Low volatility and minimum variance strategies have been getting a lot of attention lately due to their outperformance in recent years. Let’s take a look at how we can incorporate this low volatility effect into a monthly rotational strategy with a basket of ETFs. Performance Summary from Low Volatility Test in quantstrat Starting Equity: 100,000 … Continue reading...
Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos Fotis Quantitative Finance & Technical Trading Ichimoku Clouds R Code Trading
Download the full program here Here you can find an R Code for Ichimoku Clouds analysis and trading. Have fun! # The function for computing the Ichimoku cloud ichimoku <- function(data,pars) { # REMEMBER THAT THE DATA...
We love them, we hate them: RANKINGS!Rankings are an inevitable tool to keep the human rat race going. In this regard I'll pick up my last two posts (HERE & HERE) and have some fun with it by using it to analyse R-Bloggers' web presence. I will use...
In honor of Twitter making the decision to come to Detroit, here’s a special post on how I became a Twitter user. … At 3:30pm my wife called me. There was a shooting where my brother-in-law works at UPMC Western...
If equity markets suddenly sprang into existence now, would we create market indices? I’m doubtful. Why an index? The Dow Jones Industrial Average was born in 1896. This was when computers were humans with adding machines (but they did do parallel processing). At that point boiling “the market” down to a single number had value. … Continue reading...
I’m writing a book proposal based on the lecture notes for my R for Quants workshop I conducted at the …
I recently stumbled upon a fascinating dataset which contains digitised information from the log books of ships (mostly from Britain, France, Spain and The Netherlands) sailing between 1750 and 1850. The creation of this dataset was completed as part of the Climatological Database for the World’s Oceans 1750-1850 (CLIWOC) project. The routes are plotted from the ...
Google has again accepted R as a mentoring organization for Google Summer of Code. R has successfully participated in GSoC in multiple previous years, and is excited to be returning this year as a mentoring organization. In a nutshell: If you are a student looking to write some code for the R community, Google is willing to pay you...
The missing link between beta and volatility is correlation. Previously “4 and a half myths about beta in finance” attempted to dislodge several myths about beta, including that beta is about volatility. “Low (and high) volatility strategy effects” showed a plot of beta versus volatility for stocks in the S&P 500 for estimates from 2006. … Continue reading...
Does minimum variance act differently from low volatility? Do either of them act like low beta? What about high volatility versus high beta? Inspiration Falkenblog had a post investigating differences in results when using different strategies for low volatility investing. Here we look not at a single portfolio of a given strategy over time, but … Continue reading...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
