Month: May 2012

Excellent tutorial on pair trading in R on how to Estimate parameters for back test, Create trading signal,, Back-test performance

Excellent tutorial on pair trading in R on how to Estimate parameters for back test, Create trading signal,, Back-test performance This is an excellent tutorial that shows R’s pair trading capabilities with the PairTrading package. It includes benefits how to do: Estimate parameters for back test Create trading signal Back-test performance http://www.r-bloggers.com/pair-trading-strategy-how-to-use-pairtrading-package/

How to do computation finance with R for newbies

How to do computation finance with R for newbies This is a really good tutorial for R newbies. http://www.rmi.nus.edu.sg/csf/webpages/Authors/firstdraft/Nolan_draft_1.pdf Do note that three R functions are at the end of the document. This includes get.stock.data, get.stock.price, and get.portfolio.returns Give it a whirl but nothing new here for advanced users  

Want to connect your R script to Interactive Brokers? Here is how

Want to connect your R script to Interactive Brokers? Here is how Just refer to these links: http://blog.fosstrading.com/2010/05/introducing-ibrokers-and-jeff-ryan.html http://cran.r-project.org/web/packages/IBrokers/vignettes/RealTime.pdf I cannot vouch for these R packages since I cannot test without an Interactive Brokers account. Ho hum. Can anyone spare an extra $10 thousand?

Performance Analytics has Display relative performance, Calculate Downside Risk, Show relative return risk, Compare distributions

Performance Analytics has Display relative performance, Calculate Downside Risk, Show relative return risk, Compare distributions If you try out this R package and tutorial: http://cran.r-project.org/web/packages/PerformanceAnalytics/vignettes/PA-charts.pdf You will find this a very impressive package. Even Matlab could not do any of this functionality so easily. What is even more impressive is this is all for free. …

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How to use Principal component analysis for financial within R

How to use Principal component analysis for financial within R These two links will help you understand what PCA is within R http://www.r-bloggers.com/principal-component-analysis-use-extended-to-financial-economics-part-1/ http://www.r-bloggers.com/principal-component-analysis-use-extended-to-financial-economics-part-2/ For part 1 to create data, use http://www.nseindia.com/content/indices/ind_cnx500.htm, click Daily Return values and select period. Download as a CSV to be named Returns_CNX_500.csv. It appears to load fine.  You will also …

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High frequency market data in R with realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern

High frequency market data in R with realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern This is a pretty good tutorial PDF: http://faculty.washington.edu/ezivot/research/hfanalysis.pdf Get the data from: http://faculty.washington.edu/ezivot/splus.htm This is hinted at the bottom of page2.Ensure to load the RTAQ R package from CRAN for use to load the data. Note …

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‘World’s best quant’ Peter Carr reveals his toolchain of R packages for his research

IMPORTANT NOTE: This should make reference to Peter Carl not Carr ‘World’s best quant’ Peter Carr reveals his toolchain of R packages for his research This looks like to be the toolchain that one of the world’s best quant uses for R; quantmod indexes RTAQ xts … Example R Packages TTR signalextraction … quantstrat quantmod …

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