351 search results for "quantmod"

Milktrader: Quantitative finance in R

April 25, 2011
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The blog Milktrader has been on a roll recently with a series of posts with practical examples of quantitative in finance, from backtesting to automated trading, and option pricing to data acquisition. The latest post focuses on calculating returns, with an example of downloading data for a silver ETF and calculating daily returns with the dailyReturn function in the...

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Chop, Slice and Dice Your Returns in R

April 24, 2011
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Chop, Slice and Dice Your Returns in R

I have a knife rack on my kitchen wall with all my kitchen knives easily identifiable and accessible. I also have small scars on my hand where each knife can claim to have left a mark. It's not the knife's fault, of course. They hardly like being sudde...

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Great FAJ Article on Statistical Measure of Financial Turbulence

April 21, 2011
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Great FAJ Article on Statistical Measure of Financial Turbulence

I particularly liked this well-written paper, since unlike most academic research, I was able to understand it, replicate it, and incorporate it.  I know that the Financial Analyst Journal is not considered by the academic community as a top-ti...

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Non-standard assignment with getSymbols

April 21, 2011
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Non-standard assignment with getSymbols

I recently came across a rather interesting investment blog, Timely Portfolio. I have a certain soft spot for that sort of thing, because using my data analysis skills to make a fortune is casually on my to-do list. This blog makes regular use of a function getSymbols in the quantmod package. The power and simplicity

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New Favorite Test of US Monetary Policy Limits

April 20, 2011
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New Favorite Test of US Monetary Policy Limits

After a little additional thought, I discovered that my Death Spiral Warning Graph post can be improved through the isolation of the expected inflation component of US 10y yields provided by the US 10y yield – US 10y TIP yield.  Unfortunately, i...

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Barron’s Spring 2008 Big Money Poll

April 19, 2011
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Barron’s Spring 2008 Big Money Poll

Barron's April 28, 2008, Cover Story "Back in the Pool" offers a great hindsight look at our wonderful foresight: “AND NOW, FOR SOME GOOD NEWS: THE OTHER SHOE isn't going to drop. After a winter of discontent marked by massive write-offs on Wall Str...

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Historical Sources of Bond Returns-Comparison of Daily to Monthly

April 17, 2011
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Historical Sources of Bond Returns-Comparison of Daily to Monthly

Thanks so much for the comment on my last post Historical Bond Price and Total Returns from 10y Yield Series “I know this might sound antithetical to a bond guy, but won't the monthly series get you close enough? “ which proved me wrong and allow...

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Historical Bond Price and Total Returns from 10y Yield Series

April 15, 2011
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Historical Bond Price and Total Returns from 10y Yield Series

Without access to Barclays or Merrill Bond Indicies to the 1970s or Ned Davis to 1950, studying historical bond returns is very difficult.  Here is a way to derive price and total returns on the 10 year US Treasury back to 1962.  I would like...

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Recursive Trading System in R

April 15, 2011
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Recursive Trading System in R

I have a trick knee. Normally, it works just fine. But if I stand on my head when its raining on Tuesdays and Thursdays and pinch my nose, it hurts. Not just a little. It hurts a lot. I went to the doctor and he told me not to stand on my head when it'...

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ARMA Models for Trading, Part I

April 14, 2011
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ARMA Models for Trading, Part I

Lately I have been testing trading models based on methods from various fields: statistics, machine learning, wavelet analysis and others. And I have been doing all that in R! In this series, I will try to share some of these efforts starting with the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a

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