Since I debuted the stepwise correlation algorithm, I suppose the punchline that people want to see is: does it actually … Continue reading →

Part 2 of a series by Daniel Hanson, with contributions by Steve Su (author of the GLDEX package) Recap of Part 1 In our previous article, we introduced the four-parameter Generalized Lambda Distribution (GLD) and looked at fitting a 20-year set of returns from the Wilshire 5000 Index, comparing the results of two methods, namely the Method of Moments,...

by Daniel Hanson, with contributions by Steve Su (author of the GLDEX package). Part 1 of a series. Introduction As most readers are well aware, market return data tends to have heavier tails than that which can be captured by a normal distribution; furthermore, skewness will not be captured either. For this reason, a four parameter distribution such as...

The last CRAN release didn’t have much new functionality, but Ross Bennett and I have completely re-written the Return.portfolio function to fix some issues and make the calculations more transparent. The function calculates the returns of a portfolio given asset returns, weights, and rebalancing periods – which, although not rocket science, requires some diligence about it. Users of this

David Varadi has published two excellent posts / ideas about cooking with momentum: VIX-Adjusted Momentum Error-Adjusted Momentum I just could not resist the urge to share these ideas with you. Following is implementation using the Systematic Investor Toolbox. Please enjoy and share your ideas with David and myself. To view the complete source code for

At the recent R/Finance 2014 conference in Chicago I gave a talk on Smooth Transition AR models and a new package for estimating them called twinkle. In this blog post I will provide a short outline of the models and an introduction to the package and its features. Financial markets have a strong cyclical component

Today, I want to follow up with the Calendar Strategy: Option Expiry post. Let’s examine the importance of the FED meeting days as presented in the Fed Days And Intermediate-Term Highs post. Let’s dive in and examine historical perfromance of SPY during FED meeting days: Please note 100 day moving average filter above. If we

Today, I want to follow up with the Calendar Strategy: Month End post. Let’s examine the perfromance Option Expiry days as presented in the The Mooost Wonderful Tiiiiiiime of the Yearrrrrrrrr! post. First, I created two convenience functions for creating a calendar signal and back-testing calendar strategy: calendar.signal and calendar.strategy functions are in the strategy.r

Calendar Strategy is a very simple strategy that buys an sells at the predetermined days, known in advance. Today I want to show how we can easily investigate performance at and around Month End days. First let’s load historical prices for SPY from Yahoo Fiance and compute SPY perfromance at the month-ends. I.e. strategy will

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