364 search results for "quantmod"

lm System on Nikkei with New Chart

August 15, 2011
By
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...

Read more »

Unrequited lm Love

August 14, 2011
By
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...

Read more »

System Failure-Maybe it Will Help

August 11, 2011
By
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...

Read more »

Plotting Cumulative FII & DII Inflow against Nifty spot index

August 10, 2011
By
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...

Read more »

In case you missed it: July Roundup

August 10, 2011
By

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...

Read more »

Forecasting recessions

August 9, 2011
By
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...

Read more »

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

August 4, 2011
By
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...

Read more »

Summarizing Returns with R

August 2, 2011
By
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

Read more »

Dividend Quartiles with Kenneth French Data

August 1, 2011
By
Dividend Quartiles with Kenneth French Data

Based on my perception of the last 3 years, I would have expected high dividend stocks to have substantially underperformed low and zero dividend stocks.  Fortunately, just like with size and momentum in Beating Kenneth French Small – High, we c...

Read more »

The R-Files: Jeff Ryan

July 25, 2011
By
The R-Files: Jeff Ryan

"The R-Files" is an occasional series from Revolution Analytics, where we profile prominent members of the R Community. Name: Jeff Ryan Profession: Owner/Principal at Lemnica; Committee Member at R/Finance Nationality: American Years Using R: 8 Known for: R/Finance Conference, quantmod and xts packages Jeffrey Ryan is a Chicago-based quantitative software analyst and avid R user. He is perhaps best...

Read more »