429 search results for "quantmod"

Modified Donchian Band Trend Follower using R, Quantmod, TTR -Part 2: Parameter Sweep Sensitivity over long run

March 24, 2010
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Modified Donchian Band Trend Follower using R, Quantmod, TTR  -Part 2: Parameter Sweep Sensitivity over long run

Here is a small update to the Donchian Channel type system I displayed in the last post.Fig 1. Sensitivity of Net Combined L/S Gain to parameter n.Using the S&P500 index as a proxy for the market, a simulation was run over the lifetime of the index. No...

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Modified Donchian Band Trend Follower using R, Quantmod, TTR

March 12, 2010
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Modified Donchian Band Trend Follower using R, Quantmod, TTR

I've been toying around with the examples given on the FOSS trading site for some of the great work they've put together in the Quantmod and TTR packages. Those viewers who are looking for a nice (and free) backtesting suite to possibly complement s...

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A Gentle Introduction to Finance using R: Efficient Frontier and CAPM – Part 1

May 24, 2016
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A Gentle Introduction to Finance using R: Efficient Frontier and CAPM – Part 1

The following entry explains a basic principle of finance, the so-called efficient frontier and thus serves as a gentle introduction into one area of finance: “portfolio theory” using R. A second part will then concentrate on the Capital-Asset-Pricing-Method (CAPM) and its assumptions, implications and drawbacks. Note: All code that is needed for the simulations, data

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How To Compute Turnover With Return.Portfolio in R

May 11, 2016
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How To Compute Turnover With Return.Portfolio in R

This post will demonstrate how to take into account turnover when dealing with returns-based data using PerformanceAnalytics and the Return.Portfolio … Continue reading →

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Create Amazing Looking Backtests With This One Wrong–I Mean Weird–Trick! (And Some Troubling Logical Invest Results)

April 22, 2016
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Create Amazing Looking Backtests With This One Wrong–I Mean Weird–Trick! (And Some Troubling Logical Invest Results)

This post will outline an easy-to-make mistake in writing vectorized backtests–namely in using a signal obtained at the end of … Continue reading →

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Introducing fidlr: FInancial Data LoadeR

April 21, 2016
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Introducing fidlr: FInancial Data LoadeR

fidlr is an RSutio addin designed to simplify the financial data downloading process from various providers. This initial version is a wrapper around the getSymbols function in the quantmod package and only Yahoo, Google, FRED and Oanda are supported. I will probably add functionalities over time. As usual with those things just a kind reminder: “THE SOFTWARE

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Are R^2s Useful In Finance? Hypothesis-Driven Development In Reverse

April 18, 2016
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Are R^2s Useful In Finance? Hypothesis-Driven Development In Reverse

This post will shed light on the values of R^2s behind two rather simplistic strategies — the simple 10 month … Continue reading →

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Portfolio Optimization using R and Plotly

April 2, 2016
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In this post we’ll focus on showcasing Plotly’s WebGL capabilities by charting financial portfolios using an R package called PortfolioAnalytics. The package is a generic portfolo optimization framework developed by folks at the University of Washington and Brian Peterson (of the PerformanceAnalytics fame). You can see the vignette here Let’s pull in some data first.

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A Tale of Two Charting Paradigms: Vega-Lite vs R+ggplot2

February 28, 2016
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A Tale of Two Charting Paradigms: Vega-Lite vs R+ggplot2

This post comes hot off the heels of the nigh-feature-complete release of vegalite (virtually all the components of Vega-Lite are now implemented and just need real-world user testing). I’ve had a few and seen a few questions about “why Vega-Lite”? I think my previous post gave some good answers to “why”. However, Vega-Lite and Vega

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flipsideR: Support for ASX Option Chain Data

February 8, 2016
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I previously wrote about some ad hoc R code for downloading Option Chain data from Google Finance. I finally wrapped it up into a package called flipsideR, which is now available via GitHub. Since I last wrote on this topic I've also added support for downloading option data from the Australian Securities Exchange (ASX). Installation The post

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