422 search results for "quantmod"

Magical Russell 2000

November 21, 2011
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Magical Russell 2000

I have marveled at the magical Russell 2000 in Crazy RUT, but I am still surprised at its behavior through this selloff.  With a 20-day move of 30% (6% in one hour) and big outperformance to the developed and developing world, the Russell 2000 con...

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Cross Pollination from Systematic Investor

November 20, 2011
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Cross Pollination from Systematic Investor

After reading the fine article Style Analysis from Systematic Investor and What we can learn from Bill Miller and the Legg Mason Value Trust from Asymmetric Investment Returns, I thought I should combine the two in R with the FactorAnalytics package.&n...

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Let the Lagging Lead

November 18, 2011
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Let the Lagging Lead

THIS IS NOT INVESTMENT ADVICE AND WILL PROBABLY WIPE OUT ALL YOUR MONEY IF PURSUED.  While exploring utilities, I discovered a strange phenomenon that I have not quite thoroughly understood, but I attribute to the business cycle.  If I dust o...

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Style Analysis

November 17, 2011
By
Style Analysis

During the final stage of asset allocation process we have to decide how to implement our desired allocation. In many cases we will allocate capital to the mutual fund managers who will invest money according to their fund’s mandate. Usually there is no perfect relationship between asset classes and fund managers. To determine the true

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Pre-computing a trading plan in parallel

November 11, 2011
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Pre-computing a trading plan in parallel

R version 2.14 introduced a new package, called parallel. This new package combines the functionality from two previous packages: snow and multicore. Since I was using multicore to parallelise my computations, I had to migrate to the new package and decided to publish some code. Often trading strategies are tested using the daily closing price

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Evolving Domestic Frontier

November 1, 2011
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Evolving Domestic Frontier

When we learn the efficient frontier, most are misled to believe that the frontier is static and unchanging.  However, we should have all learned by recent experience that the frontier is as volatile as the assets that construct it.  If we lo...

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Covered Call ETF Performance

October 31, 2011
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Covered Call ETF Performance

Covered call ETFs have become quite popular lately. Living in Canada, I have been holding a couple Canadian members of this family for the last few months. When I purchased them, I liked the benefits and since I wasn’t expecting any bull markets on the horizon, I bought some. These were new products back them,

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Netflix Post-mortem – How to detect Bubbles

October 26, 2011
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Netflix Post-mortem – How to detect Bubbles

Bubbles. I’m no expert in behavioral economics, but bubbles seem to be well understood (after they occur) although they seem hard to detect (at least in the eyes of outsiders and late bubble participants). This post won’t tell you how to avoid bubbles, but might give you some insight. I came across Minsky’s explanation of

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Two seasonal investors – R snippet

October 24, 2011
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Two seasonal investors – R snippet

In “A tale of 2 Seasonal Investors“, the Big Picture discusses the simple idea of comparing two simple investment approaches: being exposed to the market 6 months every year (from November to April), as opposed to investing in the other 6 months of every year (from May to October). Going back 50 years in the

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Volume by Price charts with R – first attempt

October 21, 2011
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Volume by Price charts with R – first attempt

I stumbled upon this chart in the R Graph Gallery, which got me thinking someone could come up with a Volume by Price chart using R. Such charts can be useful to determine support and resistance levels, as they illustrate amount of volume for different price ranges. Below is my first attempt at this. Note

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