Blog Archives

Quality of Historical Stock Prices from Yahoo Finance

April 7, 2014
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Quality of Historical Stock Prices from Yahoo Finance

I recently looked at the strategy that invests in the components of S&P/TSX 60 index, and discovered that there are some abnormal jumps/drops in historical data that I could not explain. To help me spot these points and remove them, I created a helper function data.clean() function in data.r at github. Following is an example

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Capturing Intraday data, Backup plan

March 31, 2014
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Capturing Intraday data, Backup plan

In the Capturing Intraday data post, I outlined steps to setup your own process to capture Intraday data. But what do you do if you missed some data points due for example internet being down or due to power outage your server was re-started. To fill up the gaps in the Intraday data, you could

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Probabilistic Momentum with Intraday data

March 30, 2014
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Probabilistic Momentum with Intraday data

I want to follow up the Intraday data post with testing the Probabilistic Momentum strategy on Intraday data. I will use Intraday data for SPY and GLD from the Bonnot Gang to test the strategy. Next, let’s examine the hourly perfromance of the strategy. There are lots of abnormal returns in the 9:30-10:00am box due

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Capturing Intraday data

March 10, 2014
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Capturing Intraday data

I want to follow up the Intraday data post with an example of how you can capture Intraday data without too much effort by recording 1 minute snapshots of the market. I will take market snapshots from Yahoo Finance using following function that downloads delayed market quotes with date and time stamps: Next we can

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Intraday data

March 9, 2014
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Intraday data

In the Intraday Backtest post I showed an example of loading and working with Forex Intraday data from the FXHISTORICALDATA.COM. Recently, I came across another interesting source of Intraday data at the Bonnot Gang site. Please note that you will have to register to get access to the Intraday data; the registration is free. Today,

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Probabilistic Momentum

February 16, 2014
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Probabilistic Momentum

David Varadi has recently discussed an interesting strategy in the Are Simple Momentum Strategies Too Dumb? Introducing Probabilistic Momentum post. David also provided the Probabilistic Momentum Spreadsheet if you are interested in doing computations in Excel. Today I want to show how you can test such strategy using the Systematic Investor Toolbox: The Simple Momentum

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Weekend Reading: F-Squared

December 6, 2013
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Weekend Reading: F-Squared

Mebane Faber posted another interesting blog post: Building a Simple Sector Rotation on Momentum and Trend that caught my interest. Today I want to show how you can test such strategy using the Systematic Investor Toolbox: Mebane thank you very much for sharing your great ideas. I would encourage readers to play with this strategy

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Averaged Input Assumptions and Momentum

December 4, 2013
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Averaged Input Assumptions and Momentum

Today I want to share another interesting idea contributed by Pierre Chretien. Pierre suggested using Averaged Input Assumptions and Momentum to create reasonably quiet strategy. The averaging techniques are used to avoid over-fitting any particular frequency. To create Averaged Input Assumptions we combine returns over different look-back periods, giving more weight to the recent returns,

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Fast Threshold Clustering Algorithm (FTCA) test

November 27, 2013
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Fast Threshold Clustering Algorithm (FTCA) test

Today I want to share the test and implementation for the Fast Threshold Clustering Algorithm (FTCA) created by David Varadi. This implementation was developed and contributed by Pierre Chretien, I only made minor updates. Let’s first replicate the results from the Fast Threshold Clustering Algorithm (FTCA) post: The clusters are stable and match David’s results

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getSymbols Extra

November 25, 2013
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getSymbols Extra

The getSymbols function from the quantmod package is an easy and convenient way to bring historical stock prices into your R environment. You need to specify the list of tickers, the source of historical prices and dates. For example following commands will download historical stock prices from yahoo finance for ‘RWX’, ‘VNQ’, ‘VGSIX’ symbols: Now,

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