We know that the S&P 500 was up a little in 2007 and down a lot in 2008.  So on the surface the question seems really stupid.  But randomness played a part.  Let’s have a go at deciding how much of a part. Figure 1: Comparison of 2007 and 2008 for the S&P 500. ... [Read more...]

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The game ARORA (A random or real array) is a website that gives you two time series at a time. Your job is to guess which series is real market data and which is permuted data.  It’s fun — try it. With some practice you will probably be able to ... [Read more...]

regor Gorjanc published an interesting article “Using Sweave with LyX” in R News in 2008, which (I believe) makes it much easier to use Sweave. I use command-line tools a lot every day, but I am still “GUI-addicted”. (I don’t want to comment more about Microsoft Word here.) LyX is ... [Read more...]

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his blog post is mainly for Stat 579 students on the homework for week 7, since I received too many “gory” loops in the homework submissions and I think it would help a bit to write my thoughts on R loops for beginners. The immortal motto for newbies in programming is: If ... [Read more...]

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al Galili requested in the R-help mailing list for a SyntaxHighlighter brush for the R language, so that WordPress users can highlight their R code easily. I promised to contribute a few minutes on this task, and here is the result: /** * Author: Yihui Xie * URL: http://yihui.name/en/2010/09/syntaxhighlighter-brush-for-the-r-language * ... [Read more...]

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Auto-completion is fancy in a text editor. Notepad++ does not support auto-completion for the R language, so I spent a couple of hours on creating such an XML file to support R: Put it under ‘plugins/APIs‘ in the installation directory of Notepad++ (you can see several other XML files ... [Read more...]

As every useR knows, the useR! 2010 conference is being held at NIST in Gaithersburg these days. I have just finished my talk on the R package animation this afternoon. Here are my slides and R code for those who are interested: Have fun, even if you are a PhD! Related ... [Read more...]

I came across this blog post just now: The Next Big Thing, and of course these words caught my attention: [...] However, for me personally and for most users, both individual and organizational, the much greater cost of software is the time it takes to install it, maintain it, learn it ... [Read more...]

How many times have you been disappointed by nice trading system, because neither trading cost or slippage or bid/ask spread were included into back-test results? Did you find difficult to back-test a portfolio in R or many portfolios with different stocks? Blotter package is supposed to solve these problems. ... [Read more...]

Here is my personal list of rules of thumb for people who want to meet some R gurus (quickly) in the R help mailing list ([email protected]): If you want to meet Dr Bill Venables, just say something about Type III Sum of Squares (better if you also mention ... [Read more...]

Bespoke blogged about average monthly returns of the DJI and emphasized April. Before jumping on that information, let’s check some weak points. In that post, only average returns are presented. We need at least extreme points (min;max) and confidence ranges. Second problem – the normal market have upward trend ... [Read more...]

hen we want to call external programs in R under Windows, we often need to know the paths of these programs. For instance, we may want to know where ImageMagick is installed, as we need the convert (convert.exe) utility to convert images to other formats, or where OpenBUGS is ... [Read more...]

mber Watkins gave me a suggestion on the animation for the ratio estimation, and I think this is a good topic for my animation package. I’ve finished writing the initial version of the function sample.ratio() for this package, which will appear in the version 1.1-2 a couple of ... [Read more...]

Inspired by CXO group report, I did a rerun of the same strategy on my data. Easter’s dates can be find at wikipedia. Overall, my results are similar to CXO group’s results. In the graph below, I plotted daily returns on Easter week (Monday to Thursday) from 1982 to 2009. ... [Read more...]