THIS IS NOT INVESTMENT ADVICE.  ACTING ON THIS MAY LOSE LOTS OF MONEY. In A Quantstrat to Build on Part 5, I promised some performance reporting on quantstrat portfolios, but then in REIT Momentum in Quantstrat, I discovered it is not nearly as ea...

With 148 pageviews over the last 24 hours, my post Kenneth French Gift to the Finance World has been popular relative to most of my other posts.  I think the popularity is due to Kenneth French’s notoriety and the amazing outperformance of Small...

Kenneth French gives one of the best gifts to the finance world at his website http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.  I am surprised I have waited so long to write a post about this wonderful resource.  Aft...

I wrote this as my quarterly commentary, but compliance blocked it because they said I was implying that I am Warren Buffett or I can replicate Warren Buffett.  Anyways, I thought I should share it as a general discussion piece.  More than on...

THIS IS NOT INVESTMENT ADVICE.  LISTENING TO ME COULD LOSE LOTS OF MONEY. For some additional insight to my short REITs beliefs presented in REITs for Everybody Now REITs for Nobody Part 2 and REITs for Everybody Might Now Mean REITs for Nobody, I...

THIS IS NOT INVESTMENT ADVICE AND COULD EASILY RESULT IN SIGNIFICANT LOSSES. As an extension to Testing Hurst with Multiple Indexes and Exploring the Market with Hurst, we also might employ our new Hurst signal as a relative strength determinant. ...

DO NOT TRADE THIS SYSTEM.  YOU VERY EASILY COULD LOSE LARGE AMOUNTS OF MONEY. I am not necessarily recommending the system that I presented in Exploring the Market with Hurst, but I thought it would provide a nice platform to illustrate some backtesti...

Randomly trudging through PerformanceAnalytics source code, I was intrigued by the Hurst Index calculation, which I discovered is more commonly called Hurst Exponent.  After quickly satisfying myself that I could actually do the rolling Hurst calculat...

As a quick follow-up to my first REITs for Everybody Might Now Mean REITs for Nobody, I want to look at REITs and High Yield bonds, which also might simultaneously attract conservative yield buyers and speculative beta chasers.HYG (iShares High Yield) ...

I took a short break from quantstrat to do some REIT analysis REITs for Everybody Might Now Mean REITs for Nobody.  Now let’s link the two by incorporating The Aleph Blog momentum bucket strategy in quantstrat. From TimelyPortfolio In ...

THIS IS MY OPINION AND ANALYSIS AND IS NOT INVESTMENT ADVICE.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I think REITs traditionally attract conservative dividend investors (grandparents), but due to their recent behavior, REITs also attr...

THIS IS NOT INVESTMENT ADVICE.  IT IS SIMPLY MY OPINION.  LISTENING TO MY OPINION MIGHT LOSE LOTS OF MONEY. I contend that REITs now have two buyers: dividend pickers and beta chasers.  The beta chasers’ demand has driven prices to sig...

Another iteration of the quantstrat system but this time with a sum of standard deviations instead of simple count and then some comparison charts.  Thanks for the comments and I welcome many more.  In my head and it seems like in others base...

When we build a system, we are almost always trying to beat buy and hold by some metric or metrics.  I have not found a demo to compare a quantstrat system with a generic buy and hold system.  Here is the way I accomplish a basic comparison w...

This just does the same thing as A Quantstrat to Build on Part 2, but I use sigCrossover and sigComparison instead of sigThreshold as my signal.  Maybe it will help some struggling to understand implementation of the different signal types.  ...

As I explore additional functionality of quantstrat and make changes to my original post A Quantstrat to Build On, I will write multiple posts, and hopefully, the finished product will not be so overwhelming to comprehend.  Also, it might highligh...

THIS IS NOT INVESTMENT ADVICE.  PLEASE DO NOT TRADE THIS SYSTEM AS IT CAN LOSE SIGNIFICANT AMOUNTS OF MONEY.  YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. Some R finance powerhouses have been banging away on the quantstrat package for q...

Sometimes it is fun to just look at annual returns, especially as the financial world has shifted its focus to microseconds in a world of inconceivable macro imbalances.  St. Louis Fed (USREC) offers a binary state of the economy with 1=recession ...

THIS SHOULD BE OBVIOUS THROUGHOUT THE POST BUT THIS IS NOT INVESTMENT ADVICE.  PLEASE DO NOT FOLLOW THIS SYSTEM AS IT COULD RESULT IN SERIOUS LOSSES. One of the perils of system-building is the tendency to unintentionally overoptimize by playing/r...

I owe someone at the Fed a beer for all the recent additions at http://research.stlouisfed.org/fred2/.  I have covered some in Spreads and Stress and Gifts from BAC ML and the Federal Reserve.  The newest addition 8 Chicago Fed Indexes Added ...