433 search results for "quantmod"

Happy Holidays and Best Wishes for 2012

December 22, 2011
By
Happy Holidays and Best Wishes for 2012

This is just a quick note to wish you and your family a very healthy and happy holidays and wonderful New Year! I hope you enjoyed reading my blog and thank you for your comments and emails. Here is a short R code that implements an interesting idea from the Charting the Santa Claus Rally

Read more »

Pairs Trading Issues

December 20, 2011
By
Pairs Trading Issues

(This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers) A few words for those of you who are not familiar with the “pairs trading” concept. First you should understand that the movement of every stock is dominated not by the companies performance but by the general market movement. This is the origin of...

Read more »

Rotational Trading Strategies: borrowing ideas from Engineering Returns

December 19, 2011
By
Rotational Trading Strategies: borrowing ideas from Engineering Returns

Frank Hassler at Engineering Returns blog wrote an excellent article Rotational Trading: how to reduce trades and improve returns. The article presents four methods to reduce trades: Trade less frequently. I.e. weekly instead of daily rebalancing. Different criteria for enter / exit a trade. Smooth the rank over the last couple of bars. Combination of

Read more »

Backtesting Rebalancing methods

December 15, 2011
By
Backtesting Rebalancing methods

I wrote about Rebalancing in the Asset Allocation Process Summary post. Deciding how and when to rebalance (update the portfolio to the target mix) is one of the critical steps in the Asset Allocation Process. I want to study the portfolio performance and turnover for the following Rebalancing methods: Periodic Rebalancing: rebalance to the target

Read more »

More orthodox ARMA/GARCH trading

December 14, 2011
By
More orthodox ARMA/GARCH trading

The system described in the earlier series for ARMA trading was in fact an “extreme” version of the more common, orthodox approach prevailing in the literature. Recently I tried using R to reproduce the results of a particular paper, and that lead to a lot of new developments … How is typically ARMA trading simulated?

Read more »

Backtesting Minimum Variance portfolios

December 12, 2011
By
Backtesting Minimum Variance portfolios

I want to show how to combine various risk measures I discussed while writing the series of posts about Asset Allocation with backtesting library in the Systematic Investor Toolbox. I will use Minimum Variance portfolio as an example for this post. I recommend reading a good discussion about Minimum Variance portfolios at Minimum Variance Sector

Read more »

Simple and Profitable

December 8, 2011
By
Simple and Profitable

The end of the month effect was examined by MarketSci in the The Last Day of the Month Blahs post. The idea is simple: buy on the last day of the month and sell a few days later. This idea was put into a strategy by Quanting Dutchman in the Strategy 2 – Monthly End-of-the-Month

Read more »

Displaying german stock performance with R using ggplot2

December 6, 2011
By
Displaying german stock performance with R using ggplot2

I cannot follow stock market developments daily, so I was looking for a quick overview of what had happened in the last week. What would be of interest for me is  “How did German stocks perform over the last 5 days, compared to the last 20 trading days and the last 250 trading days”. R

Read more »

Multi-Asset Backtest : Rotational Trading Strategies

December 5, 2011
By
Multi-Asset Backtest : Rotational Trading Strategies

I want to discuss the implementation of Rotational Trading Strategies using the backtesting library in the Systematic Investor Toolbox.The Rotational Trading strategy switches investment allocations throughout the time, betting on few top ranked assets. For example, the ranking can be based on relative strength or momentum. A few examples of the Rotational Trading Strategies (or

Read more »

Backtesting with Short positions

December 1, 2011
By
Backtesting with Short positions

I want to illustrate Backtesting with Short positions using an interesting strategy introduced by Woodshedder in the Simple, Long-Term Indicator Near to Giving Short Signal post. This strategy was also analyzed in details by MarketSci in Woodshedder’s Long-Term Indicator post. The strategy uses the 5 day rate of change (ROC5) and the 252 day rate

Read more »

Sponsors

Mango solutions



RStudio homepage



Zero Inflated Models and Generalized Linear Mixed Models with R

Dommino data lab

Quantide: statistical consulting and training



http://www.eoda.de







ODSC

ODSC

CRC R books series





Six Sigma Online Training





Contact us if you wish to help support R-bloggers, and place your banner here.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)