356 search results for "quantmod"

ttrTests Experimentation

August 16, 2011
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ttrTests Experimentation

I was intrigued by the CRAN update on a package ttrTests, especially since quantstrat is not built for backtesting system parameters and analyzing system performance as I mentioned in A Quantstrat to Build On Part 6.  ttrTests offers a nice start ...

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Use geom_rect() to add recession bars to your time series plots #rstats #ggplot

August 15, 2011
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Use geom_rect() to add recession bars to your time series plots #rstats #ggplot

ggplot2's geom_rect() layer makes it easy to highlight portions of your graph, such as recessions on an economic time series.

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lm System on Nikkei with New Chart

August 15, 2011
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lm System on Nikkei with New Chart

I got a great idea from the zoo-overplot demo to make a very helpful visualization of system entry and exit.  Since the lm-based system presented in Unrequited lm Love is newest, I will use this system, but apply to the Nikkei 225 instead of the R...

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Unrequited lm Love

August 14, 2011
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Unrequited lm Love

In System Failure-Maybe it Will Help I presented the initial trials of a linear model system for stocks, and even though they were not a resounding success, I have been strangely determined to discover a working version of this framework.  Maybe t...

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System Failure-Maybe it Will Help

August 11, 2011
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System Failure-Maybe it Will Help

I hope everyone is enjoying the market.  After a crazy week personally and 6% intraday swings, I remember why I abandoned day trading. I often wonder if I should share ideas that do not work as well as I would like.  In this case, I know I ha...

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Plotting Cumulative FII & DII Inflow against Nifty spot index

August 10, 2011
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Plotting Cumulative FII & DII Inflow against Nifty spot index

Now that I have the FII and DII Inflow along with Nifty Index, I tried my hands on charting!The objective is to plot the Cumulative FII, DII and Net Inflow and Nifty Index for current year (2011) on a single graph. This post takes inspiration from Deep...

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In case you missed it: July Roundup

August 10, 2011
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In case you missed them, here are some articles from July of particular interest to R users. A simulation in R finds the value (or disadvantage) or drawing an X, J, Q or Z in Scrabble. How to display high-quality graphics on the web using SVG output from R. A review of Paul Murrell's talk about raster image support...

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Forecasting recessions

August 9, 2011
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Forecasting recessions

John Hussman has a Recession Warning Composite that I am attempting to replicate/improve. The underlying data seems to be easy enough to get from FRED using the quantmod package in R. I don't quite understand the index Hussman is using for commercial...

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Aug 4, 2011 "plunge" headlines are in the air tonight

August 4, 2011
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Aug 4, 2011 "plunge" headlines are in the air tonight

Today's financial headlines are littered with the word 'plunge.'  Considering today's (cl-cl) drop on the S&P500 was just about -5%, I don't know that I would exactly call that a plunge.         &nb...

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Summarizing Returns with R

August 2, 2011
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Summarizing Returns with R

Often I like to see the performance of a trading strategy summarized annually, quarterly or by month. In R, we start off with the summary function: Given a series xx, usually a chunk of the original, this function returns the accumulative returns for the period. The leverage is useful to somewhat simulate leveraged ETFs. The

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