250 search results for "market research"

Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

April 30, 2012
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

In the Follow-Up Part 1, I explored some of the functions in the quantstrat package that allowed us to drill down trade by trade to explain the difference in performance of the two strategies. By doing this, I found that my choice of a volatility measure may not have been the best choice. Although the … Continue reading...

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Most profitable hedge fund style

April 21, 2012
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Most profitable hedge fund style

This is not an investment advice!! Couple of weeks back, during amst-R-dam user group talk on backtesting trading strategies using R, I mentioned the most effective style for hedge funds is relative value statistical arbitrage, I read it somewhere. After … Continue reading →

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Small Countries Stablize by Exporting High-Tech

April 18, 2012
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Small Countries Stablize by Exporting High-Tech

Smaller countries lead the way.When you think of 'high-tech', which countries come to mind?What is 'High-Tech'?Before continuing, what is meant by the term 'high-tech'? As defined by the World Data Bank, high-technology exports ar...

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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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Mebane Faber Tactical Asset Allocation in R

April 13, 2012
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In 2006 Mebane Faber published a great piece of research detailing an asset allocation system that was both very easy to understand and implement, as well as carrying very respectable risk adjusted returns.The details are available in his paper&nb...

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Low Volatility with R

April 12, 2012
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Low Volatility with R

Low volatility and minimum variance strategies have been getting a lot of attention lately due to their outperformance in recent years. Let’s take a look at how we can incorporate this low volatility effect into a monthly rotational strategy with a basket of ETFs. Performance Summary from Low Volatility Test in quantstrat Starting Equity: 100,000 … Continue reading...

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Statistical Software Popularity on Google Scholar

April 12, 2012
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Statistical Software Popularity on Google Scholar

Background (probably boring) Several months ago, my boss and I were discussing how he got the data for his software popularity article; the rest of the background discussion pertains to those plots, so I would recommend going over to take a look before continuing on (or just skip to the next section if you're impatient).  Specifically, we were talking...

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Quantitative finance and computational systems

April 1, 2012
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Quantitative finance and computational systems

I’m writing a book proposal based on the lecture notes for my R for Quants workshop I conducted at the …Continue reading »

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Video: R at Work and at Home

March 24, 2012
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Video: R at Work and at Home

The following video was filmed at Melbourne R Users. The description of the talk from the meetup site: Eu Jin is a Senior Analyst with Deloitte Analytics in Melbourne. He has over four years experience in data mining and statistical … Continue reading →

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Call for chapters: Data Mining Applications with R

March 15, 2012
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Call for chapters: Data Mining Applications with R

Data Mining Applications with R A book to be published by Elsevier http://www.RDataMining.com/books/book2 Proposal Submission Deadline: April 30, 2012 Introduction R is one of the most widely used data mining tools in scientific and business applications, among dozens of commercial … Continue reading →

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