Note: This post is NOT financial advice! This is just a fun way to explore some of the capabilities R has for importing and manipulating data. In part 2, we found that our 200-day high, hold 100 days strategy yielded average annual return...

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Are there times of the year when returns are better or worse? Abnormal Returns prompted this question with “SAD and the Halloween indicator” in which it is claimed that the US market tends to outperform from about Halloween until April. Data The data consisted of 15,548 daily returns of the S&P 500 starting in 1950. … Continue reading...

The Minimum Investment and Number of Assets Portfolio Cardinality Constraints are practical constraints that are not easily incorporated in the standard mean-variance optimization framework. To help us impose these real life constraints, I will introduce extra binary variables and will use mixed binary linear and quadratic programming solvers. Let’s continue with our discussion from Introduction

Google's Fusion Tables look impressive, for those who want to try geo-visualizations of their data. You don't need much programming experience to be able to use it.For those who want to try it out, here's a nice intro that Kathyrn Hurley presented at the recent SVCC (Silicon Valley Code Camp). When combined with ShpEscape (note spelling) it becomes...

The 130/30 funds were getting lots of attention a few years ago. The 130/30 fund is a long/short portfolio that for each $100 dollars invested allocates $130 dollars to longs and $30 dollars to shorts. From portfolio construction perspective this simple idea is no so simple to implement. Let’s continue with our discussion from Introduction

(By Joseph Rickert.) In San Jose topics like big data, map reduce, predictive models, mobile analytics and crowdsourcing draw a crowd even on a Saturday. So it turned out that the ACM data Mining Camp and "un-conference" was a very "happening" way to spend a Saturday. Over 500 people attended the event at the Ebay "Town Hall" on North...