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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 ...

I was intrigued by the CRAN update on a package ttrTests, especially since quantstrat is not built for backtesting system parameters and analyzing system performance as I mentioned in A Quantstrat to Build On Part 6. ttrTests offers a nice start ...

I got a great idea from the zoo-overplot demo to make a very helpful visualization of system entry and exit. Since the lm-based system presented in Unrequited lm Love is newest, I will use this system, but apply to the Nikkei 225 instead of the R...

In System Failure-Maybe it Will Help I presented the initial trials of a linear model system for stocks, and even though they were not a resounding success, I have been strangely determined to discover a working version of this framework. Maybe t...