465 search results for "quantmod"

Duck typing with quantmod

February 4, 2011
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Duck typing with quantmod

This is a short example of using duck typing in a guard statement in the futile.paradigm. We are implementing a …Continue reading »

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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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R Weekly Bulletin Vol – VI

April 29, 2017
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R Weekly Bulletin Vol – VI

This week’s R bulletin will cover topics like how to parse milliseconds in R, how to format dates and method to extract specific parts of date and time. Hope you like this R weekly bulletin. Enjoy reading! Shortcut Keys 1. Indent – hit Tab button at beginning of the line 2. Outdent – Shift+Tab 3. Go... The post R...

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Overcome the Fear of Programming

April 27, 2017
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Overcome the Fear of Programming

By Milind Paradkar You say you never programmed in life before? Never heard of words like Classes and Objects, Dataframe, Methods, Inheritance, Loops? Are you fearful of programming, huh? Don’t be! Programming can be fun, stimulating, and once you start and learn to program many of you would love spending hours programming different strategies; you would... The post Overcome...

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R Weekly Bulletin Vol – V

April 21, 2017
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R Weekly Bulletin Vol – V

This week’s R bulletin will cover topics like how to avoid for-loops, add or shorten an existing vector, and play a beep sound in R. We will also cover functions like env.new function, readSeries, and the with and within functions. Hope you like this R weekly bulletin. Enjoy reading! Shortcut Keys 1. To stop debugging... The post R...

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R Best Practices: R you writing the R way!

April 13, 2017
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R Best Practices: R you writing the R way!

By Milind Paradkar Any programmer inevitably writes tons of codes in his daily work. However, not all programmers inculcate the habit of writing clean codes which can be easily be understood by others. One of the reasons can be the lack of awareness among programmers of the best practices followed in writing a program. This... The post R...

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Transaction Costs are Not an Afterthought; Transaction Costs in quantstrat

April 10, 2017
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Transaction Costs are Not an Afterthought; Transaction Costs in quantstrat

In this article we see why modelling transaction costs matters and how to do so using quantstrat.

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Forecasting Markets using eXtreme Gradient Boosting (XGBoost)

April 5, 2017
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Forecasting Markets using eXtreme Gradient Boosting (XGBoost)

By Milind Paradkar In recent years, machine learning has been generating a lot of curiosity for its profitable application to trading. Numerous machine learning models like Linear/Logistic regression, Support Vector Machines, Neural Networks, Tree-based models etc. are being tried and applied in an attempt to analyze and forecast the markets. Researchers have found that some... The post Forecasting...

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