blotter is an R package that tracks the P&L of your trading systems (or simulations), even if your portfolio spans many security types and/or currencies. This post uses blotter to track a simple two-ETF trading system. The contents of this post b...

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Jeff sent the following while I had connectivity issues and I hadn't gotten around to posting it here. So without further ado, and given the success of our initial R / Finance 2009 conference about R in Finance, here is the call for papers for next ...

Jeff sent the following while I had connectivity issues and I hadn't gotten around to posting it here. So without further ado, and given the success of our initial R / Finance 2009 conference about R in Finance, here is the call for papers for next sp...

Jeff sent the following while I had connectivity issues and I hadn't gotten around to posting it here. So without further ado, and given the success of our initial R / Finance 2009 conference about R in Finance, here is the call for papers for next ...

Cointegrated pairs of securities are crucial for mean reversion trading portfolio construction, Play with cointegration has several good papers to start with. Should you want to test pairs of securities for cointegration using R, here is an excellent ...