Publications by rbresearch
Momentum with R: Part 1
Time really flies… it is hard to believe that it has been over a month since my last post. Work and life in general have consumed much of my time lately and left little time for research and blog posts. Anyway, on to the post! This post will be the first in a series of to cover a momentum strategy using R. One of my favorite strategies is a mom...
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Momentum in R: Part 2
Many of the sites I linked to in the previous post have articles or papers on momentum investing that investigate the typical ranking factors; 3, 6, 9, and 12 month returns. Most (not all) of the articles seek to find which is the “best” look-back period to rank the assets. Say that the outcome of the article is that the 6 month look-back has...
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Momentum in R: Part 3
In the previous post, I demonstrated simple backtests for trading a number of assets ranked based on their 3, 6, 9, or 12 (i.e lookback periods) month simple returns. While it was not an exhaustive backtest, the results showed that when trading the top 8 ranked assets, the ranking based 3, 6, 9, and 12 month returns resulted in similar performanc...
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Momentum in R: Part 4 with Quantstrat
The past few posts on momentum with R focused on a relatively simple way to backtest momentum strategies. In part 4, I use the quantstrat framework to backtest a momentum strategy. Using quantstrat opens the door to several features and options as well as an order book to check the trades at the completion of the backtest. I introduce a few new f...
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Shiny with PerformanceAnalytics Example
The folks at Rstudio have done some amazing work with the shiny package. From the shiny homepage, “Shiny makes it super simple for R users like you to turn analyses into interactive web applications that anyone can use.” Developing web applications has always appealed to me, but hosting, learning javascript, html, etc. made me put this pretty...
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