# 331 search results for "quantmod"

## The Financial Crisis on Tape Part II

April 26, 2013
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EDIT: I am aware of some browsers failing to load the github code below. I will try to improve this as soon as possible. Until then it may work better on www.joesdatadiner.com than at http://www.r-bloggers.com/. Finally all the code is availa...

## FasteR! HigheR! StrongeR! – A Guide to Speeding Up R Code for Busy People

April 25, 2013
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This is an overview of tools for speeding up your R code that I wrote for the Davis R Users’ Group. First, Ask “Why?” It’s customary to quote Donald Knuth at this point, but instead I’ll quote my twitter buddy Ted Hart to illustrate a point: I’m just going to say it.I like for loops in #Rstats,...

## R and Dropbox

April 15, 2013
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When you woRk, you probably have a set of useful functions/packages you constantly use. For example, I often use the excellent quantmod package, and the nice multi.sapply function. You want your tools loaded when R session fires. In order to … Continue reading →

## Subtraction Is Crazy

April 4, 2013
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$\large \dpi{200} \bg_white f ^\prime \equiv \lim_{\mathrm{lag} \downarrow 0} {\mathrm{lag} (f)-f \over |\mathrm{lag}| }$

I was re-reading Michael Murray’s explanation of cointegration: and marvelling at the calculus. Calculus blows my mind sometimes. Like, hey guess how much we can do with subtraction. — protëa(@isomorphisms) March 28, 2013 Of course it’s not any subtraction. It’s subtracting a function from a shifted version of itself. Still doesn’t sound like a universal revolution. (But of course the...

## Automatic ARMA/GARCH selection in parallel

March 24, 2013
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In the original ARMA/GARCH post I outlined the implementation of the garchSearch function. There have been a few requests for the code so … here it is. Quite easy to use too: After the last code line above, fit contains the best (according to the AIC statistic) model, which is the return value of garchFit.

## Maximum Sharpe Portfolio

March 21, 2013
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Maximum Sharpe Portfolio or Tangency Portfolio is a portfolio on the efficient frontier at the point where line drawn from the point (0, risk-free rate) is tangent to the efficient frontier. There is a great discussion about Maximum Sharpe Portfolio or Tangency Portfolio at quadprog optimization question. In general case, finding the Maximum Sharpe Portfolio

## R, where should I start?

March 17, 2013
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This is a dynamic post which I will continue to update whenever I find something new. Hope you will find the following links useful.Online Courses for Learning the R languageTry R from Code Schoole-Books for Learning the R LanguageR for Beginners ...

## Calender Heatmap with Google Analytics Data

March 15, 2013
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As data analytics consulting firm, we think we are fortunate that we keep finding problems to find. Recently my team mate found a glaring problem of not having any connector for R with Google. With the inspiration from Michael, Ajay O, it soon become a worth problem to solve. With RGoogleAnalytics package now, we have

## Calender Heatmap with Google Analytics Data

March 15, 2013
By

As data analytics consulting firm, we think we are fortunate that we keep finding problems to find. Recently my team mate found a glaring problem of not having any connector for R with Google. With the inspiration from Michael, Ajay O, it soon become a worth problem to solve. With RGoogleAnalytics package now, we have

## Cluster Risk Parity back-test

March 4, 2013
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In the Cluster Portfolio Allocation post, I have outlined the 3 steps to construct Cluster Risk Parity portfolio. At each rebalancing period: Create Clusters Allocate funds within each Cluster using Risk Parity Allocate funds across all Clusters using Risk Parity I created a helper function distribute.weights() function in strategy.r at github to automate these steps.