361 search results for "quantmod"

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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Looking out for volatility

June 26, 2013
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Looking out for volatility

Let’s do an easy experiment. Lets caluclate the 25-day rolling volatility of the S&P 500 from 2007 onwards. 1-Get the data: getSymbols(‘SPY’,from=’2007/01/01′) 2-Run the volatility function from the package TTR (comes along with quantmod): vol=volatility(SPY,n=25,N=252,calc=’close’) #n=25 means we want 25 … Continue reading →

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Computerworld’s Beginners Guide to R

June 17, 2013
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Sharon Machlis is not only the online managing editor at Computerworld, she's also a budding data scientist who recently started learning the R language. To the benefit of all other new R users, she's shared her learnings in an excellent 6-part beginners guide to R, published by Computerworld. It's jam-packed with useful information for anyone getting started with R,...

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Scenario analysis and trading options using R

June 16, 2013
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Scenario analysis and trading options using R

I present you with my restructured project on options trading and scenario analysis. You are more than welcome to try it out. Firstly, I will give a small presentation that will reveal what you can do with it and whether you need to continue reading. T...

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Top 100 R packages for 2013 (Jan-May)!

June 13, 2013
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Top 100 R packages for 2013 (Jan-May)!

(This article was first published on R-statistics blog » RR-statistics blog, and kindly contributed to R-bloggers) What are the top 100 (most downloaded) R packages in 2013? Thanks to the recent release of RStudio of their “0-cloud” CRAN log files (but without including downloads from the primary CRAN mirror or any of the 88 other CRAN mirrors), we can now answer this question...

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Loading Historical Stock Data

June 1, 2013
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Loading Historical Stock Data

Historical Stock Data is critical for testing your investment strategies. I illustrated all my back-test examples with getSymbols function from quantmod package. For example, following is a back-test comparison for a few portfolio allocation methods: The getSymbols function, from quantmod package, downloads historical stock prices from Yahoo Fiance. I often get questions about alternative ways

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If…then in Japan

May 30, 2013
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If…then in Japan

If Japan starts to spiral out of control, then what do they do? A spiral would be a sudden move higher in JGB rates with a simultaneous crash in the Japanese Yen. Their response would be to try to slow the positive feedback loop through external interv...

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Intended or Unintended Consequences

May 28, 2013
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Intended or Unintended Consequences

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers) A quick glimpse at the US 10y Treasury Bond rate since 2000 seems benign with low volatility and a general downward trend.require(latticeExtra)require(quantmod)US10y <- getSymbols("^TNX", from = "2000-01-01", auto.assign = FALSE)asTheEconomist(xyplot(US10y, scales = list(y = list(rot = 1)), main = "US 10y Yield Since 2000"))From TimelyPortfolioHowever,...

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R/Finance 2013 Is Coming Quickly…

May 5, 2013
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R/Finance 2013 Is Coming Quickly…

There is about two weeks remaining until R/Finance 2013 - being held on May 17th and 18th at UIC in Chicago.  Make sure you register beforehand to ensure you have a spot, and – yes - you do want to come to the conference dinner on Friday.   I am particularly excited about the lineup of keynotes

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The Financial Crisis on Tape Part II

April 26, 2013
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The Financial Crisis on Tape Part II

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...

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