Articles by systematicinvestor

Calendar-based Sector Strategy

August 5, 2013 | systematicinvestor

I recently came across the Kaeppel’s Sector Seasonality Strategy which is described in Kaeppel’s Corner: Sector Seasonality and updated in Kaeppel’s Corner: Get Me Back, Clarence. Today I want to show how to back-test the Kaeppel’s Sector Seasonality Strategy using the Systematic Investor Toolbox. Following are ... [Read more...]

Stop Loss

July 29, 2013 | systematicinvestor

Today I want to share and present an example of the flexible Stop Loss functionality that I added to the Systematic Investor Toolbox. Let’s examine a simple Moving Average Crossover strategy: Buy is triggered once fast moving average crosses above the slow moving average Sell is triggered once fast ... [Read more...]

Stochastic Oscillator

July 18, 2013 | systematicinvestor

I came across the link to the John Ehlers paper: Predictive Indicators for Effective Trading Strategies, while reading the Dekalog Blog. John Ehlers offers a different way to smooth prices and incorporate the new filter into the oscillator construction. Fortunately, the EasyLanguage code was also provided and i was able ... [Read more...]

Longer-history back-tests

July 11, 2013 | systematicinvestor

One of the important steps of evaluating new trading idea or strategy is to see how it behaved historically (i.e. create back-test and examine the equity curve in different economic and market conditions) However, creating a long back-test is usually problematic because most ETFs do not have a long ... [Read more...]

Update: Extending Commodity time series

July 3, 2013 | systematicinvestor

I showed an example of Extending Commodity time series back in 2012. Since then, the web site that I used to get the Thomson Reuters/Jefferies CRB Index data is no longer working. But there are a few alternatives: Thomson Reuters / Jefferies CRB Index. To get data, first select “TRJ/CRB ... [Read more...]

Loading Historical Stock Data

June 1, 2013 | systematicinvestor

Historical Stock Data is critical for testing your investment strategies. I illustrated all my back-test examples with getSymbols function from quantmod package. For example, following is a back-test comparison for a few portfolio allocation methods: The getSymbols function, from quantmod package, downloads historical stock prices from Yahoo Fiance. I often ... [Read more...]

R/Finance 2013 slides

May 20, 2013 | systematicinvestor

I have just returned from the R/Finance conference and want to share with you my slides and examples. The Cluster Risk Parity portfolio allocation method is an example of Cluster Portfolio Allocation methods that focuses on diversification or more specifically diversification of your risk bets. (i.e. portfolio that ... [Read more...]

Maximum Sharpe Portfolio

March 21, 2013 | systematicinvestor

Maximum Sharpe Portfolio or Tangency Portfolio is a portfolio on the efficient frontier at the point where line drawn from the point (0, risk-free rate) is tangent to the efficient frontier. There is a great discussion about Maximum Sharpe Portfolio or Tangency Portfolio at quadprog optimization question. In general case, finding ... [Read more...]

Cluster Risk Parity back-test

March 4, 2013 | systematicinvestor

In the Cluster Portfolio Allocation post, I have outlined the 3 steps to construct Cluster Risk Parity portfolio. At each rebalancing period: Create Clusters Allocate funds within each Cluster using Risk Parity Allocate funds across all Clusters using Risk Parity I created a helper function distribute.weights() function in strategy.r ... [Read more...]

Sector Rotation Back Test Shiny web application

February 18, 2013 | systematicinvestor

Today, I want to share the Sector Rotation Back Test application (code at GitHub). This is the last application in the series of examples (I have shared 5 examples) that will demonstrate the amazing Shiny framework and Systematic Investor Toolbox to analyze stocks, make back-tests, and create summary reports. The motivation ... [Read more...]

Market Filter Back Test Shiny web application

February 15, 2013 | systematicinvestor

Today, I want to share the Market Filter Back Test application (code at GitHub). This is the forth application in the series of examples (I plan to share 5 examples) that will demonstrate the amazing Shiny framework and Systematic Investor Toolbox to analyze stocks, make back-tests, and create summary reports. The ... [Read more...]

January Seasonality Shiny web application

February 14, 2013 | systematicinvestor

Today, I want to share the January Seasonality application (code at GitHub). This example is based on the An Example of Seasonality Analysis post. This is the third application in the series of examples (I plan to share 5 examples) that will demonstrate the amazing Shiny framework and Systematic Investor Toolbox ... [Read more...]

Multiple Stocks Plot Shiny web application

February 13, 2013 | systematicinvestor

Today, I want to share the Multiple Stocks Plot application (code at GitHub). This is the second application in the series of examples (I plan to share 5 examples) that will demonstrate the amazing Shiny framework and Systematic Investor Toolbox to analyze stocks, make back-tests, and create summary reports. The motivation ... [Read more...]

Single Stock Plot Shiny web application

February 12, 2013 | systematicinvestor

Today, I want to share the Single Stock Plot application (code at GitHub). This is the first application in the series of examples (I plan to share 5 examples) that will demonstrate the amazing Shiny framework and Systematic Investor Toolbox to analyze stocks, make back-tests, and create summary reports. The motivation ... [Read more...]

Cluster Portfolio Allocation

February 11, 2013 | systematicinvestor

Today, I want to continue with clustering theme and show how the portfolio weights are determined in the Cluster Portfolio Allocation method. One example of the Cluster Portfolio Allocation method is Cluster Risk Parity (Varadi, Kapler, 2012). The Cluster Portfolio Allocation method has 3 steps: Create Clusters Allocate funds within each Cluster ... [Read more...]

An Example of Seasonality Analysis

February 3, 2013 | systematicinvestor

Today, I want to demonstrate how easy it is to create a seasonality analysis study and produce a sample summary report. As an example study, I will use S&P Annual Performance After a Big January post by Avondale Asset Management. The first step is to load historical prices and ... [Read more...]

Tracking Number of Historical Clusters

January 26, 2013 | systematicinvestor

In the prior post, Optimal number of clusters, we looked at methods of selecting number of clusters. Today, I want to continue with clustering theme and show historical Number of Clusters time series using these methods. In particular, I will look at the following methods of selecting optimal number of ... [Read more...]

Weekend Reading – S&P 500 Visual History

January 19, 2013 | systematicinvestor

Michael Johnston at the ETF Database shared a very interesting post with me over the holidays. The S&P 500 Visual History – is an interactive post that shows the top 10 components in the S&P 500 each year, going back to 1980. On a different note, Judson Bishop contributed a plota.recession() function ... [Read more...]
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