Ever since I saw the very helpful distribution page first presented in Download and parse EDHEC hedge fund indexes, I have used it liberally. Now that it is has been functionalized (Visually Comparing Return Distributions), I thought I would amen...

How many times have you been disappointed by nice trading system, because neither trading cost or slippage or bid/ask spread were included into back-test results? Did you find difficult to back-test a portfolio in R or many portfolios with different stocks? Blotter package is supposed to solve these problems. In really – it is complicated. I

Introduction I am very excited to finally share some of my research exploring Meucci’s (Meucci (2005)) portfolio optimization methods, and how the resulting portfolios compare to the use of historical data. For those unfamiliar with Attilio Meucci, he runs an annual Advanced Risk and Portfolio Managment Bootcamp in New York City every summer. The … Continue...

In this post we will discuss about building a trading strategy 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... The post

Another hotly anticipated FOMC meeting kicks off next week, so I thought it would be timely to highlight a less well-known working paper, “Stock Returns over the FOMC Cycle”, by Cieslak, Morse and Vissing-Jorgensen (current draft June 2014). Its main result is:Over the last 20 years, the average excess return on stocks over Treasury bills follows a bi-weekly pattern...

The last CRAN release didn’t have much new functionality, but Ross Bennett and I have completely re-written the Return.portfolio function to fix some issues and make the calculations more transparent. The function calculates the returns of a portfolio given asset returns, weights, and rebalancing periods – which, although not rocket science, requires some diligence about it. Users of this

Version number 1.4.3541 of PerformanceAnalytics was released on CRAN today. If you’ve been following along, you’ll note that we’re altering our version numbering system. From here on out, we’ll be using a “major.cran-release.r-forge-rev” form so that when issues are reported it will be easier for us to track where they may have been introduced. Even

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