I haven’t done much “googling” before posting, so this topic might have been covered elsewhere but I think it’s  really worth sharing or repeating anyway. A lot has been written about the source of  ETF returns (some insights might be found here). In a nutshell some analysis found ... [Read more...]

I used some spare time I had over the christmas break to review a book I came across: Introduction to R for Quantitative Finance. An introduction to the book by the authors can be found here. The book targets folks with some finance knowledge but no or little experience with ... [Read more...]

DataMarket is the latest data source of financial data accessible from R I came across. A good tutorial can be found here. I updated the table and the descriptions below. Source R Package Free Access Available on CRAN Provider url Yahoo, FRED, Oanda, Google Quantmod Yes Yes Quantmod Quandl Quandl ... [Read more...]

This post is a more in depth analysis of Quandl futures data vs. Bloomberg data. Since my last post Quandl has updated its futures database to 200+ contracts from 68 contracts originally. For practical reasons, I limit myself here to the initial list of 60+ contracts. I’m still comparing the “Front Month” ... [Read more...]

Quandl has indexed millions of time-series datasets from over 400 sources. All of Quandl’s datasets are open and free. This is great news but before performing any backtest using Quandl data, I want to compare it with a trusted source: Bloomberg for the purpose of this post. I will focus ... [Read more...]

I came across a new source of data which I think is really worth sharing: ThinkNum. It gathers around 2,000 sources of data but more importantly it allows the user to manipulate this data via functions and graphics and there is an R package available on CRAN. Interested readers can find ... [Read more...]

There is no holy grail in trading instead there are strategies that work for a while or in a specific market environment. The role of the analyst is therefore twofold.  First find a good trading strategy, second find the right environment for this strategy. The present post focuses on the ... [Read more...]

I updated my initial post with two new sources of data and the associated R packages: Datastream and PWT. I also added the fImport package from Rmetrics. Following a reader suggestion, I made the initial table  more interactive, moved  the data description and package detail below the main table and ... [Read more...]