Recently, I was busy testing the following strategy: If SPY and VIX daily returns are positive, then short SPY at close and keep it for one day. The strategy is dump simple and it has very good feature – short side. There are not so many successful short side strategies. For ... [Read more...]

It is know, that the first day of the month provides bullish edge. According to Quantifiable edges not all the months are equal. So, I made a test on S&P500 index, from January, 1980 until February, 2010. It is true, March isn’t the best month to run this strategy. Only 3 ... [Read more...]

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Last spring I read “Quantitative Trading” by Ernest P. Chan. In his book, he suggested to buy gas futures contract at the end of February and sell it later, in March. Today, I decided to test this strategy by using R-language. The most important thing for such investigation is data. ... [Read more...]

I have to admit that the previous post on Christmas is actually not much fun. Today I received another pResent from Yixuan which is more interesting: Basically the code deals with letter polygons (i.e. glyphs) and plot them with proper projections from 3D to 2D space: ## original code by ... [Read more...]

ince animation 1.0-9, we will be able to create a PDF document with an animation embedded in it; the function is saveLatex(), and its usage is similar to saveMovie() and saveSWF(): you pass an R expression for creating animations to this function, and this expression will be evaluated in the ... [Read more...]

I love R because there are always exciting new packages which can be far beyond your imagination. Here I’d like to introduce a couple of packages that look really awesome: 1. swfDevice: R graphics device for SWF output (by Cameron Bracken) This package is still at a pre-alpha stage but ... [Read more...]

oday Romain Francois posted an interesting topic in the R-help list, and you can read his blog post for more details: celebrating R commit #50000. 50000 is certainly not a small number; we do owe R core members a big “thank you” for their great efforts in this fantastic statistical language in ... [Read more...]

s Sir Francis Bacon said, “Histories make men wise; poets witty; the mathematics subtile; natural philosophy deep; moral grave; logic and rhetoric able to contend.” And Windows stupid. He should have added the last sentence if he were a Windows user in this age. 1. Avoid Using M$ Excel A lot ... [Read more...]

inlin Yan posted a cool (hot?) simulation of burning fire with R in the COS forum yesterday, which was indeed a warm welcome. I’m not sure whether our forum members will be scared by the “fire” under the title “Welcome to COS Forum”. The fire was mainly created by ... [Read more...]

ag cloud is a bunch of words drawn in a graph with their sizes proportional to their frequency; it’s widely used in blogs to visualize tags. We can observe important words quickly from a tag cloud, as they often appear in large fontsize. Tony N. Brown asked how to “... [Read more...]

After a few hours’ work, I modified the function tidy.source() in the animation package so that it can preserve complete comment lines. See the tidy.source() wiki page for example. tidy.source [Read more...]