Publications by klr
Mode vs Mean in Tactical Allocation
Let’s take Modest Modeest for Moving Average one step further and use it in a basic tactical allocation system using Vanguard funds. THIS IS NOT INVESTMENT ADVICE AND VERY EASILY MIGHT CAUSE LARGE LOSSES. VANGUARD FUNDS IMPOSE EARLY REDEMPTION FEES THAT RENDER THIS NOT FEASIBLE. If we use US Equities (vfinx for S&P 500), International Devel...
1720 sym R (4217 sym/1 pcs) 10 img 4 tbl
Reporting Good Enough to Share
Sorry to all my faithful readers for my absence recently. I started a new job at a new firm, so my blogging has moved down the priority list but only temporarily. I am still committed to documenting my thoughts, especially finance and R thoughts as discussed in Why Talk My Book? . So far, I have used R primarily for my own use without the intent...
2368 sym R (11630 sym/1 pcs) 8 img 2 tbl
Performance with ggplot2
Now after Reporting Good Enough to Share, let’s use ggplot2 and PerformanceAnalytics to turn this into this From TimelyPortfolio I have been notified that the colors aren’t great. How does everyone like this? R code (click to download): require(quantmod) require(ggplot2) require(PerformanceAnalytics) clientPerf <- read.csv("clie...
661 sym R (2652 sym/1 pcs) 6 img 1 tbl
ttrTests: Its Great Thesis and Incredible Potential
I stumbled on the ttrTests R package as mentioned in my post ttrTests Experimentation. I did not recognize its potential until I spent much more time absorbing the basis of the package—David St. John’s thesis Technical Analysis Based on Moving Average Convergence and Divergence. Since the title specifically addresses MACD, which I have ha...
2413 sym R (1189 sym/1 pcs) 2 img
ttrTests This is a Test–Test 1 and Test 2
Just to remind everyone, THIS IS NOT INVESTMENT ADVICE AND ANY ACTIONS TAKEN BASED ON THIS DISCUSSION WILL PROBABLY RESULT IN SIGNIFICANT LOSSES. We had fun with the ttrTests package in two previous posts ttrTests: Its Great Thesis and Incredible Potential and ttrTests Experimentation. Let’s actually run some real tests on the basic CUD indic...
1316 sym R (4278 sym/1 pcs) 12 img 5 tbl
ttrTests This is a Test Test 3:Data Snoopy
THIS IS NOT INVESTMENT ADVICE. IT IS JUST AN EXAMPLE AND WILL LIKELY LOSE LOTS OF MONEY IF YOU PURSUE WHAT IS DISCUSSED. READER IS RESPONSIBLE FOR THEIR OWN GAINS OR LOSSES. IF YOU ARE AN UNLIKELY WINNER, I WOULD LOVE TO HEAR YOUR STORY. When we are deciding on a quantitative system to guide our investments, we have multiple choices all fr...
2168 sym R (2136 sym/1 pcs) 6 img 1 tbl
Difficult Month for One of My Best Ideas
THIS IS NOT INVESTMENT ADVICE. MY IDEAS PROBABLY WILL LOSE YOU MONEY, AND I WILL NOT LET YOU KNOW WHEN I CHANGE MY MIND. Bloomberg’s article “Asian Currencies Set for Worst Month Since 1997 Crisis Caused IMF Bailouts” demonstrates why with all my bearishness I did not make much money this month. Just as a reminder for the not so faithfu...
2853 sym 4 img 1 tbl
Efficient Frontier of Buy-Hold and Tactical System
In my mind, there are two very disparate views in the money management space: Markowitz style diversification and Faber style tactical allocation. I thought it would be fun to see what happens when we try to blend the two with an efficient frontier between two assets—”buy and hold” S&P 500 and a Faber 10-month tactical S&P 500 strategy. I...
1502 sym R (4947 sym/1 pcs) 12 img 5 tbl
Generosity of Asian Central Banks
The only thing that separates the United States from Europe and the notorious PIIGS is the generosity of Asian Central Banks who have been consistently quantitatively easing since 1998 (Join the Reserves). From TimelyPortfolio Without this generosity, the United States could very easily have entered a death spiral (see Death Spiral of a Coun...
2149 sym 6 img 2 tbl
System in 10 Minutes After Twitter
On Twitter last night, I spotted @milktrader from www.algorithmzoo.com doing some range research on equity indexes. I offered a tweet on the crazy Russell 2000 17% move over 7 days. Within 10 minutes, I discovered a signal that worked very well. It probably is worthless, but I thought I would share in case someone cares to play with it. T...
1175 sym 6 img 2 tbl