As I mentioned in a previous post, I compiled the data set that I’m currently working on in PostgreSQL. To get this massive data set, I had to write a query that was massive by dint of the number of … Continue reading →

We are getting ready to host an R bootcamp this summer at work and I am looking at building on materials that already exist. I just wanted to list a few here while I figure out the best ways to incorporate them. Video Tutorials:This is a fairly ne...

In this episode: Listener feedback and importing data from external sources into R. We dive into the basics of importing delimited text files using read.table and its varients. We also discuss recommendations for importing MS Excel spreadsheet files, relational databases such as MySQL, data from HTML tables, and files produced by other statistical computing packages.

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...

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...

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...

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