2900 search results for "TwitteR"

Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1

April 23, 2012
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1

Analyzing transactions in quantstrat This post will be part 1 of a follow up to the original post, Simple Moving Average Strategy with a Volatility Filter. In this follow up, I will take a closer look at the individual trades of each strategy. This may provide valuable information to explain the difference in performance of the SMA … Continue reading...

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Short R script to plot effect sizes (Cohen’s d) and shade overlapping area

April 23, 2012
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Short R script to plot effect sizes (Cohen’s d) and shade overlapping area

In this short post I take a look at how to use R and ggplot2 to visualize effect sizes (Cohen’s d) and how to shade the overlapping area of two distributions.

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Probit/Logit Marginal Effects in R

April 23, 2012
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Probit/Logit Marginal Effects in R

The common approach to estimating a binary dependent variable regression model is to use either the logit or probit model. Both are forms of generalized linear models (GLMs), which can be seen as modified linear regressions that allow the dependent variable to originate from non-normal distributions. The coefficients in a linear regression model are marginal

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Intraday Backtest

April 22, 2012
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Intraday Backtest

I came across a free source of Intraday Forex data while reading Forex Trading with R : Part 1 post. You can download either Daily or Hourly historical Forex data from the FXHISTORICALDATA.COM. The outline of this post: Download and Import Forex data Reference and Plot Intraday data Daily Backtest Intraday Backtest First,I created a

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PostgreSQL, Excel, R, and a Really Big Data Set!

April 19, 2012
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PostgreSQL, Excel, R, and a Really Big Data Set!

At work I’ve started to work with the biggest data set I’ve ever seen!  First, let me qualify my use of the term “Big Data”.  The number of rows in the resultant data set (after much transformation and manipulation in … Continue reading →

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An R Script to Automatically download PubMed Citation Counts By Year of Publication

April 19, 2012
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An R Script to Automatically download PubMed Citation Counts By Year of Publication

Ever wanted to look at PubMed trends and make elegant graphs of them? Here’s an R script that will do it automatically for you.

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Dummies for Dummies

April 19, 2012
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Dummies for Dummies

Most R functions used in econometrics convert factor variables into a set of dummy/binary variables automatically. This is useful when estimating a linear model, saving the user from the laborious activity of manually including the dummy variables as regressors. However, what if you want to reshape your dataframe so that it contains such dummy variables?

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Simple Moving Average Strategy with a Volatility Filter

April 18, 2012
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Simple Moving Average Strategy with a Volatility Filter

I would describe my trading approach as systematic long term trend following. A trend following strategy can be difficult mentally to trade after experiencing multiple consecutive losses when a trade reverses due to a volatility spike or the trend reverses. Volatility tends to increase when prices fall. This is not good for a long only … Continue reading...

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How to organize R user group

April 18, 2012
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The first thing, what you have to do is to estimate how many users will be interested in local R group. I would say, that out of one million inhabitants you can expect 10-20 users. Based on this raw number, you can know, what challenges are waiting for you. If you expect 100 or more users, you have

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Montreal R Workshop: Quantile Regression

April 17, 2012
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Montreal R Workshop: Quantile Regression

Stewart Biology Building, McGill University (Rm N4/17) Monday, April 24, 2012  14h-16h Dr. Arthur Charpentier (UQàM) In this workshop we will examine difference concepts related to quantiles, and practical issues based on R codes. This workshop will present quantile regression, and the idea of iterative least square estimation. It will present an illustration on climate

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