Monthly Archives: May 2009

R/Finance 2009 Presentations Online

May 4, 2009
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R/Finance 2009 Presentations Online

Posted to the R-SIG-Finance mailing list today:For those who missed it, the slides for the R/Finance 2009 tutorialsand presentations are now available on RinFinance.comhttp://www.RinFinance.com/presentationsWe want to thank everyone who traveled to Chi...

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Colouring a 3D plot according to z-values

May 3, 2009
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Colouring a 3D plot according to z-values

Here is a script that colors a 3D plot according to the z value (height) of each point. persp.withcol <- function(x,y,z,pal,nb.col,...,xlg=TRUE,ylg=TRUE) { colnames(z) <- y rownames(z) <- x nrz <- nrow(z) ncz <- ncol(z) color <- pal(nb.col) zfacet <- z + z + z + z facetcol <- cut(zfacet, nb.col) par(xlog=xlg,ylog=ylg)

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An algorithm to find local extrema in a vector

May 3, 2009
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An algorithm to find local extrema in a vector

I spend some time looking for an algorithm to find local extrema in a vector (time series). The solution I used is to “walk” through the vector by step larger than 1, in order to retain only one value even when the values are very noisy (see the picture at the end of the post).

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Brad Mehldau at the CSO

Just got home from a wonderful concert by Brad Mehldau at the CSO. This was long overdue as I kept reading about Mehldau. And even though he performs quite regularly around here, I had never seen him. Big mistake. The first set was performed as a (strictly acoustic) trio with Larry Grenadier on bass and Jeff Ballard on drums. After several compositions...

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RSI(2) with Position Sizing

May 1, 2009
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RSI(2) with Position Sizing

Though it's more than two weeks later, here's the second post in the series that will demonstrate how to build, test, and implement a trading strategy with R. You can find the first post here.The first post replicated this simple RSI(2) strategy from ...

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