444 search results for "quantmod"

The Kelly Criterion in Applied Portfolio Selection – Part 2

<a href="https://databait.github.io/#Previous-blog-post-on-the-Kelly-Criterion" class="headerlink" title="Previous b

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The Kelly Criterion in Applied Portfolio Selection

The Kelly Criterion in Applied Portfolio Selection

The Kelly CriterionDerived by John L. Kelly (1956) the criterion recommends a certain fraction of a bankroll to be put on a bet with positive expectations. Kelly showed that $$\frac{p \cdot (b+1) - 1}{b}$$ optimizes the growth rate of wealth if the gam...

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Replicating CRSP Volatility Decile Portfolios in R

December 7, 2016
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Replicating CRSP Volatility Decile Portfolios in R

  Introduction In this post, I provide R code that enables the replication of the Center for Research in Security Prices (CRSP) Volatiliy Deciles using Yahoo! Finance data. This post is related to my last blog post in that it will generate the CRSP low volatility decile portfolio, thereby facilitating the replication of the associated … Continue...

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Russell 2000 Quantitative Stock Analysis in R: Six Stocks with Amazing, Consistent Growth

November 29, 2016
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Russell 2000 Quantitative Stock Analysis in R: Six Stocks with Amazing, Consistent Growth

The Russell 2000 Small-Cap Index, ticker symbol: ^RUT, is the hottest index of 2016 with YTD gains of over 18%. The index components are interesting not only because of recent performance, but because the top performers either grow to become mid-cap stocks or are bought by large-cap companies at premium prices. This means selecting the best components...

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Reproducible Finance with R: A Sharpe Ratio Shiny App

November 18, 2016
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Reproducible Finance with R: A Sharpe Ratio Shiny App

by Jonathan Regenstein In this previous post, we used an R Notebook to grab the monthly return data on three stocks, build a portfolio, visualize portfolio performance, and calculate the Sharpe Ratio. The Notebook format emphasized reproducibility and reuse by other R coders. Today, we’ll convert that Notebook into a Shiny application that allows end

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Reproducible Finance with R: The Sharpe Ratio

November 9, 2016
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New Course Series: Applied Finance with R

November 8, 2016
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New Course Series: Applied Finance with R

Interested in a career as a quantitive analyst? Working on a computational finance team? Well then, we've got great news! At DataCamp you can now enroll yourself and your team in an entirely new series of courses focused on Applied Finance with R. Lea...

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Webscraping with rvest: So Easy Even An MBA Can Do It!

November 6, 2016
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Webscraping with rvest: So Easy Even An MBA Can Do It!

This is the fourth installment in our series about web scraping with R. This includes practical examples for the leading R web scraping packages, including: RCurl package The post Webscraping with rvest: So Easy Even An MBA Can Do It! appeared first on ProgrammingR.

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Quantitative Stock Analysis Tutorial: Screening the Returns for Every S&amp;P500 Stock in Less than 5 Minutes

October 22, 2016
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Quantitative Stock Analysis Tutorial: Screening the Returns for Every S&amp;P500 Stock in Less than 5 Minutes

Quantitative trading strategies are easy to develop in R if you can manage the data workflow. In this post, I analyze every stock in the S&P500 to screen in terms of risk versus reward. I’ll show you how to use quantmod to collect daily stock pri...

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The Problem With Depmix For Online Regime Prediction

October 5, 2016
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The Problem With Depmix For Online Regime Prediction

This post will be about attempting to use the Depmix package for online state prediction. While the depmix package performs … Continue reading →

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