386 search results for "quantmod"

Displaying german stock performance with R using ggplot2

December 6, 2011
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Displaying german stock performance with R using ggplot2

I cannot follow stock market developments daily, so I was looking for a quick overview of what had happened in the last week. What would be of interest for me is  “How did German stocks perform over the last 5 days, compared to the last 20 trading days and the last 250 trading days”. R

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Multi-Asset Backtest : Rotational Trading Strategies

December 5, 2011
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Multi-Asset Backtest : Rotational Trading Strategies

I want to discuss the implementation of Rotational Trading Strategies using the backtesting library in the Systematic Investor Toolbox.The Rotational Trading strategy switches investment allocations throughout the time, betting on few top ranked assets. For example, the ranking can be based on relative strength or momentum. A few examples of the Rotational Trading Strategies (or

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Backtesting with Short positions

December 1, 2011
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Backtesting with Short positions

I want to illustrate Backtesting with Short positions using an interesting strategy introduced by Woodshedder in the Simple, Long-Term Indicator Near to Giving Short Signal post. This strategy was also analyzed in details by MarketSci in Woodshedder’s Long-Term Indicator post. The strategy uses the 5 day rate of change (ROC5) and the 252 day rate

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A look at market returns by month

November 30, 2011
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A look at market returns by month

I’ve been reading The Big Picture, and again, there was a discussion about seasonality in stock markets (see Fourth Quarter is Da Bomb). I’ve already discussed the two seasonal investment scenarios (Nov. to Apr VS May to Oct) in this post, and was wondering if one could break it down further into a monthly analysis.

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Trading Strategy Sensitivity Analysis

November 28, 2011
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Trading Strategy Sensitivity Analysis

When designing a trading strategy, I want to make sure that small changes in the strategy parameters will not transform the profitable strategy into the loosing one. I will study the strategy robustness and profitability under different parameter scenarios using a sample strategy presented by David Varadi in the Improving Trend-Following Strategies With Counter-Trend Entries

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Introduction to Backtesting library in the Systematic Investor Toolbox

November 24, 2011
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Introduction to Backtesting library in the Systematic Investor Toolbox

I wrote a simple Backtesting library to evaluate and analyze Trading Strategies. I will use this library to present the performance of trading strategies that I will study in the next series of posts. It is very easy to write a simple Backtesting routine in R, for example: The code I implemented in the Systematic

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Volume by Price Charts using R

November 23, 2011
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Volume by Price Charts using R

R-Bloggers is a wonderful site which offers some great ideas for analysis.While I have been busy of late, hence could not do much with R, I was inspired by this post by Eric Nguyen on Volume by Price chart. This chart can be used with a great effe...

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Popular Baby Names Walk-Through Part 2 – Graphing the fast movers

November 21, 2011
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Popular Baby Names Walk-Through Part 2 – Graphing the fast movers

I will assume you have read through part 1 and have the csv file loaded. While we covered some basic graphing in the last post i hope to get into a little more of the data crunching. Specifically I am interested in the names which where driven by a spe...

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A Simple R Script for Traders

November 21, 2011
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A Simple R Script for Traders

Now that we've got the Python implementation under out belts, let's do the same thing with R. We'll still be able to pass command-line arguments to get a quick look at what our stock of interest is doing during the day. And we start with the familiar i...

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Magical Russell 2000

November 21, 2011
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Magical Russell 2000

I have marveled at the magical Russell 2000 in Crazy RUT, but I am still surprised at its behavior through this selloff.  With a 20-day move of 30% (6% in one hour) and big outperformance to the developed and developing world, the Russell 2000 con...

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