Blog Archives

ttrTests: Its Great Thesis and Incredible Potential

September 26, 2011
By
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...

Read more »

Performance with ggplot2

September 16, 2011
By
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)...

Read more »

Reporting Good Enough to Share

September 15, 2011
By
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...

Read more »

Mode vs Mean in Tactical Allocation

August 25, 2011
By
Mode vs Mean in Tactical Allocation

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...

Read more »

Modest Modeest for Moving Average

August 24, 2011
By
Modest Modeest for Moving Average

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...

Read more »

Drawdown Visualization

August 22, 2011
By
Drawdown Visualization

Drawdown is my favorite measure of risk.  It picks up extended autocorrelated pain often not seen in risk measures, and best illustrates frustration, panic, and loss of confidence (Drawdown Control Can Also Determine Ending Wealth).  I though...

Read more »

Real Squeeze

August 17, 2011
By
Real Squeeze

Real yields even out to 10 years have now been competely squeezed. Either bond investors need to accept even worse negative real yields or deflation needs to get ugly for additional price returns from here. If deflation is the outcome, then shorts in s...

Read more »

-1% Guaranteed Real Real Return! Yummy??

August 17, 2011
By
-1% Guaranteed Real Real Return! Yummy??

If we’re cooking up a bond return, we have access to 3 ingredients: inflation, credit, and real. Historically, the recipe looks like this (as described in Historical Sources of Bond Returns).0-5 parts inflation + 1-2 parts credit + 1-3 parts realand ...

Read more »

ttrTests Experimentation

August 16, 2011
By
ttrTests Experimentation

I was intrigued by the CRAN update on a package ttrTests, especially since quantstrat is not built for backtesting system parameters and analyzing system performance as I mentioned in A Quantstrat to Build On Part 6.  ttrTests offers a nice start ...

Read more »

lm System on Nikkei with New Chart

August 15, 2011
By
lm System on Nikkei with New Chart

I got a great idea from the zoo-overplot demo to make a very helpful visualization of system entry and exit.  Since the lm-based system presented in Unrequited lm Love is newest, I will use this system, but apply to the Nikkei 225 instead of the R...

Read more »