364 search results for "quantmod"

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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Difficult Month for One of My Best Ideas

September 30, 2011
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Difficult Month for One of My Best Ideas

THIS IS NOT INVESTMENT ADVICE.  MY IDEAS PROBABLY WILL LOSE YOU MONEY, AND I WILL NOT LET YOU KNOW WHEN I CHANGE MY MIND. Bloomberg’s article “Asian Currencies Set for Worst Month Since 1997 Crisis Caused IMF Bailouts” demonstrates why with ...

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ttrTests This is a Test Test 3:Data Snoopy

September 30, 2011
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ttrTests This is a Test Test 3:Data Snoopy

THIS IS NOT INVESTMENT ADVICE.  IT IS JUST AN EXAMPLE AND WILL LIKELY LOSE LOTS OF MONEY IF YOU PURSUE WHAT IS DISCUSSED.  READER IS RESPONSIBLE FOR THEIR OWN GAINS OR LOSSES.  IF YOU ARE AN UNLIKELY WINNER, I WOULD LOVE TO HEAR YOUR STO...

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ttrTests This is a Test–Test 1 and Test 2

September 28, 2011
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ttrTests This is a Test–Test 1 and Test 2

Just to remind everyone, THIS IS NOT INVESTMENT ADVICE AND ANY ACTIONS TAKEN BASED ON THIS DISCUSSION WILL PROBABLY RESULT IN SIGNIFICANT LOSSES. We had fun with the ttrTests package in two previous posts ttrTests: Its Great Thesis and Incredible Poten...

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ttrTests: Its Great Thesis and Incredible Potential

September 26, 2011
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ttrTests: Its Great Thesis and Incredible Potential

I stumbled on the ttrTests R package as mentioned in my post ttrTests Experimentation.  I did not recognize its potential until I spent much more time absorbing the basis of the package—David St. John’s thesis Technical Analysis Based on Movin...

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Performance with ggplot2

September 16, 2011
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Performance with ggplot2

Now after Reporting Good Enough to Share, let’s use ggplot2 and PerformanceAnalytics to turn this into this From TimelyPortfolio I have been notified that the colors aren’t great.  How does everyone like this? R code (click to download)...

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Correlations among US Stocks: Is it really time to fire your adviser?

September 15, 2011
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Correlations among US Stocks: Is it really time to fire your adviser?

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data. The Financial Times says it's time to "Fire your Adviser" because correlations among US stocks ar...

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Reporting Good Enough to Share

September 15, 2011
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Reporting Good Enough to Share

Sorry to all my faithful readers for my absence recently. I started a new job at a new firm, so my blogging has moved down the priority list but only temporarily. I am still committed to documenting my thoughts, especially finance and R thoughts as dis...

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