So after reading the last post, the author of quantstrat had mostly critical feedback, mostly of the philosophy that prompted … Continue reading →

As a first step in visualizing/exploring the data from my last post, FOMC Dates - Scraping Data From Web Pages, I’ll plot the FOMC announcement dates along with the following price series: 2-Year and 10-Year US Treasury yields, S&P500 ETF (SPY) and USD Index ETF (UUP).I’ll use the quantmod R package to download the price data from...

If you would have invested in 1992 in the DAX ETF - provided it would have been around, of course - you would have earned a decent amount of money.That's the story of the passive guys and in my previous post I'm borrowing a few arguments of this guys t...

Pipes in R make my life incredibly easy, and I think my code easier to read. Note, there are a couple different flavors of pipes (see magrittr and pipeR). For now, I choose pipeR.library(quantmod)library(pipeR)library(ggplot2)getSymbols("^GSPC",from="1900-01-01",auto.assign=F) %>>% #get S&P 500 from Yahoo!Finance ( . ) %>>% #get end of year ROC( type="discrete", n=1

Part 2 of a series by Daniel Hanson, with contributions by Steve Su (author of the GLDEX package) Recap of Part 1 In our previous article, we introduced the four-parameter Generalized Lambda Distribution (GLD) and looked at fitting a 20-year set of returns from the Wilshire 5000 Index, comparing the results of two methods, namely the Method of Moments,...

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