401 search results for "quantmod"

FOMC Dates – Price Data Exploration

December 14, 2014
By
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...

Read more »

The ZOMMA Warthog Index

December 12, 2014
By
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 →

Read more »

Bonds are boring…read this

December 8, 2014
By

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...

Read more »

Pipeline to Plot Annual % Change

November 24, 2014
By

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

Read more »

Seeking Volatility and Leverage

November 3, 2014
By
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 →

Read more »

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

November 2, 2014
By
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 →

Read more »

Combining FAA and Stepwise Correlation

October 31, 2014
By
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 →

Read more »

The Generalized Lambda Distribution and GLDEX Package for Fitting Financial Return Data – Part 2

October 14, 2014
By
The Generalized Lambda Distribution and GLDEX Package for Fitting Financial Return Data – Part 2

Part 2 of a series by Daniel Hanson, with contributions by Steve Su (author of the GLDEX package) Recap of Part 1 In our previous article, we introduced the four-parameter Generalized Lambda Distribution (GLD) and looked at fitting a 20-year set of returns from the Wilshire 5000 Index, comparing the results of two methods, namely the Method of Moments,...

Read more »

The Generalized Lambda Distribution and GLDEX Package: Fitting Financial Return Data

October 7, 2014
By
The Generalized Lambda Distribution and GLDEX Package: Fitting Financial Return Data

by Daniel Hanson, with contributions by Steve Su (author of the GLDEX package). Part 1 of a series. Introduction As most readers are well aware, market return data tends to have heavier tails than that which can be captured by a normal distribution; furthermore, skewness will not be captured either. For this reason, a four parameter distribution such as...

Read more »

Aggregate portfolio contributions through time

September 25, 2014
By
Aggregate portfolio contributions through time

The last CRAN release didn’t have much new functionality, but Ross Bennett and I have completely re-written the Return.portfolio function to fix some issues and make the calculations more transparent.  The function calculates the returns of a portfolio given asset returns, weights, and rebalancing periods – which, although not rocket science, requires some diligence about it. Users of this

Read more »