I just got back from R/Finance 2010 in Chicago. If you couldn't make it this year, I strongly encourage you to attend next year. I will post a more comprehensive review of the event in the next couple days, but I wanted to share some of my notes spec...
Michael Stokes, author of the MarketSci blog recently published a thought-provoking post about the correlation between historical and future volatility (measured as the standard deviation of daily close price percentage changes). This post is intended...
There is a central notion in Time Series Econometrics, cointegration. Loosely it refers to finding the long run equilibrium of two non-stationary series. As the most know non-stationary series examples comes from finance, cointegration is nowadays a tool for traders (not a common one though!). They use it as the theory behind pairs trading (aka
To continue with the LSPM examples, this post shows how to optimize a Leverage Space Portfolio for the maximum probability of profit. The data and example are again taken from The Leverage Space Trading Model by Ralph Vince. These optimizaitons take ...
How many times have you been disappointed by nice trading system, because neither trading cost or slippage or bid/ask spread were included into back-test results? Did you find difficult to back-test a portfolio in R or many portfolios with different stocks? Blotter package is supposed to solve these problems. In really – it is complicated. I
I created an example to show how the theory from part 1 might be applied using S&P500 as a proxy for performance. Just in case anyone viewing is not familiar with terminal wealth, it is the final (usually compounded) ending value (hence, terminal) of ...
I've been reading a few articles lately, lambasting ultra ETFs for not keeping up with markets and ascribing the problem to weird unexplainable reasons such as portfolio derivative re-balancing and negative drift. I thought it would be nice to revisit...
An updated version of TTR is now on CRAN. It fixes a couple bugs and includes a couple handy tweaks. Here's the full contents of the CHANGES file:TTR version 0.20-2 Changes from version 0.20-1NEW FEATURES:Added VWAP and VWMA (thanks to Brian Peterson...
Here is a small update to the Donchian Channel type system I displayed in the last post.Fig 1. Sensitivity of Net Combined L/S Gain to parameter n.Using the S&P500 index as a proxy for the market, a simulation was run over the lifetime of the index. No...
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...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
