360 search results for "quantmod"

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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Quantitative Finance Applications in R – 4: Using the Generalized Lambda Distribution to Simulate Market Returns

February 25, 2014
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Quantitative Finance Applications in R – 4:  Using the Generalized Lambda Distribution to Simulate Market Returns

by Daniel Hanson, QA Data Scientist, Revolution Analytics Introduction As most readers are well aware, market return data tends to have heavier tails than that which can be captured by a normal distribution; furthermore, skewness will not be captured either. For this reason, a four parameter distribution such as the Generalized Lambda Distribution (GLD) can give us a more...

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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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Quantitative Finance Applications in R – 3: Plotting xts Time Series

January 28, 2014
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Quantitative Finance Applications in R – 3: Plotting xts Time Series

by Daniel Hanson, QA Data Scientist, Revolution Analytics Introduction and Data Setup Last time, we included a couple of examples of plotting a single xts time series using the plot(.) function (ie, said function included in the xts package). Today, we’ll look at some quick and easy methods for plotting overlays of multiple xts time series in a single...

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Overnight vs. Intraday ETF Returns

January 25, 2014
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I haven’t done much “googling” before posting, so this topic might have been covered elsewhere but I think it’s  really worth sharing or repeating anyway. A lot has been written about the source of  ETF returns (some insights might be found here). In a nutshell some analysis found that the bulk of the return is made

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Playing Financial Data Series(1)

January 24, 2014
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Playing Financial Data Series(1)

These days I became interested in financial data, such as stock price, exchange rate and so on. Obviously there are a lot of available models to fit, analyze and predict these types of data. For instance, basic time series model arima(p,d,q), Garch model, and multivariate time series model such  as VARX model, state space models. … Continue reading...

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Solving Quadratic Progams with R’s quadprog package

January 13, 2014
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Solving Quadratic Progams with R’s quadprog package

In this post, we'll explore a special type of nonlinear constrained optimization problems called quadratic programs. Quadratic programs appear in many practical applications, including portfolio optimization and in solving support vector machine (SVM) classification problems. There are several packages available to solve quadratic programs in R. Here, we'll work with the quadprog package. Before we dive...

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Quantitative Finance Applications in R – 2

January 9, 2014
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Quantitative Finance Applications in R – 2

by Daniel Hanson QA Data Scientist, Revolution Analytics Some Applications of the xts Time Series Package In our previous discussion, we looked at accessing financial data using the quantmod and Quandl R packages. As noted there, the data series returned by quantmod comes in the form of an xts time series object, and Quandl provides a parameter that sets...

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