355 search results for "quantmod"

Long EEM Short IWM-How it Works in 3 Ways

March 31, 2011
By
Long EEM Short IWM-How it Works in 3 Ways

Long EEM Short IWM potentially works in 3 ways: 1) See my last post “Asian Currency Opportunity” where currency undervaluation means potential gain of 20-50% versus the US$ and 50%-100% versus the Japanese Yen.  However, even absent the underv...

Read more »

Asian Currency Opportunity

March 31, 2011
By
Asian Currency Opportunity

Asian currencies are fundamentally undervalued at an extreme level due to the Central Banks’ focus on the US$.  For those that regularly read my blog or happened to see me in SmartMoney, this will not surprise you, “And investors can also buy...

Read more »

Violins of Volatility

March 29, 2011
By
Violins of Volatility

A violin plot is a combination box plot and a kernel density plot: it starts with a box plot, and adds a rotated kernel density plot to each side of the box plot. You can create violin plots with the vioplot function (from the vioplot package) package in R. When looking at the volatility of financial instruments, the financial...

Read more »

Volatility Violins

March 28, 2011
By
Volatility Violins

Unlike many humans, markets love change. In fact, they look forward to it with great anticipation. Regular people like stability, for the most part. Unless you're a career gypsy, you like to stay in one place for some time. Making a home. Settling in, ...

Read more »

How to backtest a strategy in R

March 26, 2011
By

This is the third post in the Backtesting in Excel and R series and it will show how to backtest a simple strategy in R.  It will follow the 4 steps Damian outlined in his post on how to backtest a simple strategy in Excel.Step 1: Get the dataThe ...

Read more »

How to backtest a strategy in R

March 26, 2011
By

This is the third post in the Backtesting in Excel and R series and it will show how to backtest a simple strategy in R.  It will follow the 4 steps Damian outlined in his post on how to backtest a simple strategy in Excel.Step 1: Get the dataThe ...

Read more »

Silver Is A Weighted Coin

March 24, 2011
By
Silver Is A Weighted Coin

editorial note: there is an error in the code explained below the code. When you flip a quarter, you normally assume the coin is fair and that there is a 50% chance of getting either heads or tails. Option pricing assumes the world of trading is f...

Read more »

Yeah Sure, Maybe, Well … Okay

March 23, 2011
By
Yeah Sure, Maybe, Well … Okay

Whoever wrote the book on statistics, probably avoided getting a proper education in literature. At least that's my null hypothesis. The cryptic and awkward presentation of probabilities common amongst the Frequentists (no, not the Latin American Socia...

Read more »

Free and Easy Currency Monitor in R

March 22, 2011
By
Free and Easy Currency Monitor in R

Certainly not the best way to keep up with currencies, but the increasingly important job of monitoring currencies can be free and easy in R using Federal Reserve FRED data.  Here is a template that can be adjusted to your favorite currencies with...

Read more »

Correlation network

March 22, 2011
By
Correlation network

I came up with an idea to draw correlation network to get a grasp about relationship between a list of stocks. An alternative way to show correlation matrix would be head map, which can have limitations with big matrices (>100). Unfortunately,  ggplot2 package doesn’t have a easy way to draw the networks, so I was left

Read more »