from Humedica developed in R.  In an effo...

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R Fell on Alabama–Presentation to Birmingham Open Source

March 27, 2012
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R Fell on Alabama–Presentation to Birmingham Open Source

Birmingham Open Source Software (BOSS) was kind enough to invite me to do a debut presentation on R.  I had a lot of fun.  Below is the embedded Youtube.  Please let me know how I can improve.  I really appreciate helpful feedback.

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Opinions Not Backed by Money Updated Again

March 15, 2012
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Opinions Not Backed by Money Updated Again

Strange that I am updating this post for a third time and nothing really has changed, but the fact that nothing has changed is incredibly interesting to me.  Since it is an update, I will not duplicate the explanation, so please read the last vers...

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