359 search results for "quantmod"

Seasonal pair trading

January 10, 2011
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Seasonal pair trading

quanttrader.info is a good quantitative repository, where I found an idea about seasonal spreads play. The idea of seasonal pair trading differs from pairs trading in a way, that it doesn’t try to find deviation from the spread’s mean, but it looks at seasonal spread patterns. In some cases it is easier to find an

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High readings of VIX index during 2 days

December 28, 2010
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High readings of VIX index during 2 days

During last two sessions (December 23th and 27th), VIX index posted returns (close to close) above 6 %. My question is – what return can we expect next day after such event? As you can see from the graph above, expected return is positive. During 1995-2010 were 53 such events and mean return was 1.02 %

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White Bumblebee Implemented in R

December 18, 2010
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White Bumblebee Implemented in R

White Bumblebee is a trade system based on a simple moving average crossover, but with a special twist. Imagine your thermostat triggering your furnace to shut off or turn on every time a temperature crossed a threshold. If the thermostat didn't have a...

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White Bull, An Algorithm in R

December 11, 2010
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White Bull, An Algorithm in R

Algorithms are curious creatures. They behave in a very predictable way. They do as they are told and do it the same way every time. What they lack in imagination, they make up in reliability. You cannot talk an algorithm into saying something it's not...

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Interesting volatility measurement

December 10, 2010
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Long time ago I stumbled across interesting volatility measurement at quantifiableedges.blogspot.com. The idea is following: take 3-day historical volatility of S&P 500 index and divide that by 10-day historical volatility. Then mark all points which are less that 0.25 and measure the volatility of 3 following days. On average, the volatility of following 3 days

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3 weak days in a row

December 6, 2010
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3 weak days in a row

Recently, Trading the odds posted one of many flavors of mean reverting strategies and I decided to get my hands dirty by writing R code and testing it. You can find full description of the strategy by following latter link above. Long story short – if SPY shows lower open, high and close 3 days in

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Finally! A practical R book on Data Mining: "Data Mining With R, Learning with Case Studies," by Luis Torgo

November 19, 2010
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Finally! A practical R book on Data Mining:  "Data Mining With R, Learning with Case Studies," by Luis Torgo

I've been a bit busy lately with a few big things, however, I wanted to stop by and mention a fantastic book for those who have been following along the R examples.  Anyone who's followed my blog knows that I'm big on practical books with examples...

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Rapidminer + R Example for Trading

November 18, 2010
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Rapidminer + R Example for Trading

RapidMiner + R is an advanced tool that can be used to analyze trading strategies, In order to check its power I made a simple example using an algorithm based on a support vector machine for predicting the next day's price and based on it I generated ...

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Rapidminer + R Example for Trading

November 18, 2010
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Rapidminer + R Example for Trading

RapidMiner + R is an advanced tool that can be used to analyze trading strategies, In order to check its power I made a simple example using an algorithm based on a support vector machine for predicting the next day's price and based on it I generated ...

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Managing Market Studies in R

August 21, 2010
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Managing Market Studies in R

I'm currently working on seasonal studies for various markets and have decided it's high time I got an organized workflow established. How does sugar behave in August every year? Is it random or are there some fundamental drivers that coerce its behavi...

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