444 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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tidyquant 0.3.0: ggplot2 Enhancements, Real-Time Data, and More

January 21, 2017
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tidyquant 0.3.0: ggplot2 Enhancements, Real-Time Data, and More

tidyquant, version 0.3.0, is a pretty sizable release that includes a little bit for everyone, including new financial charting and moving average geoms for use with ggplot2, a new tq_get get option called "key.stats" for retrieving real-time stock inf...

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Speed Up Your Code Part 2: Parallel Processing Financial Data with multidplyr + tidyquant

January 20, 2017
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Speed Up Your Code Part 2: Parallel Processing Financial Data with multidplyr + tidyquant

Since my initial post on parallel processing with multidplyr, there have been some recent changes in the tidy eco-system: namely the package tidyquant, which brings financial analysis to the tidyverse. The tidyquant package drastically increase the amo...

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December 2016 Package Picks

January 11, 2017
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by Joseph Rickert Last month, 217 new packages were submitted to CRAN. By my count this was the highest monthly value recorded for the past nine years. Below, are brief descriptions of fifty-two of these new-for-December packages grouped into six categories: Data, Data Science, Financial Analysis, Statistics, Utilities and Visualizations. The Financial Analysis category is

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tidyquant 0.2.0: Added Functionality for Financial Engineers and Business Analysts

January 7, 2017
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tidyquant 0.2.0: Added Functionality for Financial Engineers and Business Analysts

tidyquant, version 0.2.0, is now available on CRAN. If your not already familiar, tidyquant integrates the best quantitative resources for collecting and analyzing quantitative data, xts, zoo, quantmod and TTR, with the tidy data infrastructure of the ...

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How to download and organize financial data from yahoo finance for several tickers

January 2, 2017
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How to download and organize financial data from yahoo finance for several tickers

Using package BatchGetSymbols - One of the great things of working in finance is that financial datasets are freely available from sources such as Google and Yahoo Finance. This is an excelent feature for building up to date conte...

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tidyquant: Bringing Quantitative Financial Analysis to the tidyverse

December 31, 2016
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tidyquant: Bringing Quantitative Financial Analysis to the tidyverse

My new package, tidyquant, is now available on CRAN. tidyquant integrates the best quantitative resources for collecting and analyzing quantitative data, xts, quantmod and TTR, with the tidy data infrastructure of the tidyverse allowing for seamless in...

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Speed Up Your Code: Parallel Processing with multidplyr

December 17, 2016
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Speed Up Your Code: Parallel Processing with multidplyr

There’s nothing more frustrating than waiting for long-running R scripts to iteratively run. I’ve recently come across a new-ish package for parallel processing that plays nicely with the tidyverse: multidplyr. The package has saved me countless ho...

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