Publications by Joshua Ulrich
R/Finance 2009 Presentations Online
Posted to the R-SIG-Finance mailing list today:For those who missed it, the slides for the R/Finance 2009 tutorialsand presentations are now available on RinFinance.comhttp://www.RinFinance.com/presentationsWe want to thank everyone who traveled to Chicago to make this happen. With nearly 200 attendees, coming from 8 countries and 20...
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Packages featured with Inference for R
quantmod, TTR, and xts were (not so) recently featured on the Inference for R Blog. Inference for R is a Integrated Development Environment (IDE) designed specifically for R.The post gives an example of how to easily perform advanced financial stock analysis using Inference in Excel.I appreciate how they’re making R more accessible to a genera...
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RSI(2) Evaluation
Despite my best efforts, it’s been a month since the last post of this series. The first post replicated this simple RSI(2) strategy from the MarketSci Blog using R. The second post showed how to replicate the strategy that scales in/out of RSI(2). This post will use the PerformanceAnalytics package to evaluate the rules that sca...
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David Varadi’s RSI(2) alternative
Here’s a quick R implementation of David Varadi’s alternative to the RSI(2). Michael Stokes over at the MarketSci blog has three great posts exploring this indicator: Varadi’s RSI(2) Alternative: The DV(2) RSI(2) vs. DV(2) Last Couple of Notes on DV(2) Here’s the R code: DV # “HLC” is an _xts_ object with “High...
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Xasax closes shop
Six months after shutting down opentick completely Xasax (opentick’s parent company) has followed suit.It looks like Xasax hit funding problems in August… Inside Market Data mentions the above in this story. Here is the full story (subscription required). Related To leave a comment for the author, please follow the link and com...
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opentick alternatives
I’ve been getting a bit of traffic from people searching for opentick (the defunct company), so I’ve started a list of similar (but non-free) data providers. I’m not affiliated with any of these vendors, and the list is in no particular order. I’ll update this post as more information becomes available. IQFeed – features,...
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Tactical asset allocation using blotter
blotter is an R package that tracks the P&L of your trading systems (or simulations), even if your portfolio spans many security types and/or currencies. This post uses blotter to track a simple two-ETF trading system. The contents of this post borrow heavily from code and comments in the “longtrend” demo script in the blotter package. Man...
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LSPM Examples
I have received several requests for additional LSPM documentation over the past couple days and a couple months ago I promised an introduction to LSPM. In this long-overdue post, I will show how to optimize a Leverage Space Portfolio with the LSPM package. Please use the comments to let me know what you would like to see next. So...
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LSPM with snow
My last post provided examples of how to use the LSPM package. Those who experimented with the code have probably found that constrained optimizations with horizons > 6 have long run-times (when calc.max >= horizon).This post will illustrate how the snow package can increase the speed of the probDrawdown and probRuin functions on com...
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R/Finance 2010: Registration Open
As posted by Dirk Eddelbuettel on R-SIG-Finance: R / Finance 2010: Applied Finance with R April 16 & 17, Chicago, IL, US The second annual R / Finance conference for applied finance using R, the premier free software system for statistical computation and graphics, will be held this spring in Chicago, IL, USA on Friday April 16 and ...
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