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Factor Evaluation in Quantitative Portfolio Management « The R Trader

http://www.thertrader.com/2015/03/23/factor-evaluation-in-quantitative-portfolio-management

The R Trader Blog. Risk as a “Survival Variable”. R financial time series tips everyone should know about ». Factor Evaluation in Quantitative Portfolio Management. March 23, 2015. When it comes to managing a portfolio of stocks versus a benchmark the problem is very different from defining an absolute return strategy. In the former one has to hold more stocks than in the later where no stocks at all can be held if there is not good enough opportunity. The reason for that is the tracking error. Between t...

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Book Review « The R Trader

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The R Trader Blog. Archive for the 'Book Review' Category. Introduction to R for Quantitative Finance – Book Review. January 10, 2014. I used some spare time I had over the christmas break to review a book I came across: Introduction to R for Quantitative Finance. An introduction to the book by the authors can be found here. Chap 1: Time Series Analysis. Chap 2: Portfolio Optimisation. Chap 3: Asset Pricing Model. Chap 4: Fixed Income Securities. Chap 5: Estimating the Term Structure of Interest Rates.

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About « The R Trader

http://www.thertrader.com/about

The R Trader Blog. I have been in the Quantitative Trading/Investment industry for more than 15 years, developing, testing and trading all sorts of investment strategies on all major asset classes. I started this blog to discuss the use of R in the context of systematic investment strategies. I also provide consulting services for high net worth individuals and institutions on all topics related to this blog which entails but is not limited to:. Quantitative evaluation of investment/trading strategies.

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R financial time series tips everyone should know about « The R Trader

http://www.thertrader.com/2015/07/07/r-financial-time-series-tips-everyone-should-know-about

The R Trader Blog. Factor Evaluation in Quantitative Portfolio Management. The Rise of the Robots (Advisors…) ». R financial time series tips everyone should know about. July 7, 2015. The xts package is the must have when it comes to times series in R. The example below loads the package and creates a daily time series of 400 days normaly distributed returns. Library(xts) myTs - xts(rnorm(400)/100,order.by=seq(Sys.Date()-399,Sys.Date(),days). It determines how the binding is done. NewTs - allMyTs[endpoin...

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Using CART for Stock Market Forecasting « The R Trader

http://www.thertrader.com/2014/02/28/using-cart-for-stock-market-forecasting

The R Trader Blog. A million ways to connect R and Excel. Using Genetic Algorithms in Quantitative Trading ». Using CART for Stock Market Forecasting. February 28, 2014. Can be used in this context. Before I proceed the usual reminder: What I present in this post is just a toy example and not an invitation to invest. It’s not a finished strategy either but a research idea that needs to be further researched, developed and tailored to individual needs. 1 – What is CART and why using it? Daily OHLC prices ...

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Trading Strategies « The R Trader

http://www.thertrader.com/category/trading-strategies

The R Trader Blog. Archive for the 'Trading Strategies' Category. Trading strategy: Making the most of the out of sample data. August 19, 2016. When testing trading strategies a common approach is to divide the initial data set into in sample. Data: the part of the data designed to calibrate the model and out of sample. In the chart below the blue area represents the out of sample performance for one of my strategies. A good definition of this test could be found on R-Tutor. Test or the Kolmogorov-Smirnov.

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Portfolio Management « The R Trader

http://www.thertrader.com/category/portfolio-management

The R Trader Blog. Archive for the 'Portfolio Management' Category. Trading strategy: Making the most of the out of sample data. August 19, 2016. When testing trading strategies a common approach is to divide the initial data set into in sample. Data: the part of the data designed to calibrate the model and out of sample. In the chart below the blue area represents the out of sample performance for one of my strategies. A good definition of this test could be found on R-Tutor. Test or the Kolmogorov-Smir...

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A Simple Shiny App for Monitoring Trading Strategies « The R Trader

http://www.thertrader.com/2014/06/25/a-simple-shiny-app-for-monitoring-trading-strategies

The R Trader Blog. Date formating in R. A Simple Shiny App for Monitoring Trading Strategies – Part II ». A Simple Shiny App for Monitoring Trading Strategies. June 25, 2014. In a previous post. I showed how to use R, Knitr and LaTeX to build a template strategy report. This post goes a step further by making the analysis interactive. Besides the interactivity, the Shiny App also solves two problems :. I can focus on a specific time period. The code used in this post is available on a Gist/Github. Great ...

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Date formating in R « The R Trader

http://www.thertrader.com/2014/04/18/date-formating-in-r

The R Trader Blog. Using Genetic Algorithms in Quantitative Trading. A Simple Shiny App for Monitoring Trading Strategies ». Date formating in R. April 18, 2014. As I often manipulate time series from different sources, I rarely come across the same date format twice. Having to reformat the dates every time is a real waste of time because I never remember the syntax of the as.Date. Function. I put below a few examples that turn strings into standard R date format. Date1 - as.Date. Date2 - as.Date. Respon...