356 search results for "quantmod"

Knoxville R User’s Group Meeting November 1

October 22, 2013
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Knoxville R User’s Group Meeting November 1

The next meeting of the Knoxville R User’s Group will consist of four 20-minute talks followed by an open planning session. It will take place on Friday, November 1, from 2:00 p.m. to 4:00 p.m. at The University of Tennessee, … Continue reading →

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Measuring Randomness in Capital Markets

September 29, 2013
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Measuring Randomness in Capital Markets

What is Random? As previously discussed, there’s no universal measure of randomness. Randomness implies the lack of pattern and the inability to predict future outcomes. However, The lack of an obvious model doesn’t imply randomness anymore than a curve fit one implies order. So what actually constitutes randomness, how can we quantify it, and why do we care? Randomness $\neq$ Volatility, and Predictability $\neq$ Profit First...

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A technique for doing parametrized unit testing in R: Case study with stock price data analysis

September 13, 2013
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Ensuring the quality and correctness of statistical or scientific software in general constitute as one fo the main responsibilities of scientific software developers and scientists who provide a code to solve a specific computational task. Sometimes t...

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‘Tis the Season for September Bearishness?

August 22, 2013
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‘Tis the Season for September Bearishness?

Is September Bearish? Traders love discussing seasonality, and September declines in US equity markets are a favorite topic. Historically September has underperformed every other month of the year, offering a mean return of -.56% on the S&P 500 index from 1950 to 2012; 54% of Septembers were bearish over the same period – more than any other month. Empirically, September...

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7Twelve Back-test

August 14, 2013
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7Twelve Back-test

I recently came across the The 7Twelve Portfolio strategy. I like the catchy name and the strategy report, “An Introduction to 7Twelve.” Following is some additional info about the The 7Twelve Portfolio strategy that I found useful: On Israelsen’s 7Twelve Portfolio The 7/12 Allocation Today I want to show how to back-test the The 7Twelve

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Stocks and Bonds Behavior by Decade

August 13, 2013
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Stocks and Bonds Behavior by Decade

I struggled with whether or not I should even post this.  It is raw and ugly, but it might help somebody out there.   I might use this as a basis for some more gridSVG posts, but I do not think I have the motivation to finish the analysi...

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Calendar-based Sector Strategy

August 5, 2013
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Calendar-based Sector Strategy

I recently came across the Kaeppel’s Sector Seasonality Strategy which is described in Kaeppel’s Corner: Sector Seasonality and updated in Kaeppel’s Corner: Get Me Back, Clarence. Today I want to show how to back-test the Kaeppel’s Sector Seasonality Strategy using the Systematic Investor Toolbox. Following are the strategy rules: Buy Fidelity Select Technology (FSPTX) at

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Stop Loss

July 29, 2013
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Stop Loss

Today I want to share and present an example of the flexible Stop Loss functionality that I added to the Systematic Investor Toolbox. Let’s examine a simple Moving Average Crossover strategy: Buy is triggered once fast moving average crosses above the slow moving average Sell is triggered once fast moving average crosses below the slow

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Whilst reading John Hempton’s post on shorting $HLF I…

July 27, 2013
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Whilst reading John Hempton’s post on shorting $HLF I…

only the most active trading days $HLF (HerbaLife weight-loss supplements / MLM) $HLF regular history big loss days and big volume days for $HLF. "Ackman" should instead read "Einhorn".Whilst reading John Hempton’s post on shorting $HLF I decided to follow along in quantmod. Bronte Capital: It was the night before Christmas… falsifying Bill Ackman’s...

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ggplot2 with Noam Ross theme

July 26, 2013
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ggplot2 with Noam Ross theme

When I first saw Noam Ross' blog post "The null model for age effects with overdispersed infection", I immediately liked the look of his ggplot2 graphs. I was even more delighted when I discovered that he has made his theme available on github. Even though I am all into rCharts, I still love a beautiful publication...

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