425 search results for "Quantmod"

When is a Backtest Too Good to be True? Part Two.

September 19, 2015
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In the previous post, I went through a simple exercise which, to me, clearly demonsrtates that 60% out of sample guess rate (on daily basis) for S&P 500 will generate ridiculous returns. From the feedback I got, it seemed that my example was somewhat unconvincing. Let’s dig a bit further then. Let’s add Sharpe ratio The post

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Reading Financial Time Series Data with R

September 17, 2015
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Reading Financial Time Series Data with R

by Joseph Rickert In a recent post focused on plotting time series with the new dygraphs package, I did not show how easy it is to read financial data into R. However, in a thoughtful comment to the post, Achim Zeileis pointed out a number of features built into the basic R time series packages that everyone ought to...

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When is a Backtest Too Good to be True?

September 9, 2015
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One statistic which I find useful to form a first impression of a backtest is the success/winning percentage. Since it can mean different things, let’s be more precise: for a strategy over daily data, the winning percentage is the percentage of the days on which the strategy had positive returns (in other words, the strategy The post

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Introduction to Hypothesis Driven Development — Overview of a Simple Strategy and Indicator Hypotheses

September 3, 2015
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Introduction to Hypothesis Driven Development — Overview of a Simple Strategy and Indicator Hypotheses

This post will begin to apply a hypothesis-driven development framework (that is, the framework written by Brian Peterson on how … Continue reading →

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Yahoo Finance (CSI) Data Quirks. Or Why is the ROC not Stable?

September 1, 2015
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Yahoo Finance (CSI) Data Quirks. Or Why is the ROC not Stable?

Rotational strategies on ETFs have been a common occurrence on this blog, and I have been using something similar for real life trading for about two years now. Readers of this blog may have also noticed concerns about the stability of the computations of such strategies. At the end it turned out be a quirk The post

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I’m Back, A New Harry Long Strategy, And Plans For Hypothesis-Driven Development

August 25, 2015
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I’m Back, A New Harry Long Strategy, And Plans For Hypothesis-Driven Development

I’m back. Anyone that wants to know “what happened at Graham”, I felt there was very little scaffolding/on-boarding, and Graham’s … Continue reading →

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Where Does the S&P 500 Stand?

August 22, 2015
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Where Does the S&P 500 Stand?

Last week was brutal for pretty much all markets. Surprisingly, it was bad even for the US dollar. The sharp and straight downward move was reminiscent of the descent of 2011. It’s time to review where does the major index stands from technical point of view. Let’s start with a visual inspection. Clearly the 200-day The post

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Importing Data Into R – Part Two

August 18, 2015
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Importing Data Into R – Part Two

In this follow-up tutorial of This R Data Import Tutorial Is Everything You Need-Part One, DataCamp continues with its comprehensive, yet easy tutorial to quickly import data into R, going from simple, flat text files to the more advanced SPSS and SAS files. As a lot of our readers noticed correctly from the first post, The post

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How to Design Quant Trading Strategies Using R?

July 30, 2015
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How to Design Quant Trading Strategies Using R?

This blog covers in brief the concept of strategy back-testing using R. Before dwelling into the trading jargons using R let us spend some time understanding what R is. R is an open source. There are more than 4000 add on packages,18000 plus members of LinkedIn’s group and close to 80 R Meetup groups currently... The post

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Trading Moving Averages with Less Whipsaws

June 21, 2015
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Using a simple moving average to time markets has been a successful strategy over a very long period of time. Nothing to brag home about, but it cuts the drawdown of a buy and hold by about a half, sacrificing less than 1% of the CAGR in the process. In two words, simple yet effective. The post

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