425 search results for "quantmod"

Wavelet Spectrogram Non-Stationary Financial Time Series analysis using R (TTR/Quantmod/dPlR) with USDEUR

April 28, 2010
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Wavelet Spectrogram Non-Stationary Financial Time Series analysis using R (TTR/Quantmod/dPlR) with USDEUR

I've been doing some research lately regarding types of spectral imaging and decomposition techniques that apply to non-stationary signals. As mentioned earlier, one of the major problems with the simple fourier analysis is that the basis functions ext...

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Modified Donchian Band Trend Follower using R, Quantmod, TTR -Part 2: Parameter Sweep Sensitivity over long run

March 24, 2010
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Modified Donchian Band Trend Follower using R, Quantmod, TTR  -Part 2: Parameter Sweep Sensitivity over long run

Here is a small update to the Donchian Channel type system I displayed in the last post.Fig 1. Sensitivity of Net Combined L/S Gain to parameter n.Using the S&P500 index as a proxy for the market, a simulation was run over the lifetime of the index. No...

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Modified Donchian Band Trend Follower using R, Quantmod, TTR

March 12, 2010
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Modified Donchian Band Trend Follower using R, Quantmod, TTR

I've been toying around with the examples given on the FOSS trading site for some of the great work they've put together in the Quantmod and TTR packages. Those viewers who are looking for a nice (and free) backtesting suite to possibly complement s...

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Fundamental and Technical Analysis of Shares Exercises

August 31, 2016
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Fundamental and Technical Analysis of Shares Exercises

In this set of exercises we shall explore possibilities for fundamental and technical analysis of stocks offered by the quantmod package. If you don’t have the package already installed, install it using the following code: install.packages("quantmod") and load it into the session using the following code: library("quantmod") before proceeding. Answers to the exercises are available

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Dual axes time series plots with various more awkward data

August 27, 2016
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Dual axes time series plots with various more awkward data

In my most recent blog post I introduced the dualplot() R function, which allows you to create time series plots with two different scales on the vertical axes in a way that minimises the potential problems of misinterpretation. See that earlier post ...

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Shorting at High: Algo Trading Strategy in R

August 11, 2016
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Shorting at High: Algo Trading Strategy in R

By Milind Paradkar Milind began his career in Gridstone Research, building earnings models and writing earnings notes for NYSE listed companies, covering Technology and REITs sectors. Milind has also worked at CRISIL and Deutsche Bank, where he was involved in modeling of Structured Finance deals covering Asset Backed Securities (ABS), and Collateralized Debt Obligations (CDOs)... The post Shorting...

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Candlestick charts using Quandl and Plotly

July 19, 2016
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In this post we’ll show how to create candle stick charts using the new plotly 4.0 syntax. You can refer to this older post as well. This time we’ll use the Quandl package to retrieve stock data. See here for more details.

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An Introoduction to Portfolio Component Conditional Value At Risk

July 12, 2016
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An Introoduction to Portfolio Component Conditional Value At Risk

This post will introduce component conditional value at risk mechanics found in PerformanceAnalytics from a paper written by Brian Peterson, … Continue reading →

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A Return.Portfolio Wrapper to Automate Harry Long Seeking Alpha Backtests

June 16, 2016
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A Return.Portfolio Wrapper to Automate Harry Long Seeking Alpha Backtests

This post will cover a function to simplify creating Harry Long type rebalancing strategies from SeekingAlpha for interested readers. As … Continue reading →

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Common R Programming Errors Faced by Beginners

June 6, 2016
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Common R Programming Errors Faced by Beginners

There are two ways to write error-free programs; only the third one works. – Alan Perlis Error messages can be intimidating for novice coders, and sometimes even for the experienced ones. Trying to decipher the error can be a time-consuming task. In this issue we look at some of the common errors that you can... The post

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