429 search results for "quantmod"

On The Relationship Between the SMA and Momentum

January 13, 2016
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On The Relationship Between the SMA and Momentum

Happy new year. This post will be a quick one covering the relationship between the simple moving average and time … Continue reading →

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Maintaining a database of price files in R

December 13, 2015
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Maintaining a database of price files in R

Doing quantitative research implies a lot of data crunching and one needs clean and reliable data to achieve this. What is really needed is clean data that is easily accessible (even without an internet connection). The most efficient way to do this for me has been to maintain a set of csv files. Obviously this

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R tutorials

December 10, 2015
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image02

There are tons of resources to help you learn the different aspects of R, and as a beginner this can be overwhelming. It’s also a dynamic language and rapidly changing, so it’s important to keep up with the latest tools and technologies. That’s why R-bloggers and DataCamp have worked together to bring you a learning path for R. Each section...

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A First Attempt At Applying Ensemble Filters

December 4, 2015
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A First Attempt At Applying Ensemble Filters

This post will outline a first failed attempt at applying the ensemble filter methodology to try and come up with … Continue reading →

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Calculate Inflation with R

December 1, 2015
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Calculate Inflation with R

I was surprised to see there weren’t more of these types of calculators in the R community. Inflation and adjusted payments seem like they would be more common. I was able to find a way to gather Consumer Price Index data using the quantmod package but quantmod leaves you to your own devices in converting

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Comment on Overnight SPY Anomaly

November 16, 2015
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This post is in response to Michael Harris' Price Action Lab post, where he uses some simple R code to evaluate the asymmetry of returns from the day's close to the following day's open.  I'd like to respond to his 3 notes, which I've included below.The R backtest assumes fractional shares. This means that equity is fully...

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Trading Autocorrelation?

November 15, 2015
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Trading Autocorrelation?

Markets are very smart in absorbing and reflecting information. If you think otherwise, try making money by trading. If you are new to it, make sure you don’t bet the house. In other words, markets are efficient. At least most of the time. So then why people trade? The general believe is that there are The post

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A Filter Selection Method Inspired From Statistics

November 9, 2015
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A Filter Selection Method Inspired From Statistics

This post will demonstrate a method to create an ensemble filter based on a trade-off between smoothness and responsiveness, two … Continue reading →

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Has the S&P 500 Cleared the Earlier Sell?

October 25, 2015
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Life has been busy and has kept me away from blogging, and from trading, mostly. Still, I can’t stay away from monitoring the markets, and, with the recent rally, I started asking myself – has the situation changed since the 200 day SMA signaled an exit. What do you think – make up your mind The post

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Simulating backtests of stock returns using Monte-Carlo and snowfall in parallel

September 23, 2015
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Simulating backtests of stock returns using Monte-Carlo and snowfall in parallel

You could say that the following post is an answer/comment/addition to Quintuitive, though I would consider it as a small introduction to parallel computing with snowfall using the thoughts of Quintuitive as an example. A quick recap: Say you create a model that is able to forecast 60% of market directions (that is, in 6

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