1146 search results for "excel"

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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Visualising the Path of a Genetic Algorithm

April 23, 2012
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Visualising the Path of a Genetic Algorithm

We quite regularly use genetic algorithms to optimise over the ad-hoc functions we develop when trying to solve problems in applied mathematics. However it’s a bit disconcerting to have your algorithm roam through a high dimensional solution space while not being able to picture what it’s doing or how close one solution is to another. … Continue reading...

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RcppArmadillo 0.3.0.2 released and on CRAN

April 19, 2012
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Earlier today, Conrad Sanderson released another bug-fix version 3.0.2 for the still fairly recent 3.0.0 version of his excellent Armadillo C++ template library for linear algebra. The new RcppArmadillo release 0.3.0.2 also appeared on CRAN this morn...

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Efficient Frontier of Funds and Allocation Systems

April 18, 2012
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Efficient Frontier of Funds and Allocation Systems

I did a very basic experiment in Efficient Frontier of Buy-Hold and Tactical System where I determined the efficient frontier of the S&P 500 with itself transformed by a Mebane Faber 10-month moving average tactical allocation. The result was inter...

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Benford’s Law

April 16, 2012
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Benford’s Law

Here is a quick quiz. If you visit the Wikipedia page List of countries by GDP, you will find three lists ranking the countries of the world in terms of their Gross Domestic Product (GDP), each list corresponding to a different source of the data. If you pick the list according to the CIA (let’s

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Registration for R/Finance 2012 is Open

April 15, 2012
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Registration for R/Finance 2012 is Open

Registration has been open for a while, but I wanted to point out the pre-conference seminars. Registrations are strong this year, so if you’re interested you’ll need to sign up before they sell out. Register here… As you probably know by now, the fourth annual R/Finance conference for applied finance using R will be held

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One app, three languages

April 13, 2012
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This past week at work I had the opportunity to code the same algorithm using each of the three scientific programming/scripting languages I'm familiar with:MatlabPythonRThe list above is the order that the (re)-coding was done and serves as a beginnin...

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RcppArmadillo 0.3.0.1 released and on CRAN

April 12, 2012
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Conrad Sanderson released a bug-fix version 3.0.1 following up on the very recent 3.0.0 version of his excellent Armadillo C++ template library for linear algebra. I made a new RcppArmadillo release 0.3.0.1 which just appeared on CRAN.The short ...

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sixty two-minute r twotorials now available

April 12, 2012
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sixty twotorials now posted. two minutes each.new video highlights:024 how to run counts, tables, crosstabs, and flat tables on a data frame in r 030 what is a function anyway and how does it input and output stuff in r 022 how to generate b...

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RcppArmadillo 0.3.0 is now on CRAN

April 11, 2012
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Conrad Sanderson has released a new major version 3.0.0 of his excellent Armadillo C++ template library for linear algebra. A corresponding new release 0.3.0 of RcppArmadillo is now on CRAN. This follows four pre-releases of Armadillo which we pack...

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