Month: May 2012

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

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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

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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

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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

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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

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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

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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

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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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