348 search results for "quantmod"

A Quantstrat to Build On

June 2, 2011
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A Quantstrat to Build On

THIS IS NOT INVESTMENT ADVICE.  PLEASE DO NOT TRADE THIS SYSTEM AS IT CAN LOSE SIGNIFICANT AMOUNTS OF MONEY.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. Some R finance powerhouses have been banging away on the quantstrat package for q...

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Annual Returns by State of the US Economy

June 1, 2011
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Annual Returns by State of the US Economy

Sometimes it is fun to just look at annual returns, especially as the financial world has shifted its focus to microseconds in a world of inconceivable macro imbalances.  St. Louis Fed (USREC) offers a binary state of the economy with 1=recession ...

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Overoptimizing Chicago Fed

May 31, 2011
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Overoptimizing Chicago Fed

THIS SHOULD BE OBVIOUS THROUGHOUT THE POST BUT THIS IS NOT INVESTMENT ADVICE.  PLEASE DO NOT FOLLOW THIS SYSTEM AS IT COULD RESULT IN SERIOUS LOSSES. One of the perils of system-building is the tendency to unintentionally overoptimize by playing/r...

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More St. Louis Fred Fun with National Financial Conditions

May 30, 2011
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More St. Louis Fred Fun with National Financial Conditions

I owe someone at the Fed a beer for all the recent additions at http://research.stlouisfed.org/fred2/.  I have covered some in Spreads and Stress and Gifts from BAC ML and the Federal Reserve.  The newest addition 8 Chicago Fed Indexes Added ...

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Clustering with Currencies and Fidelity Funds

May 26, 2011
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Clustering with Currencies and Fidelity Funds

Great news came yesterday with the release of the R In Finance 2011 Presentations.  I must attend next year after seeing all that I missed.  The Iacus: Statistical Analysis of Financial Time Series and Option Pricing in R (pdf) presentation o...

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Eigen-who? How Can I Write About Eigen-anything and Expect You to Read?

May 25, 2011
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Eigen-who? How Can I Write About Eigen-anything and Expect You to Read?

After the very nice Convore reply @timelyportfolio some of your posts include "eigenvalue ratio plots" -- kindly tell us what they show and how they might be useful in constructing a portfolio. I felt like I should at least attempt to offer a little m...

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Utility Spread and Financial Turbulence Part 2 with Utility Slope

May 24, 2011
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Utility Spread and Financial Turbulence Part 2 with Utility Slope

THIS IS NOT INVESTMENT ADVICE.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I did not intend for this to be a two-part series but I just could not be complacent with Utility Spread and Financial Turbulence (for avid readers, there was a sm...

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Utility Spread and Financial Turbulence

May 23, 2011
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Utility Spread and Financial Turbulence

THIS IS NOT INVESTMENT ADVICE.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. In Long XLU Short SPY Part 2 (More History), I explored the defensive nature of the spread and its potential as a bond substitute in troublesome periods for stocks...

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Long XLU Short SPY Part 2 (More History)

May 20, 2011
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Long XLU Short SPY Part 2 (More History)

THIS IS NOT INVESTMENT ADVICE.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. The Fed is on a roll adding BAC ML Bond Indicies and now complete history for the four primary Dow Jones Indexes, so I wanted to extend my first post Long XLU Shor...

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Long XLU Short SPY

May 20, 2011
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Long XLU Short SPY

THIS IS NOT INVESTMENT ADVICE.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I spend my days and nights wondering what a bond manager should do if he/she doesn’t like bonds, but also cannot sit in 0% cash.  I generally dislike spreads...

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