66 search results for "blotter"

Applying Tradeblotter’s Nice Work Across Manager Rather than Time

January 28, 2013
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Applying Tradeblotter’s Nice Work Across Manager Rather than Time

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...

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R package Blotter

April 6, 2010
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R package Blotter

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

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Tactical asset allocation using blotter

November 18, 2009
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Tactical asset allocation using blotter

blotter is an R package that tracks the P&L of your trading systems (or simulations), even if your portfolio spans many security types and/or currencies. This post uses blotter to track a simple two-ETF trading system. The contents of this post b...

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Beat the Market with Meucci and Markowitz

January 5, 2017
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Beat the Market with Meucci and Markowitz

  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...

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Quantitative Trading Strategy Using R: A Step by Step Guide

January 20, 2016
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Quantitative Trading Strategy Using R: A Step by Step Guide

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

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FOMC Cycle Trading Strategy in Quantstrat

March 14, 2015
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FOMC Cycle Trading Strategy in Quantstrat

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...

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A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

December 23, 2014
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A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

In this post, I’ll attempt to address a question I’ve seen tossed around time and again regarding quantstrat. “How do … Continue reading →

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Find the last day of the month

October 17, 2014
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Find the last day of the month

I have different sets of monthly data that I want to align and evaluate once a month. The different sources report the timestamp of the monthly data differently – one reports the date without the day, another as the last business day, and another as the last day of the month. For what I want

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Aggregate portfolio contributions through time

September 25, 2014
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Aggregate portfolio contributions through time

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

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PerformanceAnalytics update released to CRAN

September 16, 2014
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PerformanceAnalytics update released to CRAN

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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