388 search results for "quantmod"

PELTing a Competing Changepoint Algorithm

February 9, 2015
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PELTing a Competing Changepoint Algorithm

This post will demonstrate the PELT algorithm from the changepoint package–a competing algorithm to the twitter package’s breakout detection algorithm. … Continue reading →

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Comparing Flexible and Elastic Asset Allocation

January 29, 2015
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Comparing Flexible and Elastic Asset Allocation

So recently, I tried to combine Flexible and Elastic Asset Allocation. The operative word being–tried. Essentially, I saw Flexible Asset … Continue reading →

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An Introduction to Change Points (packages: ecp and BreakoutDetection)

January 21, 2015
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An Introduction to Change Points (packages: ecp and BreakoutDetection)

A forewarning, this post is me going out on a limb, to say the least. In fact, it’s a post/project … Continue reading →

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An Update On EAA and a Volatility Strategy

January 16, 2015
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An Update On EAA and a Volatility Strategy

Again, before starting this post, I’d like to inform readers that the book Quantitative Trading With R, written by Harry … Continue reading →

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Downloading Option Chain Data from Google Finance in R: An Update

January 13, 2015
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Downloading Option Chain Data from Google Finance in R: An Update

I recently read an article which showed how to download Option Chain data from Google Finance using R. Interestingly, that article appears to be a close adaption of another article which does the same thing using Python. While playing around with the code from these articles I noticed a couple of things that might benefit

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Adding a Risk-Free Rate To Your Analyses

January 9, 2015
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Adding a Risk-Free Rate To Your Analyses

First off, before beginning this post, I’d like to make my readers aware of the release of a book that … Continue reading →

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For A New Year, A New Asset Allocation System Just Published in SSRN

January 2, 2015
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For A New Year,  A New Asset Allocation System Just Published in SSRN

Happy New Year! So, this is something I’ve been working on before its official publication (so this is the first … Continue reading →

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Why Backtesting On Individual Legs In A Spread Is A BAD Idea

December 31, 2014
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Why Backtesting On Individual Legs In A Spread Is A BAD Idea

So after reading the last post, the author of quantstrat had mostly critical feedback, mostly of the philosophy that prompted … Continue reading →

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A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

December 23, 2014
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A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

In this post, I’ll attempt to address a question I’ve seen tossed around time and again regarding quantstrat. “How do … Continue reading →

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FOMC Dates – Price Data Exploration

December 14, 2014
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FOMC Dates – Price Data Exploration

As a first step in visualizing/exploring the data from my last post, FOMC Dates - Scraping Data From Web Pages, I’ll plot the FOMC announcement dates along with the following price series: 2-Year and 10-Year US Treasury yields, S&P500 ETF (SPY) and USD Index ETF (UUP).I’ll use the quantmod R package to download the price data from...

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