396 search results for "quantmod"

NASDAQ 100 Couples

March 25, 2015
By
NASDAQ 100 Couples

Heaven, I’m in heaven, and my heart beats so that I can hardly speak, and I seem to find the happiness I seek, when we’re out together dancing cheek to cheek (Cheek To Cheek, Irving Berlin) There are about 6.500 available packages in CRAN repository. If I were a superhuman, able to learn one package … Continue reading...

Read more »

Factor Evaluation in Quantitative Portfolio Management

March 23, 2015
By
Factor Evaluation in Quantitative Portfolio Management

When it comes to managing a portfolio of stocks versus a benchmark the problem is very different from defining an absolute return strategy. In the former one has to hold more stocks than in the later where no stocks at all can be held  if there is not good enough opportunity.  The reason for that is the tracking error. This

Read more »

Introduction to my New IKReporting Package

March 9, 2015
By
Introduction to my New IKReporting Package

This post will introduce my up and coming IKReporting package, and functions that compute and plot rolling returns, which are … Continue reading →

Read more »

Update on The Pre-FOMC Announcement Drift

March 3, 2015
By
Update on The Pre-FOMC Announcement Drift

In the February 2015 edition of The Journal of Finance, a well known academic paper, “The Pre-FOMC Announcement Drift”, was finally published, almost 4 years after the working paper was released in the public domain in 2011.Authored by researchers, Lucca and Moench, at the US Federal Reserve, it documents the tendency for the S&P500 Index to rise in the...

Read more »

The Logical-Invest “Universal Investment Strategy”–A Walk Forward Process on SPY and TLT

February 23, 2015
By
The Logical-Invest “Universal Investment Strategy”–A Walk Forward Process on SPY and TLT

I’m sure we’ve all heard about diversified stock and bond portfolios. In its simplest, most diluted form, it can be … Continue reading →

Read more »

A Closer Update To David Varadi’s Percentile Channels Strategy

February 20, 2015
By
A Closer Update To David Varadi’s Percentile Channels Strategy

So thanks to seeing Michael Kapler’s implementation of David Varadi’s percentile channels strategy, I was able to get a better … Continue reading →

Read more »

An Attempt At Replicating David Varadi’s Percentile Channels Strategy

February 17, 2015
By
An Attempt At Replicating David Varadi’s Percentile Channels Strategy

This post will detail an attempt at replicating David Varadi’s percentile channels strategy. As I’m only able to obtain data … Continue reading →

Read more »

The Quarterly Tactical Strategy (aka QTS)

February 13, 2015
By
The Quarterly Tactical Strategy (aka QTS)

This post introduces the Quarterly Tactical Strategy, introduced by Cliff Smith on a Seeking Alpha article. It presents a variation … Continue reading →

Read more »

PELTing a Competing Changepoint Algorithm

February 9, 2015
By
PELTing a Competing Changepoint Algorithm

This post will demonstrate the PELT algorithm from the changepoint package–a competing algorithm to the twitter package’s breakout detection algorithm. … Continue reading →

Read more »

Comparing Flexible and Elastic Asset Allocation

January 29, 2015
By
Comparing Flexible and Elastic Asset Allocation

So recently, I tried to combine Flexible and Elastic Asset Allocation. The operative word being–tried. Essentially, I saw Flexible Asset … Continue reading →

Read more »