Publications by systematicinvestor
Multiple Stocks Plot Shiny web application
Today, I want to share the Multiple Stocks Plot application (code at GitHub). This is the second application in the series of examples (I plan to share 5 examples) that will demonstrate the amazing Shiny framework and Systematic Investor Toolbox to analyze stocks, make back-tests, and create summary reports. The motivation for this series of post...
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January Seasonality Shiny web application
Today, I want to share the January Seasonality application (code at GitHub). This example is based on the An Example of Seasonality Analysis post. This is the third application in the series of examples (I plan to share 5 examples) that will demonstrate the amazing Shiny framework and Systematic Investor Toolbox to analyze stocks, make back-tests...
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Market Filter Back Test Shiny web application
Today, I want to share the Market Filter Back Test application (code at GitHub). This is the forth application in the series of examples (I plan to share 5 examples) that will demonstrate the amazing Shiny framework and Systematic Investor Toolbox to analyze stocks, make back-tests, and create summary reports. The motivation for this series of po...
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Sector Rotation Back Test Shiny web application
Today, I want to share the Sector Rotation Back Test application (code at GitHub). This is the last application in the series of examples (I have shared 5 examples) that will demonstrate the amazing Shiny framework and Systematic Investor Toolbox to analyze stocks, make back-tests, and create summary reports. The motivation for this series of pos...
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Cluster Risk Parity back-test
In the Cluster Portfolio Allocation post, I have outlined the 3 steps to construct Cluster Risk Parity portfolio. At each rebalancing period: Create Clusters Allocate funds within each Cluster using Risk Parity Allocate funds across all Clusters using Risk Parity I created a helper function distribute.weights() function in strategy.r at github ...
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Maximum Sharpe Portfolio
Maximum Sharpe Portfolio or Tangency Portfolio is a portfolio on the efficient frontier at the point where line drawn from the point (0, risk-free rate) is tangent to the efficient frontier. There is a great discussion about Maximum Sharpe Portfolio or Tangency Portfolio at quadprog optimization question. In general case, finding the Maximum Shar...
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Retirement : simulating wealth with random returns, inflation and withdrawals – Shiny web application
Today, I want to share the Retirement : simulating wealth with random returns, inflation and withdrawals – Shiny web application (code at GitHub). This application was developed and contributed by Pierre Chretien, I only made minor updates. This is application is a great example of how easy it is to convert your R script into interactive Shiny...
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R/Finance 2013 slides
I have just returned from the R/Finance conference and want to share with you my slides and examples. The Cluster Risk Parity portfolio allocation method is an example of Cluster Portfolio Allocation methods that focuses on diversification or more specifically diversification of your risk bets. (i.e. portfolio that distributes risk equally both ...
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Loading Historical Stock Data
Historical Stock Data is critical for testing your investment strategies. I illustrated all my back-test examples with getSymbols function from quantmod package. For example, following is a back-test comparison for a few portfolio allocation methods: ############################################################################### # Load Systematic...
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Update: Extending Commodity time series
I showed an example of Extending Commodity time series back in 2012. Since then, the web site that I used to get the Thomson Reuters/Jefferies CRB Index data is no longer working. But there are a few alternatives: Thomson Reuters / Jefferies CRB Index. To get data, first select “TRJ/CRB Index-Total Return”, next click “See Chart”. There ...
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