I've received several requests for methods to create joint probability tables for use in LSPM's portfolio optimization functions.  Rather than continue to email this example to individuals who ask, I post it here in hopes they find it via a Google...

I just got back from R/Finance 2010 in Chicago. If you couldn't make it this year, I strongly encourage you to attend next year. I will post a more comprehensive review of the event in the next couple days, but I wanted to share some of my notes spec...

To continue with the LSPM examples, this post shows how to optimize a Leverage Space Portfolio for the maximum probability of profit. The data and example are again taken from The Leverage Space Trading Model by Ralph Vince. These optimizaitons take ...

An updated version of TTR is now on CRAN. It fixes a couple bugs and includes a couple handy tweaks. Here's the full contents of the CHANGES file:TTR version 0.20-2 Changes from version 0.20-1NEW FEATURES:Added VWAP and VWMA (thanks to Brian Peterson...

In November, I used the strategy in Mebane Faber's Tactical Asset Allocation paper to provide an introduction to blotter. Faber has updated the strategy's results through the end of 2009. For those interested, he expands on the paper in his book, The...

As posted by Dirk Eddelbuettel on R-SIG-Finance: R / Finance 2010: Applied Finance with R April 16 & 17, Chicago, IL, US The second annual R / Finance conference for applied finance using R, the premier free software system for statistical comput...

My last post provided examples of how to use the LSPM package. Those who experimented with the code have probably found that constrained optimizations with horizons __ 6 have long run-times (when calc.max __= horizon).This post will illustrate how the s...

I've been getting a bit of traffic from people searching for opentick (the defunct company), so I've started a list of similar (but non-free) data providers. I'm not affiliated with any of these vendors, and the list is in no particular order. I'll u...

Six months after shutting down opentick completely Xasax (opentick's parent company) has followed suit.It looks like Xasax hit funding problems in August... Inside Market Data mentions the above in this story. Here is the full story (subscription requ...

Here's a quick R implementation of David Varadi's alternative to the RSI(2).  Michael Stokes over at the MarketSci blog has three great posts exploring this indicator: Varadi’s RSI(2) Alternative: The DV(2) RSI(2) vs. DV(2) Last Couple...

quantmod, TTR, and xts were (not so) recently featured on the Inference for R Blog. Inference for R is a Integrated Development Environment (IDE) designed specifically for R.The post gives an example of how to easily perform advanced financial stock a...

Posted to the R-SIG-Finance mailing list today:For those who missed it, the slides for the R/Finance 2009 tutorialsand presentations are now available on RinFinance.comhttp://www.RinFinance.com/presentationsWe want to thank everyone who traveled to Chi...

Though it's more than two weeks later, here's the second post in the series that will demonstrate how to build, test, and implement a trading strategy with R. You can find the first post here.The first post replicated this simple RSI(2) strategy from ...

The first international R/Finance 2009 conference in Chicago, IL was a huge success! David Smith from REvolution Computing has written a great summary of the entire event. I'll take the lazy route and point you to his blog post. :)The first internati...

After a year of "we plan to accept new subscribers shortly", opentick has shut its doors completely. As of March 20th, the opentick service is no longer available.From opentick.com:3/16/2009To opentick subscribers, friends, supporters, contributors an...