433 search results for "quantmod"

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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Candlestick charts using Quandl and Plotly

July 19, 2016
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In this post we’ll show how to create candle stick charts using the new plotly 4.0 syntax. You can refer to this older post as well. This time we’ll use the Quandl package to retrieve stock data. See here for more details.

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An Introoduction to Portfolio Component Conditional Value At Risk

July 12, 2016
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An Introoduction to Portfolio Component Conditional Value At Risk

This post will introduce component conditional value at risk mechanics found in PerformanceAnalytics from a paper written by Brian Peterson, … Continue reading →

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A Return.Portfolio Wrapper to Automate Harry Long Seeking Alpha Backtests

June 16, 2016
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A Return.Portfolio Wrapper to Automate Harry Long Seeking Alpha Backtests

This post will cover a function to simplify creating Harry Long type rebalancing strategies from SeekingAlpha for interested readers. As … Continue reading →

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A Gentle Introduction to Finance using R: Efficient Frontier and CAPM – Part 1

May 24, 2016
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A Gentle Introduction to Finance using R: Efficient Frontier and CAPM – Part 1

The following entry explains a basic principle of finance, the so-called efficient frontier and thus serves as a gentle introduction into one area of finance: “portfolio theory” using R. A second part will then concentrate on the Capital-Asset-Pricing-Method (CAPM) and its assumptions, implications and drawbacks. Note: All code that is needed for the simulations, data

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How To Compute Turnover With Return.Portfolio in R

May 11, 2016
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How To Compute Turnover With Return.Portfolio in R

This post will demonstrate how to take into account turnover when dealing with returns-based data using PerformanceAnalytics and the Return.Portfolio … Continue reading →

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Create Amazing Looking Backtests With This One Wrong–I Mean Weird–Trick! (And Some Troubling Logical Invest Results)

April 22, 2016
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Create Amazing Looking Backtests With This One Wrong–I Mean Weird–Trick! (And Some Troubling Logical Invest Results)

This post will outline an easy-to-make mistake in writing vectorized backtests–namely in using a signal obtained at the end of … Continue reading →

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Introducing fidlr: FInancial Data LoadeR

April 21, 2016
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Introducing fidlr: FInancial Data LoadeR

fidlr is an RSutio addin designed to simplify the financial data downloading process from various providers. This initial version is a wrapper around the getSymbols function in the quantmod package and only Yahoo, Google, FRED and Oanda are supported. I will probably add functionalities over time. As usual with those things just a kind reminder: “THE SOFTWARE

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Are R^2s Useful In Finance? Hypothesis-Driven Development In Reverse

April 18, 2016
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Are R^2s Useful In Finance? Hypothesis-Driven Development In Reverse

This post will shed light on the values of R^2s behind two rather simplistic strategies — the simple 10 month … Continue reading →

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