Quant Mashup - Foss Trading
Adaptive Asset Allocation Extended [Foss Trading]
This post extends the replication from the Adaptive Asset Allocation Replication post by running the analysis on OOS (out-of-sample) data from 2015 through 2023. Thanks to Dale Rosenthal for helpful comments. The paper uses the 5 portfolios below. Each section of this post will give a short
- 8 months ago, 17 Jan 2024, 08:51pm -
Adaptive Asset Allocation Replication [Foss Trading]
The paper, “Adaptive Asset Allocation: A Primer” by Adam Butler, Mike Philbrick, Rodrigo Gordillo, and David Varadi addresses flaws in the traditional application of Modern Portfolio Theory related to Strategic Asset Allocation. It shows that estimating return and (co)variance parameters over
- 10 months ago, 9 Dec 2023, 04:06am -
Mean rolling correlation of XLF constituents [Foss Trading]
I follow Quantocracy on Twitter, and I found Rolling mean correlation in the tidyverse by Robot Wealth. They say to let them know if you’d approach it differently. I would, so I thought it would be interesting to replicate the analysis using tools I’m familiar with: xts and TTR. The xts package
- 4 years ago, 21 Sep 2020, 12:31pm -
R/Finance 2018 Registration [Foss Trading]
This year marks the 10th anniversary of the R/Finance Conference! As in prior years, we expect more than 250 attendees from around the world. R users from industry, academia, and government will joining 50+ presenters covering all areas of finance with R. The conference will take place on June 1st
- 6 years ago, 21 Apr 2018, 09:30am -
Goodbye Google, Hello Tiingo! [Foss Trading]
First, the bad news: Google Finance no longer provides data for historical prices or financial statements, so we say goodbye to getSymbols.google() and getFinancials.google(). (#221) They are now defunct as of quantmod 0.4-13. Now, the good news: Thanks to Steve Bronder, getSymbols() can now import
- 6 years ago, 13 Apr 2018, 12:43pm -
R/Finance 2018: Call for Papers [Foss Trading]
The tenth annual R/Finance conference for applied finance using R will be held June 1 and 2, 2018 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing,
- 6 years ago, 9 Jan 2018, 01:48pm -
getSymbols and Alpha Vantage [Foss Trading]
Thanks to Paul Teetor, getSymbols() can now import data from Alpha Vantage! This feature is part of the quantmod 0.4-11 release, and provides another another data source to avoid any Yahoo Finance API changes*. Alpha Vantage is a free web service that provides real-time and historical equity data.
- 7 years ago, 6 Oct 2017, 10:45pm -
Importing and Managing Financial Data [Foss Trading]
I'm excited to announce my DataCamp course on importing and managing financial data in R! I'm also honored that it is included in DataCamp's Quantitative Analyst with R Career Track! You can explore the first chapter for free, so be sure to check it out! Course Description Financial
- 7 years ago, 21 Jun 2017, 07:36pm -
Yahoo Finance Alternatives [Foss Trading]
I assume that you're reading this because you are one of many people who were affected by the changes to Yahoo Finance data in May (2017). Not only did the URL change, but the actual data changed as well! The most noticeable difference is that the adjusted close column is now only
- 7 years ago, 7 Jun 2017, 10:56pm -
Stack Financials: Analyze Financial Statement Data [FOSS Trading]
A quantmod user asked an interesting question on StackOverflow: Looping viewFinancials from quantmod. Basically, they wanted to create a data.frame that contained financial statement data for several companies for several years. I answered their question, and thought others might find the function I
- 7 years ago, 15 Feb 2017, 12:27am -
R/Finance 2017: Call for Papers [Foss Trading]
The ninth annual R/Finance conference for applied finance using R will be held on May 19 and 20, 2017 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing,
- 7 years ago, 4 Jan 2017, 11:30am -
Registration for R/Finance 2016 is open! [FOSS Trading]
You can find registration information and agenda details on the conference website. Or you can go directly to the Cvent registration page. Note that registration fees will increase by 50% at the end of early registration on May 6, 2016. The conference will take place on May 20 and 21, at UIC in
- 8 years ago, 11 Apr 2016, 02:43pm -
plot.xts RFC [FOSS Trading]
We have been working on a new charting engine for xts::plot.xts for the past couple years. It started with Michael Weylandt's work during the 2012 Google Summer of Code, and Ross Bennett took up the torch during the 2014 GSoC. This new engine improves the functionality, modularity, and
- 9 years ago, 20 Apr 2015, 09:32pm -
Import Japanese equity data into R with quantmod 0.4-4 [Foss Trading]
I pushed quantmod 0.4-4 to CRAN this weekend. It adds a getSymbols.yahooj function to pull stock data from Yahoo Finance Japan, and fixes issues in getOptionChain.yahoo and getSymbols.oanda. Changes to the Yahoo Finance and Oanda websites broke the getOptionChain.yahoo and getSymbols.oanda
- 9 years ago, 11 Mar 2015, 09:23am -
Google Summer of Code 2015 [FOSS Trading]
The R Project has once again been selected as a mentoring organization for this year's Google Summer of Code (GSoC). If you're not familiar with GSoC, it's a global program that offers students a stipend to write code for open source projects, under the direction of a mentor. Mentors
- 9 years ago, 3 Mar 2015, 09:37pm -