Publications by The R Trader
Financial Data Accessible from R – part II
I updated my initial post with two new sources of data and the associated R packages: Datastream and PWT. I also added the fImport package from Rmetrics. Following a reader suggestion, I made the initial table more interactive, moved the data description and package detail below the main table and updated them. Enjoy! Source R Package Free A...
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Finding Reversal Zone in Intraday FX prices
There is no holy grail in trading instead there are strategies that work for a while or in a specific market environment. The role of the analyst is therefore twofold. First find a good trading strategy, second find the right environment for this strategy. The present post focuses on the latter. More specifically it aims at estimating good entr...
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Financial Data Accessible from R – part III
I came across a new source of data which I think is really worth sharing: ThinkNum. It gathers around 2,000 sources of data but more importantly it allows the user to manipulate this data via functions and graphics and there is an R package available on CRAN. Interested readers can find a very good post exploring some of the functionalities here....
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Evaluating Quandl Data Quality
Quandl has indexed millions of time-series datasets from over 400 sources. All of Quandl’s datasets are open and free. This is great news but before performing any backtest using Quandl data, I want to compare it with a trusted source: Bloomberg for the purpose of this post. I will focus only on daily Futures data here (front month contract). ...
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Evaluating Quandl Data Quality – part II
This post is a more in depth analysis of Quandl futures data vs. Bloomberg data. Since my last post Quandl has updated its futures database to 200+ contracts from 68 contracts originally. For practical reasons, I limit myself here to the initial list of 60+ contracts. I’m still comparing the “Front Month” contract between the two sources. W...
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Financial Data Accessible from R – part IV
DataMarket is the latest data source of financial data accessible from R I came across. A good tutorial can be found here. I updated the table and the descriptions below. Source R Package Free Access Available on CRAN Provider url Yahoo, FRED, Oanda, Google Quantmod Yes Yes Quantmod Quandl Quandl Yes Yes Quandl TrueFX TFX Yes Yes TrueFX Bloo...
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Introduction to R for Quantitative Finance – Book Review
I used some spare time I had over the christmas break to review a book I came across: Introduction to R for Quantitative Finance. An introduction to the book by the authors can be found here. The book targets folks with some finance knowledge but no or little experience with R. Each chapter is organised around a quant finance topic. Step by st...
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Overnight vs. Intraday ETF Returns
I haven’t done much “googling” before posting, so this topic might have been covered elsewhere but I think it’s really worth sharing or repeating anyway. A lot has been written about the source of ETF returns (some insights might be found here). In a nutshell some analysis found that the bulk of the return is made overnight (return b...
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A million ways to connect R and Excel
In quantitative finance both R and Excel are the basis tools for any type of analysis. Whenever one has to use Excel in conjunction with R, there are many ways to approach the problem and many solutions. It depends on what you really want to do and the size of the dataset you’re dealing with. I list some possible connections in the table below...
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Using CART for Stock Market Forecasting
There is an enormous body of literature both academic and empirical about market forecasting. Most of the time it mixes two market features: Magnitude and Direction. In this article I want to focus on identifying the market direction only. The goal I set myself, is to identify market conditions when the odds are significantly biased toward an up ...
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