358 search results for "Quantmod"

Shortcuts for quantmod

May 28, 2014
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Over the years, there have been a couple of issues I have been trying to address in my daily use of this excellent package. Both are “cosmetic” improvements, they only improve the usability of the package. Let me share them and see whether they can be improved further.:) First, let’s reduce the typing involved with

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Error Handling in Lyx & Sweave: using Quantmod (and R, of course)

November 8, 2011
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I do reports for clients with LyX and Sweave. It took me an extremely long time to get them working, but now that they’re working I can do more in an hour and thus charge more per hour. If you’re not familiar, here’s a rundown: LaTeX is the stand...

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Error Handling in Lyx & Sweave: using Quantmod (and R, of course)

November 8, 2011
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I do reports for clients with LyX and Sweave. It took me an extremely long time to get them working, but now that they’re working I can do more in an hour and thus charge more per hour. (Which is, like, the point.) If you’re not familiar, here’s ...

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quantmod makes it easy to watch silver prices crash in R #rstats

May 7, 2011
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quantmod makes it easy to watch silver prices crash in R #rstats

Jeffrey Ryan's quantmod package makes it simple to download and graph pricing data from a variety of sources. A couple of lines of R is all it takes to see that silver has had a very bad week.

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Duck typing with quantmod

February 4, 2011
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Duck typing with quantmod

This is a short example of using duck typing in a guard statement in the futile.paradigm. We are implementing a …Continue reading »

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Wavelet Spectrogram Non-Stationary Financial Time Series analysis using R (TTR/Quantmod/dPlR) with USDEUR

April 28, 2010
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Wavelet Spectrogram Non-Stationary Financial Time Series analysis using R (TTR/Quantmod/dPlR) with USDEUR

I've been doing some research lately regarding types of spectral imaging and decomposition techniques that apply to non-stationary signals. As mentioned earlier, one of the major problems with the simple fourier analysis is that the basis functions ext...

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Modified Donchian Band Trend Follower using R, Quantmod, TTR -Part 2: Parameter Sweep Sensitivity over long run

March 24, 2010
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Modified Donchian Band Trend Follower using R, Quantmod, TTR  -Part 2: Parameter Sweep Sensitivity over long run

Here is a small update to the Donchian Channel type system I displayed in the last post.Fig 1. Sensitivity of Net Combined L/S Gain to parameter n.Using the S&P500 index as a proxy for the market, a simulation was run over the lifetime of the index. No...

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Modified Donchian Band Trend Follower using R, Quantmod, TTR

March 12, 2010
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Modified Donchian Band Trend Follower using R, Quantmod, TTR

I've been toying around with the examples given on the FOSS trading site for some of the great work they've put together in the Quantmod and TTR packages. Those viewers who are looking for a nice (and free) backtesting suite to possibly complement s...

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Aggregate portfolio contributions through time

September 25, 2014
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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

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Adjusted Momentum

July 31, 2014
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Adjusted Momentum

David Varadi has published two excellent posts / ideas about cooking with momentum: VIX-Adjusted Momentum Error-Adjusted Momentum I just could not resist the urge to share these ideas with you. Following is implementation using the Systematic Investor Toolbox. Please enjoy and share your ideas with David and myself. To view the complete source code for

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