361 search results for "quantmod"

Introduction to Asset Allocation

October 12, 2011
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Introduction to Asset Allocation

This is the first post in the series about Asset Allocation, Risk Measures, and Portfolio Construction. I will use simple and naive historical input assumptions for illustration purposes across all posts. In these series I plan to discuss: Maximum Loss, MAD, CVaR, CDaR, Omega Risk Measures 130:30 Long/Short portfolios and Cardinality Constraints Arithmetic and Geometric

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S&P 500 components heatmap in R

October 12, 2011
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S&P 500 components heatmap in R

In this article, Hans Gilde exposes the clever use of a heatmap hidden in the Bioconductor library. In his example, he describes a way to show different ‘observations’ on subjects, with the concept of time. Financial indices, like the S&P 500 or the Dow Jones indices, are mathematically some kind of measure of overall market

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Generosity of Asian Central Banks

October 12, 2011
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Generosity of Asian Central Banks

The only thing that separates the United States from Europe and the notorious PIIGS is the generosity of Asian Central Banks who have been consistently quantitatively easing since 1998 (Join the Reserves). From TimelyPortfolio Without this generos...

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Where to find data to use with R

October 11, 2011
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(Contributing blogger Joe Rickert has put together a fantastic list of data sources suitable for use with R. If you're looking for data to use in the Applications of R Contest -- entries close October 31 -- this is a great resource for you -- Ed.) Hardly a day goes by without someone or something reminding me that we...

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Risk, Return and Analyst Ratings

October 7, 2011
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Risk, Return and Analyst Ratings

Today I want to discuss a connection between Risk, Return and Analyst Ratings. Let’s start with defining our universe of stocks : 30 stocks from Dow Jones Industrial Average (^DJI) index. For each stock I will compute the number of Upgrades and Downgrades, Risk, and Return in 2010:2011. I will run a linear regression and

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Visualizing Tables with plot.table

October 6, 2011
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Visualizing Tables with plot.table

plot.table function in the Systematic Investor Toolbox is a flexible table drawing routine. plot.table has a simple interface and takes following parameters: plot.matrix – matrix with data you want to plot smain – text to draw in (top, left) cell; default value is blank string highlight – Either TRUE/FALSE to indicate if you want to

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Efficient Frontier of Buy-Hold and Tactical System

October 6, 2011
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Efficient Frontier of Buy-Hold and Tactical System

In my mind, there are two very disparate views in the money management space: Markowitz style diversification and Faber style tactical allocation. I thought it would be fun to see what happens when we try to blend the two with an efficient frontier bet...

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Introduction to PloTA library in the Systematic Investor Toolbox

October 4, 2011
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Introduction to PloTA library in the Systematic Investor Toolbox

PloTA ( plot + ta ) library in the Systematic Investor Toolbox is a simple plot interface to charting Time Series and Technical Analysis plots. I created it as an alternative to charting functionality in quantmod package. It is designed to mimic default plot interface and works with xts objects. PloTA implements following methods: plota

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Jeff Augen Volatility Spike Code in R

October 2, 2011
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Jeff Augen Volatility Spike Code in R

Jeff Augen has written many excellent books on options trading, including&nb...

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Adding a volatility filter with VIX

October 2, 2011
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Adding a volatility filter with VIX

We saw in the basic system how we could add a factor, namely the 200 day moving average, to improve the overall performance of our system. You could spend a lot of time playing with different moving averages, and different combinations of crossovers if...

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