Blog Archives

chart with individual signals

April 12, 2014
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chart with individual signals

Also I'm not to much into Technical Indicators and Chart-Analysis during system development it is sometimes handy to visualize your buy and selllimits in a chart.The quantmod package provides a nice charting environment and you can select from a bunch ...

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Importing Business Climate Index from IFO

April 8, 2014
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CESifo Group in Munich is publishing a couple of very good articles covering the EU Region.In a most recent research I'm trying to use the monthly Business Climate Index from ifo as a layer to trigger further trading activities in R.Here are further De...

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Active or Passive?

April 7, 2014
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Active or Passive?

We all heard the story several times that active Managers are not worth the Management Fee they charge you or more nicely phrased Active Manager hardly add value.Let's assume our Active Manager is benchmarked against the DAX. We are investigating if a ...

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Forecasting package in R

December 8, 2013
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Forecasting package in R

 Probably the last post before year end and very typical for me is to review this years system performance. A couple of R-packages are since 1 year the backbone of my lab. Just recently I added a package called "Forecast" which is a brilliant im...

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Percentage Winner

March 2, 2013
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Percentage Winner

I know, it has been often said by people, much brighter and more competent that I will ever be. The least important figure to look at are the Percentage Winner.Personally I find it very challenging and difficult to follow a system - or even provide see...

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System Testing

February 28, 2013
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System Testing

R at Work...crunching numbersIf you wanna find out how your trading idea would have coped in the previous years you would perform a backtest. For years I have used commercial software but could not find a package, which I would really recommend. I have...

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xts object – subscript out of bounds

February 6, 2013
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xts object – subscript out of bounds

I bet you have seen this error a few times. When I compare large xts objects with different number of observations it would hit me right towards the end of the analysis.I wrote a small function, which allows me to check the length of the sets in advanc...

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Yahoo Tickers for DAX,MDAX,SDAX

November 25, 2012
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  In my various R - Tests I'm using usually the Yahoo Dataservice implemented in quantmod suppressWarnings(try(getSymbols(ticker, index.class="POSIXct", from=initDate, to=to,src="yahoo"),silent=TRUE))  If you would like to run ...

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