Hello,
Has anyone had any experience with clustering involving large numbers
of series? For example kmeans() or hclust(). We maintain a database of
5000 stocks, 200 industry groups and 15 market sectors. The groups and
sectors are calced by us and are equal weighted. We require both a
fundamental
Hi All,
Is there are elegant way to create security indices in R? I am
specifically thinking of things like equal-weighted industry group or
market sector indexes. I can do it the brute force way, but I can't
help but suspecting that there is a nice index constructor or
something similar lying
I originally saw it this way,
Actual/strike -1
which is the % in the money.
I modified that to:
if actual = strike then
actual/strike -1
else
strike/actual - 1
endif
From a trading perspective that makes sense as it gives you the
correct reversible round-trip distance, which is quite
That's interesting and I will explore. Thanks. My interest lies in
really short-term options where often the BS values don't seem to make
a lot of sense, so I am looking into different modeling methods. This
was all inspired by the discovery of decent liquidity in the weekly
options and the sort
Hi Jeff,
I downloaded the source via svn, but I can't figure out how to install
it into R. I tried:
install.packages(/home/john/software/rgreeks-read-only/pkg, repos =
NULL, type=source)
without any luck. Hint please.
Thanks,
John
On Tue, Aug 27, 2013 at 8:14 AM, BBands bba...@gmail.com
Got it now.
Thanks,
John
On Thu, Oct 3, 2013 at 2:57 PM, BBands bba...@gmail.com wrote:
Hi Jeff,
I downloaded the source via svn, but I can't figure out how to install
it into R. I tried:
install.packages(/home/john/software/rgreeks-read-only/pkg, repos =
NULL, type=source
Thanks Jeff, that looks interesting. I'll dig in soon.
Was the lightning talk recorded?
John
On Sun, Aug 25, 2013 at 8:14 AM, Jeff Ryan jeff.a.r...@gmail.com wrote:
Hi John,
I have a package that isn't quite 'complete' that might be of use.
https://code.google.com/p/rgreeks/
The options solution I have used forever no longer works well, so I am
looking for a new option analysis solution. My needs are rather
simple, really all I want are nice PL graphs for option positions
with a number of legs. Flexibility is key. I was thinking about
Hoadley, which I have used on and
, Jul 16, 2013 at 7:08 AM, Dirk Eddelbuettel e...@debian.org wrote:
A little late as I was vacationing in Australia where by better half was
attending a conference...
On 11 July 2013 at 07:34, BBands wrote:
| I posted the following to the Markets list earlier, as that is where
| the seed came
, I will move this project to a collocated server in NY. I will
report back on my progress, but this should take some time (perhaps a
lot) as there is quite a bit to learn and code. Any pointers, tips on
avoiding pratfalls, etc., greatly appreciated; either here or to
BBands at BollingerBands dot
I'm reading George Dyson's Turing's Cathedral, ostensibly a history
of the Princeton computer project circa 1945-1955, but more than
anything else a biography of John von Neuman, the animating force
behind the project.
http://www.amazon.com/Turings-Cathedral-Origins-Digital-Universe/dp/1400075998
Good morning,
I am interested in doing some work on clustering stocks and would like
to chat with anyone who has had some experience in the area. I am
primarily interested in creating industry groups from larger lists of
stocks. We already do this is a semi numerical manner, so I have a lot
of
I feel that reiterating my prior warning is worthwhile. The proper way
to do this is to analyze the actual contracts and roll just as you
would have to if you were actually trading; exit the current contact
when the crowd moves enter the new actively-traded front month and
account for each
Beware, this is a mine field! For example, one problem you will need
to deal with is that different commodities roll on different dates.
Then there is the nightmare quagmire of back adjusting, which is best
skipped altogether in my opinion. In short, there are many ways to get
hurt here. There is
isn't the best design strategy in many cases.
Secondly, most (all?) of the other functions in TTR behave by including
the 'current' price in the calculation. In the case of DonchianChannel
the result of this is simply more obvious.
e.g. EMA, SMA, Bbands, runMax, cumsum (base R), cummin (base R
stergios_marinopou...@yahoo.com wrote:
There's an interesting behavior in BBands when dn, mavg, and up are the same
value. Here's an example:
library(quantmod);
getSymbols(SPY, from=1993-01-31, to=1996-01-01 ) ;
bb - BBands(Cl(SPY), n=3, sd=0.3, maType=EMA) ;
bb[bb$pctB==Inf,]
dn
There are a couple of web references available, but since pf is
simply filtered waves/swings -- Art Merriill wrote elegantly on this
topic -- why not use the zig-zag function in TTR?
jab
On Mon, Oct 17, 2011 at 9:05 AM, veepsirtt veepsi...@gmail.com wrote:
Does anyone know of a good point
I also note that O'Reilly is out with Getting Started with RStudio:
An Integrated Development Environment for R by John Verzani. I've
ordered mine, but I haven't seen it yet.
http://shop.oreilly.com/product/0636920021278.do
Best,
John
___
by Norman Matloff
My copy arrived today and at first glance it looks like a worthy
addition to the R literature. While not explicitly finance oriented,
it does look like it might be of interest to some on this list.
Best,
John
___
On Fri, Sep 30, 2011 at 6:43 AM, Maheshwari, Dhruv
dhruv.maheshw...@blackrock.com wrote:
I've been thinking a lot about Ralph Vince's comment on the Markets list
about the arc sine law.
Can you point me to this mailing list? I am interested in joining.
Regards,
Dhruv
You can sign up for
Please forgive me for stating the obvious, but... A candle is not
defined for a period in which no trades occur.
jab
On Wed, Sep 28, 2011 at 12:15 PM, Stefan Petry spe...@quantbench.com wrote:
I would appreciate some advice on how to best display candle data for
sporadically traded
for testing any trading system.
Horace
-Original Message-
From: r-sig-finance-boun...@r-project.org
[mailto:r-sig-finance-boun...@r-project.org] On Behalf Of BBands
Sent: Thursday, September 29, 2011 3:00 PM
To: R-sig-finance
Subject: Re: [R-SIG-Finance] Test data
On Tue, Sep 27
On Tue, Sep 27, 2011 at 6:02 AM, Dirk Eddelbuettel e...@debian.org wrote:
Maybe the magic number 377...
That magic number is the 14th Fibonacci number, which raises an
interesting question. Is there an R resource that allows one to enter
a number and returns a list of which common number series
On Thu, Jun 16, 2011 at 2:19 PM, Idris Raja idris.r...@gmail.com wrote:
Hi all.
I am trying to add Bollinger Bands to an equity curve of one of my own
portfolios.
Wherever did you get that idea? ;-) The first two areas beyond price
which I explored using Bollinger Bands in were indicators --
On Tue, May 3, 2011 at 5:39 PM, Mark Leeds marklee...@gmail.com wrote:
hi john:
I'm not clear on whether you want expected value of the max length or the
expected value
of the length. but, if you want the latter in closed form and you know , p,
the probability of sucess ( in your case , the
About 1,000 years ago I calculated the expected length of a losing
streak by iterative simulation using rle
trades - sample(c(W, L), 1000, replace = TRUE, prob =
c(0.66, 0.33))
trades.rle - rle(trades)
tapply(trades.rle$lengths, trades.rle$values, max)
There must be other, better
Notepad++, my editor of choice for some years, dropped the Scientology
bomb today. So it is time to move on as I'd prefer my editors to be
without religion. I'd like an open-source, cross-platform editor with
code folding, outlining, code completion for Python, R and other
common languages and
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