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...

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