392 search results for "quantmod"

Databases – an Ideal Application for R6?

May 20, 2015
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Over the years I have tried to simplify and streamline my access to financial historic data. All different solutions I tried (see here, for example) so far have been unsatisfactory, at least to some degree. That however changed after I started using R6. Here is an example of using the R6 class for the same The post

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A Basic Logical Invest Global Market Rotation Strategy

May 18, 2015
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A Basic Logical Invest Global Market Rotation Strategy

This may be one of the simplest strategies I’ve ever presented on this blog, but nevertheless, it works, for some … Continue reading →

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Computerworld’s list of R packages for data wrangling

May 13, 2015
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Computerworld's Sharon Machlis published today a very useful list of R packages that every R user should know. The list covers packages for data import, data wrangling, data visualization and package development, but for beginning R users the biggest challenge is usually just dealing with data. To that end, I thought it was worth listing the package for data...

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Odd Connections Inside The NASDAQ-100

May 8, 2015
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Odd Connections Inside The NASDAQ-100

Distinguishing the signal from the noise requires both scientific knowledge and self-knowledge (Nate Silver, author of The Signal and the Noise) Analyzing the evolution of NASDAQ-100 stock prices can discover some interesting couples of companies which share a strong common trend despite of belonging to very different sectors. The NASDAQ-100 is made up of 107 … Continue reading...

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The JP Morgan SCTO strategy

April 20, 2015
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The JP Morgan SCTO strategy

This strategy goes over JP Morgan’s SCTO strategy, a basic XL-sector/RWR rotation strategy with the typical associated risks and returns … Continue reading →

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plot.xts RFC

April 20, 2015
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We have been working on a new charting engine for xts::plot.xts for the past couple years. It started with Michael Weylandt's work during the 2012 Google Summer of Code, and Ross Bennett took up the torch during the 2014 GSoC.This new engine improves t...

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NASDAQ 100 Couples

March 25, 2015
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NASDAQ 100 Couples

Heaven, I’m in heaven, and my heart beats so that I can hardly speak, and I seem to find the happiness I seek, when we’re out together dancing cheek to cheek (Cheek To Cheek, Irving Berlin) There are about 6.500 available packages in CRAN repository. If I were a superhuman, able to learn one package … Continue reading...

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Factor Evaluation in Quantitative Portfolio Management

March 23, 2015
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Factor Evaluation in Quantitative Portfolio Management

When it comes to managing a portfolio of stocks versus a benchmark the problem is very different from defining an absolute return strategy. In the former one has to hold more stocks than in the later where no stocks at all can be held  if there is not good enough opportunity.  The reason for that is the tracking error. This

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Introduction to my New IKReporting Package

March 9, 2015
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Introduction to my New IKReporting Package

This post will introduce my up and coming IKReporting package, and functions that compute and plot rolling returns, which are … Continue reading →

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Update on The Pre-FOMC Announcement Drift

March 3, 2015
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Update on The Pre-FOMC Announcement Drift

In the February 2015 edition of The Journal of Finance, a well known academic paper, “The Pre-FOMC Announcement Drift”, was finally published, almost 4 years after the working paper was released in the public domain in 2011.Authored by researchers, Lucca and Moench, at the US Federal Reserve, it documents the tendency for the S&P500 Index to rise in the...

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