Publications by rbresearch
Low Volatility with R
Low volatility and minimum variance strategies have been getting a lot of attention lately due to their outperformance in recent years. Let’s take a look at how we can incorporate this low volatility effect into a monthly rotational strategy with a basket of ETFs. Performance Summary from Low Volatility Test in quantstrat Starting Equity: 100,0...
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Simple Moving Average Strategy with a Volatility Filter
I would describe my trading approach as systematic long term trend following. A trend following strategy can be difficult mentally to trade after experiencing multiple consecutive losses when a trade reverses due to a volatility spike or the trend reverses. Volatility tends to increase when prices fall. This is not good for a long only trend foll...
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1
Analyzing transactions in quantstrat This post will be part 1 of a follow up to the original post, Simple Moving Average Strategy with a Volatility Filter. In this follow up, I will take a closer look at the individual trades of each strategy. This may provide valuable information to explain the difference in performance of the SMA Strategy wit...
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2
In the Follow-Up Part 1, I explored some of the functions in the quantstrat package that allowed us to drill down trade by trade to explain the difference in performance of the two strategies. By doing this, I found that my choice of a volatility measure may not have been the best choice. Although the volatility filter kept me out of trades durin...
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 3
In part 2, we saw that adding a volatility filter to a single instrument test did little to improve performance or risk adjusted returns. How will the volatility filter impact a multiple instrument portfolio? In part 3 of the follow up, I will evaluate the impact of the volatility filter on a multiple instrument test. The tests will use nine of t...
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Quick View on Correlations of Different Instruments
In this post, I will demonstrate how to quickly visualize correlations using the PerformanceAnalytics package. Thanks to the package creators, it is really easy correlation and many other performance metrics. The first chart looks at the rolling 252 day correlation of nine sector ETFs using SPY as the benchmark. As expected the correlation is rat...
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Strategy Diversification in R – follow up
The strategies used in Strategy Diversification in R were labeled as Strategy1 and Strategy2. Strategy1 Indicator: 52 week Simple Moving Average Entry Rule: Buy 1000 shares when price crosses and closes above 52 week Simple Moving Average Exit Rule: Exit all positions when prices crosses and closes below 52 week Simple Moving Average Classificat...
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Fun with the googleVis Package for R
Using packages such as ggplot and lattice can produce some great charts and visualization, but googleVis is tough to beat for interactive charts to share on the web. Click on the image below to open up the html page. rbresearch This was all done in R! I will warn you that it is too easy to blow an entire Saturday afternoon playing with the google...
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Alternative to Monte Carlo Testing
When we backtest a strategy on a portfolio, it is a simple analysis of a single period in time. There are ways to “stress test” a strategy such as monte carlo, random portfolios, or shuffling the returns in a random order. I could never really wrap my head around monte carlo and shuffling the returns seemed to be a better approach because the...
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“Computing for Data Analysis” with R on coursera
Just stumbled on across a course on coursera titled “Computing for Data Analysis” taught by Roger D. Peng the Johns Hopkins Bloomberg School of Public Health. Here is the description of the course. In this course you will learn how to program in R and how to use R for effective data analysis. You will learn how to install and configure softw...
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