392 search results for "quantmod"

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

July 27, 2013
By
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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Stochastic Oscillator

July 18, 2013
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Stochastic Oscillator

I came across the link to the John Ehlers paper: Predictive Indicators for Effective Trading Strategies, while reading the Dekalog Blog. John Ehlers offers a different way to smooth prices and incorporate the new filter into the oscillator construction. Fortunately, the EasyLanguage code was also provided and i was able to translate it into R.

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Longer-history back-tests

July 11, 2013
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Longer-history back-tests

One of the important steps of evaluating new trading idea or strategy is to see how it behaved historically (i.e. create back-test and examine the equity curve in different economic and market conditions) However, creating a long back-test is usually problematic because most ETFs do not have a long price history. One way to alleviate

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