The Ministry of Finance Japan very generously provides data on JGBs back to 1974.  Here is a quick example how to pull it into R and then graph it. From TimelyPortfolio R code in GIST (do raw for copy/paste):

Almost always, when I see a system backtested, the backtest assumes a static portfolio with no contributions or withdrawals.  This assumption only covers an extremely limited subset of my clients.  Cash flows in and out of a portfolio or syst...

If the Russell 2000 were a motorcycle, maybe it should be a Harley-Davidson Softail Fat Boy.  I have explored the exception case of the Russell 2000 in quite a few posts More Exploration of Crazy RUT Where are the Fat Tails? Crazy RUT but I st...

Tradeblotter announced the very nice features that will be added to the PerformanceAnalytics package as a result of the Google Summer of Code (GSOC) 2012 project: “…Matthieu commenced to produce dozens of new functions, extend several more existin...

Mebane Faber’s post Buffett’s Alpha points out Warren Buffett’s 0.76 Sharpe Ratio discussed in the similarly title paper Buffet’s Alpha.  I of course immediately think about the 8th Wonder of the World – the US Bond Market, whose Sharpe ...

(for all plot.xts posts, see http://timelyportfolio.blogspot.com/search/label/plot.xts) As another example of all that we can do with the new plot.xts, let’s try to do a price plot with a moving average overlays.  We will use the ETFs shown by M...

I’m clearly out of my realm of competence with most of the rugarch functions, but I thought it might be nice to provide an example combining plot.xts and uGARCHroll. R code from GIST:

Anyone who has read 48 Industries (Dendrogram Ordered) Over 50 Years 48 Industries Since 1963 “Trend is Not Your Friend” Applied to 48 Industries Horizon Plots in Base Graphics More on Horizon Charts Application of Horizon Plots Horizon Plo...

As mentioned in FOSS Trading post A New plot.xts yesterday “The Google Summer of Code (2012) project to extend xts has produced a very promising new plot.xts function. Michael Weylandt, the project's student, wrote R-SIG-Finance to request impressio...