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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.
The Financial Times says it's time to "Fire your Adviser" because correlations among US stocks ar...

Sorry to all my faithful readers for my absence recently. I started a new job at a new firm, so my blogging has moved down the priority list but only temporarily. I am still committed to documenting my thoughts, especially finance and R thoughts as dis...

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.
I recently read a post on ETF Prophet that explored an interesting stock trading strategy in Ex...

The rdatamarket post on the Revolutions blog and this post on Decision Stats reminded me about my list of Data APIs/feeds available as packages in R on Cross-Validated (which is a great site that you all should use). Many of these packa...

Let’s take Modest Modeest for Moving Average one step further and use it in a basic tactical allocation system using Vanguard funds. THIS IS NOT INVESTMENT ADVICE AND VERY EASILY MIGHT CAUSE LARGE LOSSES. VANGUARD FUNDS IMPOSE EARLY REDEM...

I have no idea who originated the idea of using moving averages to determine entry and exit points in a trading system. I do know that Mebane Faber (briefly discussed in Shorting Mebane Faber) has recently popularized the notion through his >7...

I studied Ecology as an undergraduate, which meant I spent a lot of time gathering and analyzing field data. One of the basic tools we used to look for relationships in a large set of variables was correlation and scatterplot matrices. Each of these ...

Drawdown is my favorite measure of risk. It picks up extended autocorrelated pain often not seen in risk measures, and best illustrates frustration, panic, and loss of confidence (Drawdown Control Can Also Determine Ending Wealth). I though...

Real yields even out to 10 years have now been competely squeezed. Either bond investors need to accept even worse negative real yields or deflation needs to get ugly for additional price returns from here. If deflation is the outcome, then shorts in s...

If we’re cooking up a bond return, we have access to 3 ingredients: inflation, credit, and real. Historically, the recipe looks like this (as described in Historical Sources of Bond Returns).0-5 parts inflation + 1-2 parts credit + 1-3 parts realand ...