402 search results for "quantmod"

Modified Donchian Band Trend Follower using R, Quantmod, TTR

March 12, 2010
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Modified Donchian Band Trend Follower using R, Quantmod, TTR

I've been toying around with the examples given on the FOSS trading site for some of the great work they've put together in the Quantmod and TTR packages. Those viewers who are looking for a nice (and free) backtesting suite to possibly complement s...

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Yahoo Finance (CSI) Data Quirks. Or Why is the ROC not Stable?

September 1, 2015
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Yahoo Finance (CSI) Data Quirks. Or Why is the ROC not Stable?

Rotational strategies on ETFs have been a common occurrence on this blog, and I have been using something similar for real life trading for about two years now. Readers of this blog may have also noticed concerns about the stability of the computations of such strategies. At the end it turned out be a quirk The post

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I’m Back, A New Harry Long Strategy, And Plans For Hypothesis-Driven Development

August 25, 2015
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I’m Back, A New Harry Long Strategy, And Plans For Hypothesis-Driven Development

I’m back. Anyone that wants to know “what happened at Graham”, I felt there was very little scaffolding/on-boarding, and Graham’s … Continue reading →

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Where Does the S&P 500 Stand?

August 22, 2015
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Where Does the S&P 500 Stand?

Last week was brutal for pretty much all markets. Surprisingly, it was bad even for the US dollar. The sharp and straight downward move was reminiscent of the descent of 2011. It’s time to review where does the major index stands from technical point of view. Let’s start with a visual inspection. Clearly the 200-day The post

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Importing Data Into R – Part Two

August 18, 2015
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Importing Data Into R – Part Two

In this follow-up tutorial of This R Data Import Tutorial Is Everything You Need-Part One, DataCamp continues with its comprehensive, yet easy tutorial to quickly import data into R, going from simple, flat text files to the more advanced SPSS and SAS files. As a lot of our readers noticed correctly from the first post, The post

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Trading Moving Averages with Less Whipsaws

June 21, 2015
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Using a simple moving average to time markets has been a successful strategy over a very long period of time. Nothing to brag home about, but it cuts the drawdown of a buy and hold by about a half, sacrificing less than 1% of the CAGR in the process. In two words, simple yet effective. The post

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Last Post For A While, And Two Premium (Cheap) Databases

June 7, 2015
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Last Post For A While, And Two Premium (Cheap) Databases

This will be my last post on this blog for an indefinite length of time. I will also include an … Continue reading →

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A Better ZigZag

June 6, 2015
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A Better ZigZag

There are a lot of “winning” strategies for bull markets floating around. “Buy the pullbacks” is certainly one of them. Does this sound simple enough to implement to you? While I am no Sheldon Cooper (although I have a favorite couch seat), I still like to live in a somewhat well defined world, a world The post

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Databases – an Ideal Application for R6?

May 20, 2015
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Over the years I have tried to simplify and streamline my access to financial historic data. All different solutions I tried (see here, for example) so far have been unsatisfactory, at least to some degree. That however changed after I started using R6. Here is an example of using the R6 class for the same The post

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A Basic Logical Invest Global Market Rotation Strategy

May 18, 2015
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A Basic Logical Invest Global Market Rotation Strategy

This may be one of the simplest strategies I’ve ever presented on this blog, but nevertheless, it works, for some … Continue reading →

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