This is a follow on from the post Using apply sapply and lappy in R.The dataset we are using was created like so:m [Read more...]

This is an introductory post about using apply, sapply and lapply, best suited for people relatively new to R or unfamiliar with these functions. There is a part 2 coming that will look at density plots with ggplot, but first I thought I would go on a tangent to give some ... [Read more...]

Background and ideaOften we are looking at a particular sector, and want to get a quick overview of a group of companies relative to one another. I thought I might apply Multidimensional Scaling (MDS) to various financial ratios and see if it... [Read more...]

I have some background in computer security and one day found myself tasked with assessing the quality of randomness for session id tokens generated by popular web frameworks (namely Java and .NET). As it turns out, NIST have developed a series of tests for just this purpose detailed here.As ... [Read more...]

In 2006 Mebane Faber published a great piece of research detailing an asset allocation system that was both very easy to understand and implement, as well as carrying very respectable risk adjusted returns.The details are available in his paper&nb... [Read more...]

This is a post that has been a long time in the making. Following on from the excellent Stanford Machine Learning Course I have made examples of the main algorithms covered in R.We have Linear RegressionFollowed by Neural NetworksAnd Support ... [Read more...]

One of the more interesting things I have come across is the idea of looking at price changes in terms of recent standard deviation, a concept put forward by Jeff Augen. The gist is to express a close to close return as a function of the standard devia... [Read more...]

[Update: I have updated this so the number of days used for standard deviation can be passed as a parameter, you can find the code at Trading Mean Reversion with Augen Spikes ]Jeff Augen has written many excellent books on options trading, including&nb... [Read more...]

We saw in the basic system how we could add a factor, namely the 200 day moving average, to improve the overall performance of our system. You could spend a lot of time playing with different moving averages, and different combinations of crossovers if... [Read more...]