When I see extremes, I feel compelled to explore. The US 10y Treasury yield is at an extreme versus the annualized 3 month CPI rate of change. From TimelyPortfolio Of course, I have to try to build a system around the idea. While this 3 mont...
304 search results for "quantmod"
Commodity Index Estimators
In this post I will show my first try at a commodity index substitute. Regular readers know my frustration with proprietary data as I try to demonstrate various techniques to users who might not have the resources to pay for the data. I hav...
First Answer to My Own Question-Combine LSPM and Mahalanobis
I first wanted to thank http://www.fosstrading.com for the very kind and unexpected mention over the weekend. You will notice almost all of my code contains some credit to Foss Trading for the examples and great packages. I hate that I coul...
ARMA Models for Trading, Part III
In the last post I showed how to pick the parameters for the ARMA model. The next step is to determine the position at the close. One way to do that is by a one day ahead prediction, if the prediction comes negative (remember the series we are operating on is the daily returns) then 
Another Use of LSPM in Tactical Portfolio Allocation
After the slightly unconventional use of LSPM presented in Slightly Different Use of Ralph Vince’s Leverage Space Trading Model, I thought I should follow up with something that more closely resembles my interpretation of Ralph Vince’s book. LSPM s...
Slightly Different Use of Ralph Vince’s Leverage Space Trading Model
In honor of the press release Dow Jones Indexes To Develop, Co-Brand Index Family With LSP Partners two days ago, I thought I would show another slightly different use of Ralph Vince’s The Leverage Space Trading Model. Using the R LSPM package, we c...
Bug Collector
Most are quite unamused to find an ant infestation in their kitchen around this time of year. Time to start spraying that stuff that's not supposed to be harmful to humans but that you always wonder if it is anyway. Some bugs, such as ant attacks or so...
Great FAJ Article on Statistical Measure of Financial Turbulence Part 3
Building on posts Great FAJ Article on Statistical Measure of Financial Turbulence and Great FAJ Article on Statistical Measure of Financial Turbulence Part 2, I will now build a system incorporating a new correlation-based measure of turbulence and a ...
Great FAJ Article on Statistical Measure of Financial Turbulence Part 2
I did not intend for this to be a multi-part series, but after some clear thinking at the beach over the weekend, I decided that it needed some more analysis. For those of you that read the article or know Mahalanobis distance, the measure I pre...
Milktrader: Quantitative finance in R
The blog Milktrader has been on a roll recently with a series of posts with practical examples of quantitative in finance, from backtesting to automated trading, and option pricing to data acquisition. The latest post focuses on calculating returns, with an example of downloading data for a silver ETF and calculating daily returns with the dailyReturn function in the...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
