420 search results for "quantmod"

Modified Donchian Band Trend Follower using R, Quantmod, TTR

March 12, 2010
By
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...

Read more »

flipsideR: Support for ASX Option Chain Data

February 8, 2016
By

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

Read more »

On The Relationship Between the SMA and Momentum

January 13, 2016
By
On The Relationship Between the SMA and Momentum

Happy new year. This post will be a quick one covering the relationship between the simple moving average and time … Continue reading →

Read more »

Maintaining a database of price files in R

December 13, 2015
By
Maintaining a database of price files in R

Doing quantitative research implies a lot of data crunching and one needs clean and reliable data to achieve this. What is really needed is clean data that is easily accessible (even without an internet connection). The most efficient way to do this for me has been to maintain a set of csv files. Obviously this

Read more »

How to Learn R

December 10, 2015
By
image02

There are tons of resources to help you learn the different aspects of R, and as a beginner this can be overwhelming. It’s also a dynamic language and rapidly changing, so it’s important to keep up with the latest tools and technologies. That’s why R-bloggers and DataCamp have worked together to bring you a learning path for R. Each section...

Read more »

A First Attempt At Applying Ensemble Filters

December 4, 2015
By
A First Attempt At Applying Ensemble Filters

This post will outline a first failed attempt at applying the ensemble filter methodology to try and come up with … Continue reading →

Read more »

Comment on Overnight SPY Anomaly

November 16, 2015
By

This post is in response to Michael Harris' Price Action Lab post, where he uses some simple R code to evaluate the asymmetry of returns from the day's close to the following day's open.  I'd like to respond to his 3 notes, which I've included below.The R backtest assumes fractional shares. This means that equity is fully...

Read more »

Trading Autocorrelation?

November 15, 2015
By
Trading Autocorrelation?

Markets are very smart in absorbing and reflecting information. If you think otherwise, try making money by trading. If you are new to it, make sure you don’t bet the house. In other words, markets are efficient. At least most of the time. So then why people trade? The general believe is that there are The post

Read more »

A Filter Selection Method Inspired From Statistics

November 9, 2015
By
A Filter Selection Method Inspired From Statistics

This post will demonstrate a method to create an ensemble filter based on a trade-off between smoothness and responsiveness, two … Continue reading →

Read more »

Has the S&P 500 Cleared the Earlier Sell?

October 25, 2015
By

Life has been busy and has kept me away from blogging, and from trading, mostly. Still, I can’t stay away from monitoring the markets, and, with the recent rally, I started asking myself – has the situation changed since the 200 day SMA signaled an exit. What do you think – make up your mind The post

Read more »

Sponsors

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)