# 431 search results for "quantmod"

## Simulating backtests of stock returns using Monte-Carlo and snowfall in parallel

September 23, 2015
By

You could say that the following post is an answer/comment/addition to Quintuitive, though I would consider it as a small introduction to parallel computing with snowfall using the thoughts of Quintuitive as an example. A quick recap: Say you create a model that is able to forecast 60% of market directions (that is, in 6

## Simulating backtests of stock returns using Monte-Carlo and snowfall in parallel

September 23, 2015
By

You could say that the following post is an answer/comment/addition to Quintuitive, though I would consider it as a small introduction to parallel computing with snowfall using the thoughts of Quintuitive as an example. A quick recap: Say you create a model that is able to forecast 60% of market directions (that is, in 6

## When is a Backtest Too Good to be True? Part Two.

September 19, 2015
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In the previous post, I went through a simple exercise which, to me, clearly demonsrtates that 60% out of sample guess rate (on daily basis) for S&P 500 will generate ridiculous returns. From the feedback I got, it seemed that my example was somewhat unconvincing. Let’s dig a bit further then. Let’s add Sharpe ratio The post

## Reading Financial Time Series Data with R

September 17, 2015
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by Joseph Rickert In a recent post focused on plotting time series with the new dygraphs package, I did not show how easy it is to read financial data into R. However, in a thoughtful comment to the post, Achim Zeileis pointed out a number of features built into the basic R time series packages that everyone ought to...

## When is a Backtest Too Good to be True?

September 9, 2015
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One statistic which I find useful to form a first impression of a backtest is the success/winning percentage. Since it can mean different things, let’s be more precise: for a strategy over daily data, the winning percentage is the percentage of the days on which the strategy had positive returns (in other words, the strategy The post

## Introduction to Hypothesis Driven Development — Overview of a Simple Strategy and Indicator Hypotheses

September 3, 2015
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This post will begin to apply a hypothesis-driven development framework (that is, the framework written by Brian Peterson on how … Continue reading →

## Introduction to Hypothesis Driven Development — Overview of a Simple Strategy and Indicator Hypotheses

September 3, 2015
By

This post will begin to apply a hypothesis-driven development framework (that is, the framework written by Brian Peterson on how … Continue reading →

## Yahoo Finance (CSI) Data Quirks. Or Why is the ROC not Stable?

September 1, 2015
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Rotational strategies on ETFs have been a common occurrence on this blog, and I have been using something similar for real life trading for about two years now. Readers of this blog may have also noticed concerns about the stability of the computations of such strategies. At the end it turned out be a quirk The post

## I’m Back, A New Harry Long Strategy, And Plans For Hypothesis-Driven Development

August 25, 2015
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I’m back. Anyone that wants to know “what happened at Graham”, I felt there was very little scaffolding/on-boarding, and Graham’s … Continue reading →

## I’m Back, A New Harry Long Strategy, And Plans For Hypothesis-Driven Development

August 25, 2015
By

I’m back. Anyone that wants to know “what happened at Graham”, I felt there was very little scaffolding/on-boarding, and Graham’s … Continue reading →