401 search results for "Quantmod"

Odd Connections Inside The NASDAQ-100

May 8, 2015
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Odd Connections Inside The NASDAQ-100

Distinguishing the signal from the noise requires both scientific knowledge and self-knowledge (Nate Silver, author of The Signal and the Noise) Analyzing the evolution of NASDAQ-100 stock prices can discover some interesting couples of companies which share a strong common trend despite of belonging to very different sectors. The NASDAQ-100 is made up of 107 … Continue reading...

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The JP Morgan SCTO strategy

April 20, 2015
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The JP Morgan SCTO strategy

This strategy goes over JP Morgan’s SCTO strategy, a basic XL-sector/RWR rotation strategy with the typical associated risks and returns … Continue reading →

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plot.xts RFC

April 20, 2015
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We have been working on a new charting engine for xts::plot.xts for the past couple years. It started with Michael Weylandt's work during the 2012 Google Summer of Code, and Ross Bennett took up the torch during the 2014 GSoC.This new engine improves t...

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NASDAQ 100 Couples

March 25, 2015
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NASDAQ 100 Couples

Heaven, I’m in heaven, and my heart beats so that I can hardly speak, and I seem to find the happiness I seek, when we’re out together dancing cheek to cheek (Cheek To Cheek, Irving Berlin) There are about 6.500 available packages in CRAN repository. If I were a superhuman, able to learn one package … Continue reading...

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Factor Evaluation in Quantitative Portfolio Management

March 23, 2015
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Factor Evaluation in Quantitative Portfolio Management

When it comes to managing a portfolio of stocks versus a benchmark the problem is very different from defining an absolute return strategy. In the former one has to hold more stocks than in the later where no stocks at all can be held  if there is not good enough opportunity.  The reason for that is the tracking error. This

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Introduction to my New IKReporting Package

March 9, 2015
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Introduction to my New IKReporting Package

This post will introduce my up and coming IKReporting package, and functions that compute and plot rolling returns, which are … Continue reading →

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Update on The Pre-FOMC Announcement Drift

March 3, 2015
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Update on The Pre-FOMC Announcement Drift

In the February 2015 edition of The Journal of Finance, a well known academic paper, “The Pre-FOMC Announcement Drift”, was finally published, almost 4 years after the working paper was released in the public domain in 2011.Authored by researchers, Lucca and Moench, at the US Federal Reserve, it documents the tendency for the S&P500 Index to rise in the...

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The Logical-Invest “Universal Investment Strategy”–A Walk Forward Process on SPY and TLT

February 23, 2015
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The Logical-Invest “Universal Investment Strategy”–A Walk Forward Process on SPY and TLT

I’m sure we’ve all heard about diversified stock and bond portfolios. In its simplest, most diluted form, it can be … Continue reading →

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A Closer Update To David Varadi’s Percentile Channels Strategy

February 20, 2015
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A Closer Update To David Varadi’s Percentile Channels Strategy

So thanks to seeing Michael Kapler’s implementation of David Varadi’s percentile channels strategy, I was able to get a better … Continue reading →

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An Attempt At Replicating David Varadi’s Percentile Channels Strategy

February 17, 2015
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An Attempt At Replicating David Varadi’s Percentile Channels Strategy

This post will detail an attempt at replicating David Varadi’s percentile channels strategy. As I’m only able to obtain data … Continue reading →

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