Posts Tagged ‘ R Language ’

Strategy: what if SPY & VIX are up?

March 10, 2010
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Strategy: what if SPY & VIX are up?

Recently, I was busy testing the following strategy: If SPY and VIX daily returns are positive, then short SPY at close and keep it for one day. The strategy is dump simple and it has very good feature – short side. There are not so many successful short side strategies. For testing purpose I used daily Yahoo

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End of the month investment

March 1, 2010
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End of the month investment

It is know, that the first day of the month provides bullish edge. According to Quantifiable edges not all the months are equal. So, I made a test on S&P500 index, from January, 1980 until February, 2010. It is true, March isn’t the best month to run this strategy. Only 3 months have significant results

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Press Enter in LyX Sweave as You Wish

February 18, 2010
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Press Enter in LyX Sweave as You Wish

or a long time I’ve been wondering why we are not able to use Enter in the LyX Scrap environment which was set up by Gregor Gorjanc for Sweave. Two weeks ago, I (finally!) could not help asking Gregor about this issue, as I’m using “LyX + Sweave” more and more in my daily work.

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Gas price seasonality

February 18, 2010
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Gas price seasonality

Last spring I read “Quantitative Trading” by Ernest P. Chan. In his book, he suggested to buy gas futures contract at the end of February and sell it later, in March. Today, I decided to test this strategy by using R-language. The most important thing for such investigation is data. For this purpose, I used this

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Happy New Year with R

December 31, 2009
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I have to admit that the previous post on Christmas is actually not much fun. Today I received another pResent from Yixuan which is more interesting: Basically the code deals with letter polygons (i.e. glyphs) and plot them with proper projections from 3D to 2D space: ## original code by Yixuan <[email protected]>, with my slight modification h.x =

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Create Animations in PDF Documents Using R

November 11, 2009
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ince animation 1.0-9, we will be able to create a PDF document with an animation embedded in it; the function is saveLatex(), and its usage is similar to saveMovie() and saveSWF(): you pass an R expression for creating animations to this function, and this expression will be evaluated in the function; the image frames get

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Some Interesting Packages in R: swfDevice, RGoogleTrends, FlashMXML, SVGAnnotation

October 19, 2009
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I love R because there are always exciting new packages which can be far beyond your imagination. Here I’d like to introduce a couple of packages that look really awesome: 1. swfDevice: R graphics device for SWF output (by Cameron Bracken) This package is still at a pre-alpha stage but you can see a sketch now in

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50000 Revisions Committed to R

October 10, 2009
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50000 Revisions Committed to R

oday Romain Francois posted an interesting topic in the R-help list, and you can read his blog post for more details: celebrating R commit #50000. 50000 is certainly not a small number; we do owe R core members a big “thank you” for their great efforts in this fantastic statistical language in the 13 years.

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How to Import MS Excel Data into R

September 26, 2009
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How to Import MS Excel Data into R

s Sir Francis Bacon said, “Histories make men wise; poets witty; the mathematics subtile; natural philosophy deep; moral grave; logic and rhetoric able to contend.” And Windows stupid. He should have added the last sentence if he were a Windows user in this age. 1. Avoid Using M$ Excel A lot of R users often ask this question:

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Simulation of Burning Fire in R

June 11, 2009
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Simulation of Burning Fire in R

inlin Yan posted a cool (hot?) simulation of burning fire with R in the COS forum yesterday, which was indeed a warm welcome. I’m not sure whether our forum members will be scared by the “fire” under the title “Welcome to COS Forum”. The fire was mainly created by the function image() with

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