Publications by klr
Great FAJ Article on Statistical Measure of Financial Turbulence Part 2
I did not intend for this to be a multi-part series, but after some clear thinking at the beach over the weekend, I decided that it needed some more analysis. For those of you that read the article or know Mahalanobis distance, the measure I presented in my post Great FAJ Article on Statistical Measure of Financial Turbulence was a derivative ...
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Great FAJ Article on Statistical Measure of Financial Turbulence Part 3
Building on posts Great FAJ Article on Statistical Measure of Financial Turbulence and Great FAJ Article on Statistical Measure of Financial Turbulence Part 2, I will now build a system incorporating a new correlation-based measure of turbulence and a simple relative strength technique. First, the new correlation-based measure looks like this ...
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Slightly Different Use of Ralph Vince’s Leverage Space Trading Model
In honor of the press release Dow Jones Indexes To Develop, Co-Brand Index Family With LSP Partners two days ago, I thought I would show another slightly different use of Ralph Vince’s The Leverage Space Trading Model. Using the R LSPM package, we can build a monthly system around the probProfit calculation. This particular system will enter...
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Another Use of LSPM in Tactical Portfolio Allocation
After the slightly unconventional use of LSPM presented in Slightly Different Use of Ralph Vince’s Leverage Space Trading Model, I thought I should follow up with something that more closely resembles my interpretation of Ralph Vince’s book. LSPM seems to work well for portfolio allocation problems. In this tactical allocation system, I wil...
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First Answer to My Own Question-Combine LSPM and Mahalanobis
I first wanted to thank http://www.fosstrading.com for the very kind and unexpected mention over the weekend. You will notice almost all of my code contains some credit to Foss Trading for the examples and great packages. I hate that I could not join everyone R/Finance 2011: Applied Finance with R Conference last weekend. In my last post Anot...
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Commodity Index Estimators
In this post I will show my first try at a commodity index substitute. Regular readers know my frustration with proprietary data as I try to demonstrate various techniques to users who might not have the resources to pay for the data. I have substituted US 10y Treasury Total Returns series as my bond proxy with good results, but I have so far...
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CPI and US 10y Treasury Extreme –> System Idea
When I see extremes, I feel compelled to explore. The US 10y Treasury yield is at an extreme versus the annualized 3 month CPI rate of change. From TimelyPortfolio Of course, I have to try to build a system around the idea. While this 3 month CPI rate of change generates a decent signal of entry and exit for the S&P 500, it appears the 6 t...
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R Exercise with USDA Data
After the helpful comment by Bradley on my post Commodity Index Estimators, How about the National Agricultural Statistics Service (NASS)? Looks like they have information for prices received back to 1908 for many agricultural goods (http://www.nass.usda.gov/). I started trying to get this USDA price data in R, but after three hours struggling ...
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Bank of America Merrill Lynch Bond Returns on St. Louis Fed
After all my complaining about proprietary data, the St. Louis Federal Reserve announced today the availability of Bank of America Merrill Lynch Bond Indicies on their FRED site. The data is limited in scope and duration, but accessibility especially through R is wonderful. Thanks to people I normally don’t thank–Bank of America and the F...
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S&P 500 High Beta and Low Volatility Indexes and Powershares ETFs
There must be a useful insight, concept, or system provided by the new S&P 500 High Beta and Low Volatility Indexes. Now with the announcement by Powershares of etfs for these indicies http://www.invescopowershares.com/volatility/, any of these potential insights, concepts, or systems seem viable. The indexes are available through the S&P web...
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