On Wed, 2021-09-08 at 09:14 +, Pankaj K Agarwal via R-SIG-Finance
wrote:
> Dear AllIn the PerformanceAnalytics package, there is a function that
> computes annualized Sharpe Ratios. However, the same is not available
> for computing annualized values of other metrics like Treynor's
> Ratio,
plot.xts was based on chart_Series, so adding panels with plot.xts
should work.
Also, you can absolutely use 'h' plots with add_TA. See e.g.
chart.Posn in the blotter package:
https://github.com/braverock/blotter/blob/master/R/chart.Posn.R
Regards,
Brian
On Mon, 2021-04-05 at 14:28 +0200,
On Fri, 2021-04-02 at 21:59 -0400, H wrote:
>
> I don't know how quickly this database is updated and therefore the
> delay but if possible i would like to use a primary source rather
> than a secondary source. It might be that parsing XBRL information
> from SEC EDGAR filings is workable - too
Factset is probably much cheaper than
CRSP/Compustat/WRDS.
For free data, I don't really think there are any 'best' sources. All
the data is public, but the collation of that data into a easily parsed
dataset is not.
Regards,
Brian
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On Fri
VaR/ES should work with a distribution of cash P as well as a
distribution of returns.
Can you present an example that isn't behaving as you expect it to?
Regards,
Brian
On Wed, 2021-02-03 at 17:58 +, Johan Palleschitz wrote:
> Good evening all,
>
> I have PnL data in EUR that i want use
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On Thu, 2020-11-12 at 13:43 +0300, Ayhan yuksel wrote:
> One more question to solve my case
>
> We can access the parent rule’s order price using chain.price
> argument in
> rule functions.
>
> Is it also possible to
I don't use tidyquant, but you can easily use endpoints() in xts to get
the end of March timestamps and calculate your period return that way.
Brian
On Mon, 2020-11-09 at 13:45 +0530, Maulik Bhatt wrote:
> Dear all,
>
> I want to calculate annualized log return for a security. But the
> issue
e data returned is from Friday, the 7th's close, not from Monday, the
10th, for me.
I assume that Yahoo probably updates their data once a day, sometime
after the official close is published, and their vendor updates.
The joys of trying to use free data.
Brian
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easily use this to get the order of the columns
that you want.
Regards,
Brian
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On Wed, 2020-07-29 at 15:37 +0200, Pedro páramo wrote:
> Hi all,
>
> I have differente stocks
>
> AAcciona<- tq_get("ANA.MC",from
gt; [[alternative HTML version deleted]]
> ___R-SIG-Finance@r-
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> Also note that this
Ajay,
The method you are proposing is easy to write, the authors flat out say
that they didn't really bother to check how accurate their measure is,
but what little checking they do gives highly *implausible* results.
They also say that it only makes sense for liquid instruments (for
which
On Tue, 2020-07-28 at 19:40 +0200, diego peroni wrote:
> I’m looking for a function in R to estimate Bid/Ask Spreads of stocks using
> Daily candlesticks.
>
> Can anyone suggest some implemetations?
Diego,
I would like to help you, but what you are asking for is simply impossible.
Daily
lly have a "buyer" who pays the
> issuer/sponsor when the deal is entered.
> By contrast, swaps generally have a value of zero at initiation. (Pre
> the 'big bang' in the CDS market, this was true of CDS swaps also.)
>
>
> On Mon, Jun 22, 2020 at 3:44 PM Brian G. Peterson <
This sounds more like a swap contract than a bond. The principal is
some quantity of S (futures, index value* some initial capital,
something).
Perhaps look at pricing swaps.
On Sun, 2020-06-21 at 23:16 +0300, Eric Berger wrote:
> Hi Christofer,For this instrument its value today would be the sum
On Wed, 2020-06-10 at 20:08 +0200, Daniel Cegiełka wrote:
> śr., 10 cze 2020 o 19:23 Brian G. Peterson <
> br...@braverock.com
> > napisał(a):
> > So, to backtesting... the newest Basel standard replaces VaR with
> > ES,
> > and requires that banks justify t
es by Ardia et. al. GAS:
https://journal.r-project.org/archive/2018/RJ-2018-064/RJ-2018-064.pdf
and MSGARCH:
https://www.sciencedirect.com/science/article/pii/S0169207018300840
Regards,
Brian
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quadratic approach. DEoptim (or 'random' or 'GEnSA',
or 'pso') make sense for more complex objectives that aren't amenable
to convex solvers.
Regards,
Brian
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On Sun, 2020-06-07 at 20:14 -0400, Roger Bos wrote:
> Thank you to every
On Sat, 2020-06-06 at 14:33 +0200, Enrico Schumann wrote:
> On Fri, 05 Jun 2020, Roger Bos writes:
>
> > All,
> >
> > I am comparing optimize.portfolio from the PortfolioAnalytics
> > package to
> > portfolio.optim from the tseries package. portfolio.optim seems a
> > bit
> > easier to use, but
/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.--
> Also note that this is not the r-help list where general R questions
> should go.
https://cran.r-project.org/web/packages/PortfolioAnalytics/vignettes/custom_moments_objectives.pdf
You can simply pa
ly, e.g. all macroeconomic announcements in some country
> are published on the last days of the month.Thanks! Alec
The usual way of dealing with intreaday events is to use intraday
data. tick, minute, or hourly data is widely available globally.
Regards,
Brian
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ph: +1.
On Sat, 2020-02-29 at 09:06 -0500, G Mac wrote:
> Is there an R-package (or other software) that can be used to
> forecast the next period's portfolio composition? There are many
> portfolio optimization packages, but this is not the same
> question. Say I take the past* x* periods, each period
They are different symbols with different tenors, so yes, it is normal
for them to differ.
iirc, IR is a 90-day interbank rate, and YT is a 3-yr bond
It's been a while, so I might have those tenors wrong, but either way
they are futures for different rates. Why would you expect them to be
R/Finance 2020 is currently scheduled for June 5-6, 2020
As usual, we expect that it will be held on the UIC campus in Chicago,
IL, USA.
Jeff Ryan is currently working on a new website framework, and we hope
to launch the new website and the Call for Presentations 'soon'.
Regards,
Brian
On
doesn't give anyone here any guidance on how to help you.
Regards,
Brian
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ur
broker, or a service that sells that data.
> Also pls share the process document for Portfolio Optimisation and
> which R packages are required to achieve the above goal.
PortfolioAnalytics can do the optimization. There is lots of
documentation in the package and elsewhere online.
--
Brian
portf,
>
> optimize_method="DEoptim"
> ,
>
> rebalance_on="quarters",
>
> trainin
quantmod supports multiple data sources, both paid and free.
The documentation is installed with the package or you can find a pdf here:
https://cran.r-project.org/web/packages/quantmod/quantmod.pdf
The code is here:
https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R
For free
> I'll greatly appreciate your comments.
>
>
>
>
>
> Alec
>
>
>
>
>
>
>
> From: Brian G. Peterson
>
> Sent: Tuesday, January 8, 2019 11:55 AM
>
> To: Alec Schmidt; r-sig-finance@r-project.org
>
> Subject: Re: [R-SIG-
On Mon, 2019-04-01 at 13:56 +0300, Данир Зулькарнаев wrote:
> Could someone suggest any package to estimates parameters of skewed-t
> distribution?
> I didn't manage to find any.
>
My personal favorite for the skewed Student's-t distribution family is
the 'sn' package.
There is also the 'skewt'
[31 Days]
> 05/02/2011 - 06/17/2011 (-7.59%) [34 Days]
> 02/22/2011 - 03/16/2011 (-6.54%) [17 Days]
> 07/18/2000 - 10/09/2002 (-97.34%) [559 Days]
> Alec
>
>
>
> From: Brian G. Peterson
> Sent: Tuesday, January 8, 2019 11:17 AM
> To: Alec Schmidt; r-sig-finance
.
Regards,
Brian
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On Tue, 2019-01-08 at 16:09 +, Alec Schmidt wrote:
> I tried to use the function findDrawdowns() to compile NASDAQ (^IXIC)
> corrections. For the sample starting on
>
> 2007-
reproducible example (including data e.g. using dput function the
or reprex package).
Regards,
Brian
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On Tue, 2018-09-25 at 17:03 -0400, Simon Hovmark wrote:
> I am trying to run the follow
what you need e.g. to test a proposed
patch.
Regards,
Brian
> On Wed 29 Aug, 2018, 21:34 Brian G. Peterson,
> wrote:
> > This question really belongs on R-help or a forum like Stack
> > Overflow,
> > as it has nothing to do with finance. I understand that this is
> > rel
This question really belongs on R-help or a forum like Stack Overflow,
as it has nothing to do with finance. I understand that this is
related to the thread on rmgarch, but it could have been asked in that
thread with more specificity.
On Wed, 2018-08-29 at 15:32 +0530,
er won't allow it.
In the 'should work' camp are several variations of splitting your
computational problem so that it is amendable to looping and/or
parallelization, described above.
Regards,
Brian
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On Fri, 2018-05-18 at 10:59 -0500, Adam Ginensky wrote:
> Hi Josh,
>
> I have a few details that I need corrected. I signed up for the
> Bayesian
> pre-conference course and I see that now has been
and multipliers are
set correctly for the root symbol, then the accounting should work.
Regards,
Brian
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Ph: 773-459-4973
IM: bgpbraverock
On Thu, 2018-03-29 at 12:17 -0500, Sal Abbasi wrote:
> Has anyone used quantstrat with options? I’ve found l
', hopefully this week.
We are looking forward to the tenth year of R/Finance, which attracts
more than 300 people each year. I hope you can make it.
Regards,
Brian
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Ph: 773-459-4973
IM: bgpbraverock
___
R
Well, your code is completely mangled by posting in HTML, as Josh told
you would likely happen.
In any case, You haven't provided a reproducible example.
require(PerformanceAnalytics)
data(edhec) # also monthly data
VaR(edhec,
p=0.95, method='modified')
# the last two parameters are defaults,
ject.org> on behalf
> of Jason Hart <jasonha...@icloud.com>
> Sent: Thursday, March 8, 2018 9:46 AM
> To: Brian G. Peterson
> Cc: R-SIG-Finance
> Subject: Re: [R-SIG-Finance] Minimizing tracking error with
> restricted number of stocks
>
> Great presentation, tha
Error example starts on slide 29, though you should find the
rest of the tutorial useful.
- Brian
From: R-SIG-Finance <r-sig-finance-boun...@r-project.org> on behalf of Brian G.
Peterson <br...@braverock.com>
Sent: Wednesday, March 7,
this.
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* reproducible example and enter an issue on
the quantstrat github.
Regards,
Brian
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tfolio=pspec, type="position_limit", max_pos=3)
Is there a reason that a minimum position constraint was not/cannot be
implemented?
I think a minimum position box constraint will do what you want, but
otherwise no, we'd need to look at the code and think about it some more
as to why it was i
On Mon, 2017-10-16 at 05:43 -0500, Brian G. Peterson wrote:
> On 10/16/2017 04:35 AM, Pankaj K Agarwal via R-SIG-Finance wrote:
> > Dear allCan someone suggest some good resources/package on
> > Financial Risk Management based on R? I would like to use them for
> > a graduate
includes a number of more fundamental
resources, such as PerformanceAnalytics and rugarch.
Regards,
Brian
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https
Ilya has already pointed out the index function.
Slightly more information is that xts objects don't have row names,
they have a time/date based index, and facilities to subset using that
index. For the most part, you can do this as you would with a
data.frame, by exact index or by row number,
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_
On 05/29/2017 02:32 AM, ROUX, Nicolas wrote:
Hello all,
I am trying to backtest a long/short portfolio using Return.Portfolio
but am running into some sort of error, or I do not fully understand how
to use return.portfolio.
For a quarterly rebalancing of shorts, I am providing monthly
On Fri, 2017-05-26 at 10:34 +, Atakan Okan wrote:
> Is it possible to add a "disabled" option to the parameter
> distribution (for stoploss, stoptrailing, takeprofit)? So the typical
> parameter distribution contains a vector of integers, but how would I
> go about adding the "disabled
"Joe W. Byers" <ecjb...@aol.com>
To: Brian G. Peterson <br...@braverock.com>, Dries Cornilly , r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance] Fwd: Re: [Fwd: Performance Analytics
internal multivariateMoments calculations]
Date: Tue, 23 May 2017 10:50:37 -0400
The code and documentation for the addTxns function are in the addTxn.R
file (lines 167-201).
On Tue, 2017-05-16 at 20:03 +, Bos, Roger wrote:
> All,
>
> I cloned the blotter package on github and took a look at the
> amzn_test.R demo file and I see a call to addTxns, but I don't see
> that
dd.indicator - I did a poor job explaining what I was trying
> to achieve, but it's exactly what you're saying. I will create a new
> indicator function, which will get some metadata from the instrument
> and all of that will be handled inside the indicator function, there
> is no need to p
).
If this hasn't answered your question, perhaps you could follow up with
something more specific including a *minimal* example.
Regards,
Brian
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___
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On 04/24/2017 12:38 PM, John Klingensmith wrote:
Hi,
Does anyone know the purpose behind why the parameters in the Luxor demo
are preceded by dots?
# optimization range
.FastSMA = (1:30)
.SlowSMA = (20:80)
It seems to make them hidden, which also makes them difficult to remove.
They're
in a specific order, as described in the documentation
for add.rule and other places. exits are evaluated before entries.
Regards,
Brian
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On Tue, 2017-04-18 at 10:31 -0400, Jon Golenbock wrote:
> Hi, trying to
need for a custom indicator function at all.
In any case, from your non-reproducible example, and just reading the
code, the main problem appears to be your call to OHLC(), which will
strip your other columns. Skip that, and things should be fine.
Regards,
Brian
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http
On Wed, 2017-04-05 at 08:54 -0400, Jon Golenbock wrote:
> Hi, I was hoping somebody might be a regular user of this package to
> interact with Bloomberg terminal. I've been having an issue pulling
> historical data, it seems to cut off at a seemingly arbitrary point
> --
>
>
> library(rRblpapi)
Rcpp
would be time well spent or you think there must be a smarter way to get
around it still using R?
I really appreciate your help on this thread.
Regards,
Kshitij Dhingra
On Mon, Mar 20, 2017 at 7:21 PM, Brian G. Peterson <br...@braverock.com>
wrote:
For this type of problem, I
On Mon, Mar 20, 2017 at 3:17 PM, Brian G. Peterson <br...@braverock.com>
wrote:
On Mon, 2017-03-20 at 15:09 -0400, Kevin Dhingra wrote:
I have been using the random_portfolios function from the
`PortfolioAnalytics` package to simulate the range of possibilities
for return paths at each st
On Mon, 2017-03-20 at 15:09 -0400, Kevin Dhingra wrote:
> I have been using the random_portfolios function from the
> `PortfolioAnalytics` package to simulate the range of possibilities
> for return paths at each step under various portfolio constraints /
> mandates for evaluating mutual fund
seen tests
that take hours or even days to run here, but those are over massive
amounts of data. Have you profiled a single run of the backtest to see
where it is spending its time?
Regards,
Brian
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On Tue, 2017-03
doesn't seem to be worth the cost in programming and testing time.
Regards,
Brian
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On Mon, 2017-03-06 at 18:53 +, Atakan Okan wrote:
> Hello,
>
> I am trying to parallelize applyStrategy() to make
,
portfolio=strategy.st,
account=strategy.st,
nsamples=0,
verbose = TRUE,
audit=paramsetenv,
calc = "slave")
snow::stopCluster(cl)
list(mktdata=quote(mktdata)))
apply.indicators.df <- applyIndicators(strategy.st, mktdata=GARAN.IS)
#testing indicator calculations
-Atakan Okan
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,
Brian
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nd something like a VWAP price if you have the data
available.
in any case, the prefer= argument is a pass-through to getPrice.
quantstrat will make reasonable guesses based on your data if it is not
set. see
?getPrice
for more information on how getPrice works to extract price data.
Regards
uld be 'High' +/-
threshold (depending on whether you are buying or selling)
Regards,
Brian
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On Thu, 2016-12-15 at 06:31 +, Mayank Singhal via R-SIG-Finance
wrote:
> I am interested in backtesting the strategy on subset of mktdata but
> somehow the below approach is resulting into errors.
> # yy="2016"out<-applyStrategy(strat.st ,
> portfolios=portfolio.st, mktdata =
On Wed, 2016-12-14 at 14:28 +, Vineet Gupta wrote:
> I am trying to use Quantstrat to backtest a portfolio strategy with
> user defined weights at each re-balance date. The user defined
> weights, are given in a matrix (example shown below)
>
> Date ABC.UN ABT.UN ACN.UN ADBE.UW
ntstrat applications, are you able to provide some sketch code as
> to how such an operation would be managed? I'm more than happy to
> have a dig at this myself but somewhere to start would be nice.
>
>
> Cheers,
>
> Aaron
>
>
>
&g
On Mon, 2016-12-12 at 23:27 +0530, Adarsh KP wrote:
> I am trying to replicate core strategy (for a single instrument) from
> the book 'Following the trend' by Andreas Clenow. Details about the
> strategy are in the picture in this link (https://drive.google.com/fi
>
On Mon, 2016-12-12 at 17:17 +, Aaron wrote:
> Is it possible to implement a basket or portfolio stoploss in
> quantstrat? That is, I would like to trade a number of symbols
> simultaneously and use accumulated p/l across all symbols as a global
> stoploss/take profit.
>
> I have not seen any
again,
Michael From: R-SIG-Finance
<r-sig-finance-boun...@r-project.org> on behalf of Brian G. Peterson
<br...@braverock.com> Sent: Wednesday, November 9, 2016 3:13 AM To:
r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] blotter
updatePortf
On 11/0
quantstrat for rebalancing,
for paramsets, and for walk.forward. It will only be called by the
default applyStrategy call if wrapup=TRUE and you're using the
(experimental, incomplete?) wrapup code.
Regards,
Brian
on Sunday, November 6, 2016 11:15 AM, Brian G. Peterson wrote:
On 11/06/2016 12:10 PM, Came
,
Brian
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be to
handle it in dots, and make sure those get merged correctly. I think it
would be much more challenging to process it from the argument=list()
for an individual objective.
Regards,
Brian
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On Thu, 2016-10-13
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[[alternative HTM
method B and Googling
'r-sig-finance search'
Regards,
Brian
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On 10/08/2016 10:55 PM, Ramesh wrote:
I have downloaded the time series of crude oil in to R ( from a local excel
file(csv/text tab delimited) in C drive)and the data ( OHLC) is being
displayed in my R.Studio.
Am able to ascertain the Fibonacci pivot levels ( using a custom program
that I have
u really
want is *portfolio* shortfall. I would be concerned that the loss of
dimensionality suggested by your description would make it difficult to
get a realistic solution.
There are several more things that could cause this to fail to converge.
I've covered the most likely ones, but further in
On Mon, 2016-09-19 at 23:08 +, Jason Hart wrote:
> I've never been able to get portfolioanalytics to work for me. It
> looks like a nice little addition to the R arsenal but we just weren't
> meant to work together. I figured what the heck I'll try this code
> and I got the same error
d plot the difference between
the unconstrained search space and the constrained search space to sort
out whether this is really what you want to do.
Regards,
Brian
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On Tue, 2016-09-20 at 07:18 -0500, Ross Bennett wrote
ing optimization.
Regards,
Brian
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install.packages("PortfolioAttribution",repos="http://R-Forge.R-project.org;)
Regards,
Brian
On Thu, 2016-08-25 at 02:50 +0200, Olasunkanmi Obanubi via R-SIG-Finance
wrote:
> Hi all,
>
> I am interested in knowing if there are any packages that deal with
> performance attribution for a
On Fri, 2016-08-19 at 18:31 +0100, d.ind...@iee.org wrote:
> Are there any libraries enabling the portfolio back testing a la
> PortfolioAnalytics's Portfolio.return() with -ve weightings, or relaxed
> leverage constraint?
Return.portfolio in PerformanceAnalytics supports whatever you want for
f of your question is to take your data and put it into R, where
there are many many packages available for doing the analysis.
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Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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me parameters of slippage. From your reply should I presume
> that a day late execution from signal date is deliberate and you have
> a mechanism of making it on signal date execution?
>
>
> thanks
>
>
> Golam
>
> On Mon, Aug 1, 2016 at 2:22 PM, Brian G. Pet
On 08/01/2016 05:07 AM, golam sakline wrote:
In Quantstrat, is it possible to use add.rule that can pick the crossover
between SMA and the price as entry rather than the bar close price? Is
there a way I can add buy-stop and sell-stop order types using limits that
look into the SMA figures.
On Sun, 2016-06-26 at 12:53 +, Pankaj K Agarwal via R-SIG-Finance
wrote:
> This might be a very basic query for this erudite group. However, i am
> hopeful some help will be forthcoming nevertheless.I have a monthly
> time series of annualized t-bill rates on Indian markets. For some
> months,
that takes place if the normal rule doesn't produce a sale before.
I added this rule at line 127 of the file 3. strategy.R:
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longExit",
sigval = TRUE,
orderqty = "all", delay = 691200,
es. The demo scripts are
updated to adjust for changes in R and the required packages, the slides
are obviously static.
Regards,
Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
___
R-SIG-Finance@r-project.org
The output of adjustOHLC and {yahoo}.Adjusted will only rarely, if ever,
agree, since we don't know when they are starting the adjustment, or how
they are doing the adjustment. There are many threads over the years on
this list about this issue which I'm sure Google can locate for you.
those who are interested.
/pkg/quantstrat/sandbox/paramtest201604/
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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-- S
for %-returns space. Very few of them presume
monthly summaries except for the few standardized fund returns tables.
Regards,
Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
On Thu, 2016-04-07 at 12:25 +0100, Peter Neumaier wrote:
> I agree, I could h
On Wed, 2016-04-06 at 23:58 +0300, Jersey Fanatic wrote:
> I will try running the same code without trailing stops and see what
> effect
> it has on the processing time. I will report back as soon as it is
> finished.
Running the macd demo code over 10 years of daily data on my machine (no
expectation of your resulting signal process?
Most of the validation of your indicator and signal processes should be
possible long before you get to parameter optimization.
Regards,
Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
On Wed, 2016-04-06 at 23:20
On Wed, 2016-04-06 at 20:58 +0300, Jersey Fanatic wrote:
> Hi everyone,
>
> I am trying to backtest a simple strategy of mine, but it took approx 10
> hours of processing so I was wondering if it is normal.
>
> My computer has an i7 core 2.10 GHz, 8GB RAM with Windows 7 Ultimate OS. My
> code
(zs)))
##
Regards,
Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
On Thu, 2016-03-31 at 11:50 +0100, Peter Neumaier wrote:
> Hi all,
>
> I am doing some analysis on monthly futures contracts from 2011-2016.
> Each monthly contract
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