Publications by Joshua Ulrich
Import Japanese equity data into R with quantmod 0.4-4
I pushed quantmod 0.4-4 to CRAN this weekend. It adds a getSymbols.yahooj function to pull stock data from Yahoo Finance Japan, and fixes issues in getOptionChain.yahoo and getSymbols.oanda.Changes to the Yahoo Finance and Oanda websites broke the getOptionChain.yahoo and getSymbols.oanda functions, respectively. I didn’t use getOptionChain...
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Registration Open for R/Finance 2015!
You can find registration information and agenda details (as they become available) on the conference website. Or you can go directly to the registration page. Note that there’s an early-bird registration deadline of May 15.The conference will take place on May 29 and 30, at UIC in Chicago. Building on the success of th...
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plot.xts RFC
We have been working on a new charting engine for xts::plot.xts for the past couple years. It started with Michael Weylandt’s work during the 2012 Google Summer of Code, and Ross Bennett took up the torch during the 2014 GSoC.This new engine improves the functionality, modularity, and flexibility of plot.xts by building off the framework Jeff...
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New quantmod and TTR on CRAN
I just sent quantmod_0.4-5 to CRAN, and TTR_0.23-0 has been there for a couple weeks. I’d like to thank Ivan Popivanov for many useful reports and patches to TTR. He provided patches to add HMA (Hull MA), ALMA, and ultimateOscillator functions.James Toll provided a patch to the volatility function that uses a zero mean (instead of ...
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Comment on Overnight SPY Anomaly
This post is in response to Michael Harris’ Price Action Lab post, where he uses some simple R code to evaluate the asymmetry of returns from the day’s close to the following day’s open. I’d like to respond to his 3 notes, which I’ve included below.The R backtest assumes fractional shares. This means that equity is fully i...
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Registration for R/Finance 2016 is open!
You can find registration information and agenda details on the conference website. Or you can go directly to the Cvent registration page.Note that registration fees will increase by 50% at the end of early registration on May 6, 2016.The conference will take place on May 20 and 21, at UIC in Chicago. Building on the success of the pre...
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DataCamp course: Importing and managing financial data
The team at DataCamp announced a new R/Finance course series in a recent email:Subject: Data Mining Tutorial, R/Finance course series, and more!R/Finance – A new course series in the worksWe are working on a whole new course series on applied finance using R. This new series will cover topics such as time series (David S. Matteson),...
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quantmod 0.4-6 on CRAN
CRAN just accepted a bugfix release of quantmod. The most pertinent changes were to fix getSymbols.oanda (#36) and getOptionChain.yahoo (#92). It also includes a fix to addTRIX (#72).Oanda changed their URL format from http to https, and getSymbols.oanda did not follow the redirect. Yahoo Finance changed the HTML for displaying option...
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R/Finance 2017: Call for Papers
R/Finance 2017: Applied Finance with RMay 19 and 20, 2017University of Illinois at ChicagoThe ninth annual R/Finance conference for applied finance using R will be held on May 19 and 20, 2017 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advan...
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quantmod 0.4-8 on CRAN
I pushed a bug-fix release of quantmod to CRAN last night. The major changes were togetSymbols.FRED (#141)getSymbols.oanda (#144)getSymbols.yahoo (#149)All three providers made breaking changes to their URLs/interfaces.getSymbols.google also got some love. It now honors all arguments set via setSymbolLookup (#138), and it correctly p...
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