Blog Archives

Creating a VIX Futures Term Structure In R From Official CBOE Settlement Data

April 27, 2017
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Creating a VIX Futures Term Structure In R From Official CBOE Settlement Data

This post will be detailing a process to create a VIX term structure from freely available CBOE VIX settlement data … Continue reading →

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Nuts and Bolts of Quantstrat, Part V

April 13, 2017
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Nuts and Bolts of Quantstrat, Part V

This post will be about pre-processing custom indicators in quantstrat–that is, how to add values to your market data that … Continue reading →

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Ehlers’s Autocorrelation Periodogram

February 15, 2017
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Ehlers’s Autocorrelation Periodogram

This post will introduce John Ehlers’s Autocorrelation Periodogram mechanism–a mechanism designed to dynamically find a lookback period. That is, the … Continue reading →

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The Problem With Depmix For Online Regime Prediction

October 5, 2016
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The Problem With Depmix For Online Regime Prediction

This post will be about attempting to use the Depmix package for online state prediction. While the depmix package performs … Continue reading →

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An Introoduction to Portfolio Component Conditional Value At Risk

July 12, 2016
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An Introoduction to Portfolio Component Conditional Value At Risk

This post will introduce component conditional value at risk mechanics found in PerformanceAnalytics from a paper written by Brian Peterson, … Continue reading →

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A Return.Portfolio Wrapper to Automate Harry Long Seeking Alpha Backtests

June 16, 2016
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A Return.Portfolio Wrapper to Automate Harry Long Seeking Alpha Backtests

This post will cover a function to simplify creating Harry Long type rebalancing strategies from SeekingAlpha for interested readers. As … Continue reading →

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How To Compute Turnover With Return.Portfolio in R

May 11, 2016
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How To Compute Turnover With Return.Portfolio in R

This post will demonstrate how to take into account turnover when dealing with returns-based data using PerformanceAnalytics and the Return.Portfolio … Continue reading →

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Create Amazing Looking Backtests With This One Wrong–I Mean Weird–Trick! (And Some Troubling Logical Invest Results)

April 22, 2016
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Create Amazing Looking Backtests With This One Wrong–I Mean Weird–Trick! (And Some Troubling Logical Invest Results)

This post will outline an easy-to-make mistake in writing vectorized backtests–namely in using a signal obtained at the end of … Continue reading →

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Are R^2s Useful In Finance? Hypothesis-Driven Development In Reverse

April 18, 2016
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Are R^2s Useful In Finance? Hypothesis-Driven Development In Reverse

This post will shed light on the values of R^2s behind two rather simplistic strategies — the simple 10 month … Continue reading →

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On The Relationship Between the SMA and Momentum

January 13, 2016
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On The Relationship Between the SMA and Momentum

Happy new year. This post will be a quick one covering the relationship between the simple moving average and time … Continue reading →

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