For a client meeting, I struggled with how best to illustrate world markets since June 2008.  I used R to produce this, but I’m still not completely satisfied. Anyone have suggestions to improve? From TimelyPortfolio What I thought was inte...

When @quantfblog started following me on Twitter, I was delighted to discover their papers Papailias, Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical Trading Rule (September 11, 2011). Available at SSRN: http://ssrn.com/abstract...

In all my system development, I still have not been able to determine what universal underlying conditions significantly improve a system’s chances of outperforming buy-and-hold.  Also, I have found very little discussion, so maybe R with some h...

In search of better ways to post my R code, I finally discovered how GIST can help make my R blogging easier.  I know I am way behind, and I apologize to my loyal readers for my shortcomings.  Here is yesterday’s Magical Russell 2000 code u...

I have marveled at the magical Russell 2000 in Crazy RUT, but I am still surprised at its behavior through this selloff.  With a 20-day move of 30% (6% in one hour) and big outperformance to the developed and developing world, the Russell 2000 con...

After reading the fine article Style Analysis from Systematic Investor and What we can learn from Bill Miller and the Legg Mason Value Trust from Asymmetric Investment Returns, I thought I should combine the two in R with the FactorAnalytics package.&n...

THIS IS NOT INVESTMENT ADVICE AND WILL PROBABLY WIPE OUT ALL YOUR MONEY IF PURSUED.  While exploring utilities, I discovered a strange phenomenon that I have not quite thoroughly understood, but I attribute to the business cycle.  If I dust o...

After reading Bloomberg’s article, JPMorgan Chase & Co. and Goldman Sachs Group Inc., among the world’s biggest traders of credit derivatives, disclosed to shareholders that they have sold protection on more than $5 trillion of debt globally. ...

When we learn the efficient frontier, most are misled to believe that the frontier is static and unchanging.  However, we should have all learned by recent experience that the frontier is as volatile as the assets that construct it.  If we lo...

My family is off to DisneyWorld for a week, so there will not be any posts while I am there. However, I thought it would be interesting to see how Disney stock has done since my last trip September 2010.Maybe since Disney has done so poorly, the crowd...

On Twitter last night, I spotted @milktrader from www.algorithmzoo.com doing some range research on equity indexes.  I offered a tweet on the crazy Russell 2000 17% move over 7 days.  Within 10 minutes, I discovered a signal that worked very ...

The only thing that separates the United States from Europe and the notorious PIIGS is the generosity of Asian Central Banks who have been consistently quantitatively easing since 1998 (Join the Reserves). From TimelyPortfolio Without this generos...

In my mind, there are two very disparate views in the money management space: Markowitz style diversification and Faber style tactical allocation. I thought it would be fun to see what happens when we try to blend the two with an efficient frontier bet...

THIS IS NOT INVESTMENT ADVICE.  MY IDEAS PROBABLY WILL LOSE YOU MONEY, AND I WILL NOT LET YOU KNOW WHEN I CHANGE MY MIND. Bloomberg’s article “Asian Currencies Set for Worst Month Since 1997 Crisis Caused IMF Bailouts” demonstrates why with ...

THIS IS NOT INVESTMENT ADVICE.  IT IS JUST AN EXAMPLE AND WILL LIKELY LOSE LOTS OF MONEY IF YOU PURSUE WHAT IS DISCUSSED.  READER IS RESPONSIBLE FOR THEIR OWN GAINS OR LOSSES.  IF YOU ARE AN UNLIKELY WINNER, I WOULD LOVE TO HEAR YOUR STO...

Just to remind everyone, THIS IS NOT INVESTMENT ADVICE AND ANY ACTIONS TAKEN BASED ON THIS DISCUSSION WILL PROBABLY RESULT IN SIGNIFICANT LOSSES. We had fun with the ttrTests package in two previous posts ttrTests: Its Great Thesis and Incredible Poten...

I stumbled on the ttrTests R package as mentioned in my post ttrTests Experimentation.  I did not recognize its potential until I spent much more time absorbing the basis of the package—David St. John’s thesis Technical Analysis Based on Movin...

Now after Reporting Good Enough to Share, let’s use ggplot2 and PerformanceAnalytics to turn this into this From TimelyPortfolio I have been notified that the colors aren’t great.  How does everyone like this? R code (click to download)...

Sorry to all my faithful readers for my absence recently. I started a new job at a new firm, so my blogging has moved down the priority list but only temporarily. I am still committed to documenting my thoughts, especially finance and R thoughts as dis...

Let’s take Modest Modeest for Moving Average one step further and use it in a basic tactical allocation system using Vanguard funds.  THIS IS NOT INVESTMENT ADVICE AND VERY EASILY MIGHT CAUSE LARGE LOSSES.  VANGUARD FUNDS IMPOSE EARLY REDEM...