360 search results for "quantmod"

Stocks and Bonds Behavior by Decade

August 13, 2013
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Stocks and Bonds Behavior by Decade

I struggled with whether or not I should even post this.  It is raw and ugly, but it might help somebody out there.   I might use this as a basis for some more gridSVG posts, but I do not think I have the motivation to finish the analysi...

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Calendar-based Sector Strategy

August 5, 2013
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Calendar-based Sector Strategy

I recently came across the Kaeppel’s Sector Seasonality Strategy which is described in Kaeppel’s Corner: Sector Seasonality and updated in Kaeppel’s Corner: Get Me Back, Clarence. Today I want to show how to back-test the Kaeppel’s Sector Seasonality Strategy using the Systematic Investor Toolbox. Following are the strategy rules: Buy Fidelity Select Technology (FSPTX) at

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Stop Loss

July 29, 2013
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Stop Loss

Today I want to share and present an example of the flexible Stop Loss functionality that I added to the Systematic Investor Toolbox. Let’s examine a simple Moving Average Crossover strategy: Buy is triggered once fast moving average crosses above the slow moving average Sell is triggered once fast moving average crosses below the slow

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Whilst reading John Hempton’s post on shorting $HLF I…

July 27, 2013
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Whilst reading John Hempton’s post on shorting $HLF I…

only the most active trading days $HLF (HerbaLife weight-loss supplements / MLM) $HLF regular history big loss days and big volume days for $HLF. "Ackman" should instead read "Einhorn".Whilst reading John Hempton’s post on shorting $HLF I decided to follow along in quantmod. Bronte Capital: It was the night before Christmas… falsifying Bill Ackman’s...

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Whilst reading John Hempton’s post on shorting $HLF I…

July 27, 2013
By
Whilst reading John Hempton’s post on shorting $HLF I…

only the most active trading days $HLF (HerbaLife weight-loss supplements / MLM) $HLF regular history big loss days and big volume days for $HLF. "Ackman" should instead read "Einhorn".Whilst reading John Hempton’s post on shorting $HLF I decided to follow along in quantmod. Bronte Capital: It was the night before Christmas… falsifying Bill Ackman’s...

Read more »

ggplot2 with Noam Ross theme

July 26, 2013
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ggplot2 with Noam Ross theme

When I first saw Noam Ross' blog post "The null model for age effects with overdispersed infection", I immediately liked the look of his ggplot2 graphs. I was even more delighted when I discovered that he has made his theme available on github. Even though I am all into rCharts, I still love a beautiful publication...

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Stochastic Oscillator

July 18, 2013
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Stochastic Oscillator

I came across the link to the John Ehlers paper: Predictive Indicators for Effective Trading Strategies, while reading the Dekalog Blog. John Ehlers offers a different way to smooth prices and incorporate the new filter into the oscillator construction. Fortunately, the EasyLanguage code was also provided and i was able to translate it into R.

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Longer-history back-tests

July 11, 2013
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Longer-history back-tests

One of the important steps of evaluating new trading idea or strategy is to see how it behaved historically (i.e. create back-test and examine the equity curve in different economic and market conditions) However, creating a long back-test is usually problematic because most ETFs do not have a long price history. One way to alleviate

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Update: Extending Commodity time series

July 3, 2013
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Update: Extending Commodity time series

I showed an example of Extending Commodity time series back in 2012. Since then, the web site that I used to get the Thomson Reuters/Jefferies CRB Index data is no longer working. But there are a few alternatives: Thomson Reuters / Jefferies CRB Index. To get data, first select “TRJ/CRB Index-Total Return”, next click “See

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Monitoring an ETF Portfolio in R

July 1, 2013
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Monitoring an ETF Portfolio in R

Adam Duncan Also avilable on R-bloggers.com Some time ago, I read an interesting article about an interview with David Swensen, the renownd money manager from Yale University’s investment office. He’s quite famous and is considered by many to be the architect of the modern “endowment portfolio.” The point of the article was to suggest a way for ordinary...

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