Monthly Archives: May 2012

Backtesting Classical Technical Patterns

May 28, 2012
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Backtesting Classical Technical Patterns

In the last post, Classical Technical Patterns, I discussed the algorithm and pattern definitions presented in the Foundations of Technical Analysis by A. Lo, H. Mamaysky, J. Wang (2000) paper. Today, I want to check how different patterns performed historically using SPY. I will follow the rolling window procedure discussed on pages 14-15 of the

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End of May flotsam

May 28, 2012
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End of May flotsam

The end is near! At least the semester is coming to an end, so students have crazy expectations like getting marks back for assignments, and administrators want to see exam scripts. Sigh! What has been happening meanwhile in Quantum Forest? … Continue reading →

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The R-Podcast Episode 7: Best Practices for Workflow Management

May 28, 2012
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Hello everybody, I am finally back with a new episode! In this episode: Hardware issues, major update to RStudio, new forums, and discussion on managing your workflow for projects. I discuss useful functions for executing R scripts and saving/loading R objects for future sessions, and summarize different solutions for organizing R code based on task

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Optim, you’re doing it wrong?

May 28, 2012
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Optim, you’re doing it wrong?

Call me uncouth, but I like my TV loud, my beer cold and my optimization functions as simple as possible. Therefore, what I write in this blog post is very much from a layman’s perspective, and I am happy to be corrected on any fundamental errors. I have recently become interested in writing my own

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Industrial Statistics Seminars

May 28, 2012
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Andrea Spanò, founder and partner at Quantide, held two seminars about Industrial Statistics at the University of Bergamo. Process Capability Analysis and Gage R&R were topics of seminars. Registered Milano R net users can download presentations from this page.

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ICES and NAFO statistical areas viewed in Google Earth

May 28, 2012
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ICES and NAFO statistical areas viewed in Google Earth

On the ICES Spatial Facility webpage one can obtain a view of the ICES statistical areas. Now since the projection used is more than a bit misleading I was wandering how these statistical areas would look like in Google Earth. Thankfully the ...

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Again on polar/star/pie charts

May 28, 2012
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Again on polar/star/pie charts

Haven't had much time to devote to new visualisations, mostly because work and baby have taken the precedence.But I just wanted to take a few minutes to share the latest version of the script I showed last time.It now saves to a pdf file, but that's no...

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Jackknifing portfolio decision returns

May 28, 2012
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Jackknifing portfolio decision returns

A look at return variability for portfolio changes. The problem Suppose we make some change to our portfolio.  At a later date we can see if that change was good or bad for the portfolio return.  Say, for instance, that it helped by 16 basis points.  How do we properly account for variability in that … Continue reading...

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ABC+EL=no D(ata)

May 27, 2012
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ABC+EL=no D(ata)

It took us a loooong while but we finally ended up completing a paper on ABC using empirical likelihood (EL) that was started by me listening to Brunero Liseo’s tutorial in O’Bayes-2011 in Shanghai… Brunero mentioned empirical likelihood as a semi-parametric technique w/o much Bayesian connections and this got me thinking

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The aesthetics of error bars

May 27, 2012
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The aesthetics of error bars

This blog and my other main blog (the companion blog for my book) are now syndicated via R-bloggers (posts tagged R only) and statsblogs.com. The latter is a relatively new blog aggregator but looks to have some interesting content. R-bloggers it quite...

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