358 search results for "quantmod"

Cluster Portfolio Allocation

February 11, 2013
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Cluster Portfolio Allocation

Today, I want to continue with clustering theme and show how the portfolio weights are determined in the Cluster Portfolio Allocation method. One example of the Cluster Portfolio Allocation method is Cluster Risk Parity (Varadi, Kapler, 2012). The Cluster Portfolio Allocation method has 3 steps: Create Clusters Allocate funds within each Cluster Allocate funds across

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An Example of Seasonality Analysis

February 3, 2013
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An Example of Seasonality Analysis

Today, I want to demonstrate how easy it is to create a seasonality analysis study and produce a sample summary report. As an example study, I will use S&P Annual Performance After a Big January post by Avondale Asset Management. The first step is to load historical prices and find Big Januaries. All the hard

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Tracking Number of Historical Clusters

January 26, 2013
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Tracking Number of Historical Clusters

In the prior post, Optimal number of clusters, we looked at methods of selecting number of clusters. Today, I want to continue with clustering theme and show historical Number of Clusters time series using these methods. In particular, I will look at the following methods of selecting optimal number of clusters: Minimum number of clusters

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Weekend Reading – S&P 500 Visual History

January 19, 2013
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Weekend Reading – S&P 500 Visual History

Michael Johnston at the ETF Database shared a very interesting post with me over the holidays. The S&P 500 Visual History – is an interactive post that shows the top 10 components in the S&P 500 each year, going back to 1980. On a different note, Judson Bishop contributed a plota.recession() function to add recession

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Optimal number of clusters

January 16, 2013
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Optimal number of clusters

In the last post, Examples of Current Major Market Clusters, we looked at clustering Major Markets into 4 groups based on their correlations in 2012. Today, I want to continue with clustering theme and discuss methods of selecting number of clusters. I will look at the following methods of selecting optimal number of clusters: Minimum

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Examples of Current Major Market Clusters

January 11, 2013
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Examples of Current Major Market Clusters

I want to follow up and provide a bit more details to the excellent “A Visual of Current Major Market Clusters” post by David Varadi. Let’s first load historical for the 10 major asset classes: Gold ( GLD ) US Dollar ( UUP ) S&P500 ( SPY ) Nasdaq100 ( QQQ ) Small Cap (

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Adding Comments to CSV Files

January 11, 2013
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Various of my R scripts produce csv files as output. For instance, I run a lengthy SVM back test, the end result is a csv file containing the indicator with some additional information. The problem is that over time one loses track what exactly the file contained and what parameters were used to produce it.

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Does anything NOT beat the GARCH(1,1)?

January 7, 2013
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Does anything NOT beat the GARCH(1,1)?

In their paper on GARCH model comparison, Hansen and Lunde (2005) present evidence that among 330 different models, and using daily data on the DM/$ rate and IBM stock returns, no model does significantly better at predicting volatility (based on a realized measure) than the GARCH(1,1) model, for an out of sample period of about

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Does anything NOT beat the GARCH(1,1)?

January 7, 2013
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Does anything NOT beat the GARCH(1,1)?

In their paper on GARCH model comparison, Hansen and Lunde (2005) present evidence that among 330 different models, and using daily data on the DM/$ rate and IBM stock returns, no model does significantly better at predicting volatility (based on a realized measure) than the GARCH(1,1) model, for an out of sample period of about

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2012 Summary and 2013 Plans

January 6, 2013
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2012 Summary and 2013 Plans

2012 was a very important year for me. It was my first full year of trading only pure quantitative strategies. It was a very successful year as well, despite the fact that the S&P 500 returned 16% (including dividends) – a tough to beat benchmark. The strategy I use on the SPY, for which I

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