June 2013

Portfolio Optimization

June 27, 2013 | 0 Comments

Changing tracks, I want to now look at portfolio optimization. Although this is very different from developing trading strategies, it is useful to know how to construct minimum-variance portfolios and the like, if only for curiosity’s sake. Also, just a … Continue reading → [Read more...]

Parameter Optimization for Strategy 2

June 27, 2013 | 0 Comments

Now, let’s try some parameter optimisation for the SMA strategy! There probably are functions out there on R which I can use to do this, but I figured it would take me as long to actually code it as it … Continue reading → [Read more...]

Fun with Fremont Bridge Bicyclists

June 27, 2013 | 0 Comments

Given the title of this post and its proximity to the Solstice, you will be disappointed to know that I am not writing about naked bicyclists. I apologize for any false hope I may have instilled in you.On October 11th, 2012, the city of Seattle, WA beg... [Read more...]

R Package Versioning

June 27, 2013 | 0 Comments

This should be what it feels like to bump the major version of your software: For me, the main reason for package versioning is to indicate the (slight or significant) differences among different versions of the same package, otherwise we can keep o... [Read more...]

?help! Instant R search on Rdocumentation.org

June 26, 2013 | 0 Comments

Last week, I was working on an educational R project when I needed to consult the help files of different R packages and functions online. After doing some Google searches, it appeared to me that finding an easy-to-use tool was not as simple as I had expected. The closest that ... [Read more...]

R snippets for vim-SnipMate

June 26, 2013 | 0 Comments

Vim is my editor of choice, reasonable so, whether it be for coding C++, LaTeX or even R. I’ve used RStudio, which even has a Vim-Mode, but I still prefer to use Vim. Vim has it’s own R plugin, namely Vim-R-plugin, but this post is about snippets. SnipMate ... [Read more...]

Strategy 2: Riding the SMA Curve

June 26, 2013 | 0 Comments

This is the least complicated trend strategy in existance. You buy and hold the security as long as the security price is above a XXX-Day Simple Moving Average (SMA), and you can short it if it is below the SMA … Continue reading → [Read more...]

Strategy 1 Extended (Part 2)

June 26, 2013 | 0 Comments

We can extend our strategy and make it more profitable by incorporating short selling. Our annualized volatility will go up, but it will be interesting to see what happens to the annualized return. This is a very simple modification to … Continue reading → [Read more...]

Strategy 1 Extended (Part 1)

June 26, 2013 | 0 Comments

Like I said in my previous post, there are two ways I could think of, off the top of my head, to implement a 2-day or 5-day extension to the previous strategy. One way would be just a simple extension … Continue reading → [Read more...]

Trading Strategy 1: What goes up, goes up…

June 26, 2013 | 0 Comments

As I said earlier, my main task at my internship is to hunt for profitable strategies. As you can imagine, strategies can range from the exceedingly simple and easy to implement, to the crazily complex. Let’s start out with one … Continue reading → [Read more...]

Looking out for volatility

June 26, 2013 | 0 Comments

Let’s do an easy experiment. Lets caluclate the 25-day rolling volatility of the S&P 500 from 2007 onwards. 1-Get the data: getSymbols(‘SPY’,from=’2007/01/01′) 2-Run the volatility function from the package TTR (comes along with quantmod): vol=volatility(SPY,n=25,N=252,calc=’close’) #n=25 means we want 25 … Continue reading → [Read more...]

Using R: Two plots of principal component analysis

June 26, 2013 | 0 Comments

PCA is a very common method for exploration and reduction of high-dimensional data. It works by making linear combinations of the variables that are orthogonal, and is thus a way to change basis to better see patterns in data. You either do spectral decomposition of the correlation matrix or singular ... [Read more...]

Technical(and not technical) strategy testing

June 25, 2013 | 0 Comments

I got "hooked" on OOP approach of R in particular reference classes. And after my last little project on option scenario analysis I reconstructed my messy technical strategy testing code.Now to begin I would like to reason why I have done this while there exists a nice "blotter" and "...
[Read more...]

Natural language processing tutorial

June 25, 2013 | 0 Comments

Introduction This will serve as an introduction to natural language processing. I adapted it from slides for a recent talk at Boston Python. We will go from tokenization to feature extraction to creating a model using a machine learning algorithm. The goal is to provide a reasonable baseline on top ... [Read more...]

My talk at Boston Python

June 25, 2013 | 0 Comments

I just gave a talk at Boston Python about natural language processing in general, and edX ease and discern in specific. You can find the presentation source here, and the web version of it here. There is a video of it here. Nelle Varoquaux and Micha... [Read more...]

rClr: low level access to .NET from R

June 25, 2013 | 0 Comments

rClr is a package to access arbitrary .NET code seamlessly. The "CLR" acronym part of the package name stands for Common Language Runtime. C# and R being languages I regularly use, I have felt the need for better interoperability between these for a fe... [Read more...]
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