Big Issue with System Backtests

September 7, 2012 | klr

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...
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Russell 2000 Softail Fat Boy

August 31, 2012 | klr

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...
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Another Great Google Summer of Code 2012 R Project

August 30, 2012 | klr

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...
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Bonds Much Sharpe -r Than Buffett

August 23, 2012 | klr

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 ...
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plot.xts with Moving Average Panel

August 20, 2012 | klr

(for all plot.xts posts, see 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...
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GARCH Panel in plot.xts

August 17, 2012 | klr

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:
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Horizon Plots with plot.xts

August 17, 2012 | klr

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...
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plot.xts is wonderful

August 16, 2012 | klr

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...
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