392 search results for "quantmod"

For A New Year, A New Asset Allocation System Just Published in SSRN

January 2, 2015
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For A New Year,  A New Asset Allocation System Just Published in SSRN

Happy New Year! So, this is something I’ve been working on before its official publication (so this is the first … Continue reading →

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Why Backtesting On Individual Legs In A Spread Is A BAD Idea

December 31, 2014
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Why Backtesting On Individual Legs In A Spread Is A BAD Idea

So after reading the last post, the author of quantstrat had mostly critical feedback, mostly of the philosophy that prompted … Continue reading →

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A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

December 23, 2014
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A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

In this post, I’ll attempt to address a question I’ve seen tossed around time and again regarding quantstrat. “How do … Continue reading →

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FOMC Dates – Price Data Exploration

December 14, 2014
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FOMC Dates – Price Data Exploration

As a first step in visualizing/exploring the data from my last post, FOMC Dates - Scraping Data From Web Pages, I’ll plot the FOMC announcement dates along with the following price series: 2-Year and 10-Year US Treasury yields, S&P500 ETF (SPY) and USD Index ETF (UUP).I’ll use the quantmod R package to download the price data from...

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The ZOMMA Warthog Index

December 12, 2014
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The ZOMMA Warthog Index

Harry Long posted another article on SeekingAlpha. As usual, it’s another “looks amazing at first glance, and winds up being … Continue reading →

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Bonds are boring…read this

December 8, 2014
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If you would have invested in 1992 in the DAX ETF - provided it would have been around, of course - you would have earned a decent amount of money.That's the story of the passive guys and in my previous post I'm borrowing a few arguments of this guys t...

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Pipeline to Plot Annual % Change

November 24, 2014
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Pipes in R make my life incredibly easy, and I think my code easier to read.   Note, there are a couple different flavors of pipes (see magrittr and pipeR).  For now, I choose pipeR.library(quantmod)library(pipeR)library(ggplot2)getSymbols("^GSPC",from="1900-01-01",auto.assign=F) %>>% #get S&P 500 from Yahoo!Finance ( . ) %>>% #get end of year ROC( type="discrete", n=1

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Seeking Volatility and Leverage

November 3, 2014
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Seeking Volatility and Leverage

So Harry Long recently posted several articles, a couple of them all that have variations on a theme of a … Continue reading →

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It’s Amazing How Well Dumb Things [Get Marketed]

November 2, 2014
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It’s Amazing How Well Dumb Things [Get Marketed]

Recently, Harry Long posted not one but four new articles on Seeking Alpha called It’s Amazing How Well Dumb Things … Continue reading →

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Combining FAA and Stepwise Correlation

October 31, 2014
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Combining FAA and Stepwise Correlation

Since I debuted the stepwise correlation algorithm, I suppose the punchline that people want to see is: does it actually … Continue reading →

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