364 search results for "quantmod"

Crazy RUT

July 24, 2011
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Crazy RUT

I have noticed that the Russell 2000 (RUT) acts very differently from most of the other indexes that I have studied.  If we apply the system shown in Shorting Mebane Faber to RUT and then extend it with a simple slope, we notice something very dif...

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Shorting Mebane Faber

July 19, 2011
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Shorting Mebane Faber

Although I do not personally know Mebane Faber, I know enough that I do not want to short him. However, I thought it would be insightful to see how the short side of his “A Quantitative Approach To Tactical Asset Allocation” might look.  Once ...

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More Thoughts on US Death Spiral

July 13, 2011
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More Thoughts on US Death Spiral

What troubles me most about today’s environment is the persistent belief that crisis large or small results in a US dollar rally and lower Treasury rates. However, what happens if the US dollar and US Treasury rates are the source of the crisis? Then...

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Drawdown Control Can Also Determine Ending Wealth

July 11, 2011
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Drawdown Control Can Also Determine Ending Wealth

As an extension to yesterday’s post Just Arriving is Not Enough, I wanted to show how minimizing drawdown is a much better technique to help control comfort and potentially increase ending wealth.  CHTTX was one of the best performers of the fou...

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Importing google news data to R

July 6, 2011
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Importing google news data to R

I've been playing around lately with the stock market data available from google finance, through quantmod in R. Here's a function I've written (which depends on the R Data Science Toolkit), to pull news stories related to a stock from google, parse t...

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Artificial intelligence in trading: k-means clustering

July 6, 2011
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Artificial intelligence in trading: k-means clustering

There is many flavors of artificial intelligence (AI), however I want to show practical example of the cluster analysis. It is very applicable in finance. For example, one of stylized facts of volatility is, that it moves in clusters, meaning that today’s volatility will be more likely as yesterday’s volatility. To gauge these moves you

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ARMA Models for Trading, Part VI

July 5, 2011
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ARMA Models for Trading, Part VI

All posts in this series were combined into a single, extended tutorial and posted on my new blog. In the fourth posting in this series, we saw the performance comparison between the ARMA strategy and buy-and-hold over the last approximately 10 years. Over the last few weeks (it does take time, believe me) I back-tested

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A Quantstrat to Build On Part 6

July 5, 2011
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A Quantstrat to Build On Part 6

THIS IS NOT INVESTMENT ADVICE.  ACTING ON THIS MAY LOSE LOTS OF MONEY. In A Quantstrat to Build on Part 5, I promised some performance reporting on quantstrat portfolios, but then in REIT Momentum in Quantstrat, I discovered it is not nearly as ea...

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Last Time That Happened

June 30, 2011
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Last Time That Happened

I bought a lottery ticket yesterday. I hardly ever buy them. The last time I did I lost a dollar. Actually, every time I've bought a ticket I've lost.  Yesterday I was at the local gas station in line behind a bloke who had a comprehensive folder ...

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Beating Kenneth French Small – High

June 30, 2011
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Beating Kenneth French Small – High

With 148 pageviews over the last 24 hours, my post Kenneth French Gift to the Finance World has been popular relative to most of my other posts.  I think the popularity is due to Kenneth French’s notoriety and the amazing outperformance of Small...

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