Tag Archives: tutorial

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/

Using non parametric package within R with proper working tutorial

 

Using non parametric package within R with proper working tutorial

This link and PFF looks good:

http://cran.r-project.org/doc/contrib/Fox-Companion/appendix-nonparametric-regression.pdf

Although, it is in S and SPplus, it is fully compatible with R. The only question is how to get the data as there is no mention of the source.

This one seems to work better though with improved explanation:

http://cran.r-project.org/web/packages/np/vignettes/np.pdf

Using the np R packahe

Excellent tutorial on using urca R package for VAR, Cointegration, Statistical Tests, Non Stationary Processes, benchmarks and estimating models

Excellent tutorial on urca R package for VAR, Cointegration, Statistical Tests, Non Stationary Processes , benchmarks, estimating models
Wow! This tutorial at http://www.pfaffikus.de/download/tutorial-useR2008.pdf is quite excellent! As I look for cointegration tests like Dickey Fuller, this tutorial has it! Also, there are some demos on VAR with traditional processes. I must say I have validated some of the R code which seems to work ok! Plots work too!  Also, there are some very good definitions and algo equations given. Thus far, this is an excellent resource to see the power of R in forecasting! There seems to be no question of how data is generated as it is randomly generated.  No wonky data conversion here in these examples!