358 search results for "quantmod"

Non-standard assignment with getSymbols

April 21, 2011
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Non-standard assignment with getSymbols

I recently came across a rather interesting investment blog, Timely Portfolio. I have a certain soft spot for that sort of thing, because using my data analysis skills to make a fortune is casually on my to-do list. This blog makes regular use of a function getSymbols in the quantmod package. The power and simplicity

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New Favorite Test of US Monetary Policy Limits

April 20, 2011
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New Favorite Test of US Monetary Policy Limits

After a little additional thought, I discovered that my Death Spiral Warning Graph post can be improved through the isolation of the expected inflation component of US 10y yields provided by the US 10y yield – US 10y TIP yield.  Unfortunately, i...

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Barron’s Spring 2008 Big Money Poll

April 19, 2011
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Barron’s Spring 2008 Big Money Poll

Barron's April 28, 2008, Cover Story "Back in the Pool" offers a great hindsight look at our wonderful foresight: “AND NOW, FOR SOME GOOD NEWS: THE OTHER SHOE isn't going to drop. After a winter of discontent marked by massive write-offs on Wall Str...

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Historical Sources of Bond Returns-Comparison of Daily to Monthly

April 17, 2011
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Historical Sources of Bond Returns-Comparison of Daily to Monthly

Thanks so much for the comment on my last post Historical Bond Price and Total Returns from 10y Yield Series “I know this might sound antithetical to a bond guy, but won't the monthly series get you close enough? “ which proved me wrong and allow...

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Historical Bond Price and Total Returns from 10y Yield Series

April 15, 2011
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Historical Bond Price and Total Returns from 10y Yield Series

Without access to Barclays or Merrill Bond Indicies to the 1970s or Ned Davis to 1950, studying historical bond returns is very difficult.  Here is a way to derive price and total returns on the 10 year US Treasury back to 1962.  I would like...

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Recursive Trading System in R

April 15, 2011
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Recursive Trading System in R

I have a trick knee. Normally, it works just fine. But if I stand on my head when its raining on Tuesdays and Thursdays and pinch my nose, it hurts. Not just a little. It hurts a lot. I went to the doctor and he told me not to stand on my head when it'...

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ARMA Models for Trading, Part I

April 14, 2011
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ARMA Models for Trading, Part I

Lately I have been testing trading models based on methods from various fields: statistics, machine learning, wavelet analysis and others. And I have been doing all that in R! In this series, I will try to share some of these efforts starting with the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a

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Historical Sources of Bond Returns with Shiller Data 1919-2011

April 11, 2011
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Historical Sources of Bond Returns with Shiller Data 1919-2011

And as usual, I always want a longer data set, so after a little playing with R-Excel, we can extend our historical sources of bond returns to 1919.  If nothing else, maybe you can find other uses for the Shiller Dataset in R. From TimelyPort...

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Historical Sources of Bond Returns

April 11, 2011
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Historical Sources of Bond Returns

As promised in Monitoring Sources of Bond Return, we can show more history if we use CPI instead of expected inflation (from the TIP inflation breakeven yield).  Here are the results with history back to 1953. From TimelyPortfolio However, mo...

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A Super-Easy, Simple-Dimple Backtester in R

April 9, 2011
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A Super-Easy, Simple-Dimple Backtester in R

I cut my finger on a paring knife this morning. Don't use a sharp knife to spread butter on your toast. It's better to limit yourself to using dull kitchen utensils until the caffeine kicks in. No matter, I still have most of my digits to type in a sim...

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