445 search results for "quantmod"

Portfolio Trading

November 12, 2012
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Portfolio Trading

In finance and investing the term portfolio refers to the collection of assets one owns. Compared to just holding a single asset at a time a portfolio has a number of potential benefits. A universe of asset holdings within the … Continue reading →

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Back-testing Rules

November 10, 2012
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Back-testing Rules

Nowadays there are many trading strategies shared online with reproducible, decent, results. Have you asked yourself, if the strategies are so profitable, why the author bother even sharing them, when the path to riches is clear – just implement the strategy and use it? There are people, of course, who are fascinated and challenged by

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Regime Detection

October 31, 2012
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Regime Detection

Regime Detection comes handy when you are trying to decide which strategy to deploy. For example there are periods (regimes) when Trend Following strategies work better and there are periods when Mean Reversion strategies work better. Today I want to show you one way to detect market Regimes. To detect market Regimes, I will fit

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Pull Yahoo Finance Key-Statistics Instantaneously Using XML and XPath in R

October 29, 2012
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Pull Yahoo Finance Key-Statistics Instantaneously Using XML and XPath in R

This two-part blog post I published a day ago required key-stats from Yahoo Finance for all the companies in the control group I created for my research.  I wanted all the key-stats pulled, arranged in a data-frame and then present them side-...

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Replicating Krugman (Pt. 1)

October 27, 2012
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I'm a regular reader of Paul Krugman's NYT blog. A couple of months ago I decided to replicate some of the plots Paul published. At the time I was evaluating the quantmod package which seemed to made things easy. An easy startIn the first part I'll rep...

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A Greedy ARMA/GARCH Model Selection

October 26, 2012
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An idea that I have been toying for a while, has been to study the effect of a domain-specific optimization strategy in the ARMA+GARCH models. If you recall from this long tutorial, the implemented approach cycles through all models within a the specified ranges for the parameters and chooses the best model based on the

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Modeling Couch Potato strategy

October 25, 2012
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Modeling Couch Potato strategy

I first read about the Couch Potato strategy in the MoneySense magazine. I liked this simple strategy because it was easy to understand and easy to manage. The Couch Potato strategy is similar to the Permanent Portfolio strategy that I have analyzed previously. The Couch Potato strategy invests money in the given proportions among different

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Resurrect Posts on Japan and the Yen

October 22, 2012
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Resurrect Posts on Japan and the Yen

As the Yen and Japan continue to get more interesting in my mind, I just wanted to resurrect some posts that I have done on Japan and the Yen and sort them by my favorites. Japan Trade by Geographic RegionJapanese Trade and the YenJapan Intentional or...

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Company Valuation using Discounted Cash Flows

October 18, 2012
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Company Valuation using Discounted Cash Flows

Today I want to show a simple example of how we can value a company using Discounted Cash Flow (DCF) analysis. The idea is to compute the company’s Intrinsic Value based on the discounted future cash-flows. To compute future cash-flows I will use the historical Free Cash Flow growth rate. To compute present value of

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Permanent Portfolio – Simple Tools

October 4, 2012
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Permanent Portfolio – Simple Tools

I have previously described and back-tested the Permanent Portfolio strategy based on the series of posts at the GestaltU blog. Today I want to show how we can improve the Permanent Portfolio strategy perfromance using following simple tools: Volatility targeting Risk allocation Tactical market filter First, let’s load the historical prices for the stocks(SPY), gold(GLD),

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