Publications by klr
Piggybacking and Hopefully Publicizing R Experts
I was inspired by the Revolution Analytics blog post http://blog.revolutionanalytics.com/2009/11/charting-time-series-as-calendar-heat-maps-in-r.html on the d3.js style calendar heat map that Paul Bleicher from Humedica developed in R. In an effort to publicize such fine work, I wanted to put a slightly different spin on it to visualize a syste...
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Latex Allergy Cured by knitr
I have always known that at some point I would have to succumb to the power of Latex, but Latex has been uncharacteristically intimidating to me. I finally found the remedy to my Latex allergy with the amazing and fantastic knitr package from Yihui Xie. With very minimal effort, I ran my first experiment and now am extremely excited to incorp...
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knitr Performance Report-Attempt 1
I get very excited about new R packages, but rarely is my excitement so fulfilled as with knitr. Even with no skill, I have already been able to adapt the example Yihui Xie provides in his knitr Graphics Manual into a crude first version of a performance report that I could actually show clients and prospects. Although this is far from produc...
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knitr Performance Report-Attempt 2
Over the years I have changed my learning process from reading thoroughly first before proceeding to reading minimally and then applying immediately. I very quickly see the gaps in my knowledge. This method is far more painful but seems to quicken progress up the learning curve. You will definitely see the process in its entirety with this ...
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Efficient Frontier of Funds and Allocation Systems
I did a very basic experiment in Efficient Frontier of Buy-Hold and Tactical System where I determined the efficient frontier of the S&P 500 with itself transformed by a Mebane Faber 10-month moving average tactical allocation. The result was interesting, but I did not pursue further. Now with some inspiration and tools by Systematic Investor, ...
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Drawdown Look at Frontier of Assets and Systems
In Efficient Frontier of Funds and Allocation Systems, I had hoped to start exploring how a frontier can potentially be created with only one asset, or how an even more efficient frontier could be created with assets and also systems on those assets. I am obsessed with drawdown, so of course I need to extend that post with a look at drawdown to...
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Structural Breaks (Bull or Bear?)
When I spotted the bfast R package, I could not resist attempting to apply it to identify bull and bear markets. For all the details that I do not understand, please see the references: Jan Verbesselt, Rob Hyndman, Glenn Newnham, Darius Culvenor (2010). Detecting Trend and Seasonal Changes in Satellite Image Time Series. Remote Sensing of En...
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Real Time Structural Break
Yesterday as I played with bfast I kept thinking “Yes, but this is all in hindsight. How can I potentially use this in a system?” Fortunately, one of the fine authors very generously commented on my post Structural Breaks (Bull or Bear?): “Jan Verbesselt Apr 27, 2012 02:01 AM Nice application! you can also detect seasonal breaks. also ...
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French Global Factors
I have said it already in multiple posts, but Kenneth French’s data library is one of the most generous and powerful contributions to the financial community. To build on Systematic Investor’s series on factors, I thought I should run some basic analysis on the Global Factors maintained by Kenneth French. I cannot imagine how long this wo...
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Skew of Bonds
As the researchpuzzler highlights in “a bad bet”, US bonds were a popular subject at the CFA Institute Annual Conference. While US Bonds have been in an amazing 30 year run (see previous posts Lattice Explore Bonds, Bond Market as a Casino Game Part 1, Calmar Ratio 1.37 over the past 20 years), I think many positive skew-chasing market part...
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