As you know, the composition of an Index changes over time and this scipt takes the Yahoo Finance page and retrieves all individual stock symbols for you and stores it in the tickers object.I had to update my R-Version to use the RCurl package - this is required as ... [Read more...]

[Read more...]

Let's use the great PerformanceAnalytics package to get some insights on the risk profile of the MAN AHL Trend Fund. It's a program with a long track record - I believe in the late 80'. The UCITS Fund NAV Data can be downloaded from the fund webpage as... [Read more...]

Let's use the great PerformanceAnalytics package to get some insights on the risk profile of the MAN AHL Trend Fund. It's a program with a long track record - I believe in the late 80'. The UCITS Fund NAV Data can be downloaded from the fund webpage as xls file- ... [Read more...]

If you would have invested in 1992 in the DAX ETF - provided it would have been around, of course - you would have earned a decent amount of money.That's the story of the passive guys and in my previous post I'm borrowing a few arguments of this guys t... [Read more...]

Also I'm not to much into Technical Indicators and Chart-Analysis during system development it is sometimes handy to visualize your buy and selllimits in a chart.The quantmod package provides a nice charting environment and you can select from a bunch ... [Read more...]

CESifo Group in Munich is publishing a couple of very good articles covering the EU Region.In a most recent research I'm trying to use the monthly Business Climate Index from ifo as a layer to trigger further trading activities in R.Here are further De... [Read more...]

We all heard the story several times that active Managers are not worth the Management Fee they charge you or more nicely phrased Active Manager hardly add value.Let's assume our Active Manager is benchmarked against the DAX. We are investigating if a ... [Read more...]

 Probably the last post before year end and very typical for me is to review this years system performance. A couple of R-packages are since 1 year the backbone of my lab. Just recently I added a package called "Forecast" which is a brilliant im... [Read more...]

I know, it has been often said by people, much brighter and more competent that I will ever be. The least important figure to look at are the Percentage Winner.Personally I find it very challenging and difficult to follow a system - or even provide see... [Read more...]

R at Work...crunching numbersIf you wanna find out how your trading idea would have coped in the previous years you would perform a backtest. For years I have used commercial software but could not find a package, which I would really recommend. I have... [Read more...]

I bet you have seen this error a few times. When I compare large xts objects with different number of observations it would hit me right towards the end of the analysis.I wrote a small function, which allows me to check the length of the sets in advanc... [Read more...]

  In my various R - Tests I'm using usually the Yahoo Dataservice implemented in quantmod suppressWarnings(try(getSymbols(ticker, index.class="POSIXct", from=initDate, to=to,src="yahoo"),silent=TRUE))  If you would like to run ... [Read more...]