[R-SIG-Finance] issue on data import to pgAdminIII
Hi I trying to use the function dbWriteTable to write data from R into pgAdminIII The table is called price and the column within in price is called pricelevel The connection works fine and when I call dbExistsTable(con, price) I get true so, so far so good. However, when I call the function as dbWriteTable(con, name=price, value=df, field.types=list(pricelevel=double(20)), row.names=FALSE) I get the error Error in function (classes, fdef, mtable) : unable to find an inherited method for function dbWriteTable, for signature PostgreSQLConnection, character, missing Any idea on what I'm doing wrong? The version of R is 2.13.1 Regards Krisan [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] issue on data import to pgAdminIII
On Wed, 2012-05-02 at 09:46 +0100, krisan haria wrote: I trying to use the function dbWriteTable to write data from R into pgAdminIII The table is called price and the column within in price is called pricelevel While you may be trying to use the database to do finance, this question has nothing to do with finance. Any idea on what I'm doing wrong? 1 you posted to the wrong mailing list. R-SIG-DB or R-Help would have been more appropriate. 2 You did not follow the Posting guide: http://www.r-project.org/posting-guide.html 3 (sub of 2) you did not provide a minimal reproducible example The version of R is 2.13.1 4 you're using a very old version of R -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
[R-SIG-Finance] Back test report in Rugarch
Dear all, Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: VaR Backtest Report === Model: fGARCH-std Backtest Length: 500 Data: == alpha: 1% Expected Exceed: 5 Actual VaR Exceed: 4 Actual %: 0.8% Unconditional Coverage (Kupiec) Null-Hypothesis: Correct Exceedances LR.uc Statistic: 0.217 LR.uc Critical: 3.841 LR.uc p-value: 0.641 Reject Null: NO Conditional Coverage (Christoffersen) Null-Hypothesis: Correct Exceedances Independence of Failures LR.cc Statistic: 0.282 LR.cc Critical: 5.991 LR.cc p-value: 0.869 Reject Null: NO kind regards, paps [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] quantstrat with intraday data
On Wed, 2012-05-02 at 00:00 -0400, Jim Green wrote: Greetings! Pls forgive me if this is an old topic. I have searched through list archives extensively but I am just not sure if I am using quantstrat correctly with intraday data. ... Currently I use something similar to attached test.R to do intraday work. in the code I liquidate everything before close so that I don't need to worry about splits and dividends. Is what I am doing the correct way of using quantstrat with intraday data? That's certainly the easiest answer. blotter contains some support for dividends, but it is only lightly tested, since I personally don't need that functionality. Additional testing, direct feedback, and patches are always welcome. Participation by users is one of the ways these packages grow over time. (and feel free to take those conversations off-list) Also if in future I will hold overnight positions, How would I make sure dividends and splits are correctly adjusted for pnl and summary statistics? would underlying blotter be smart enough to handle all the housekeeping? No Guarantees (of course that's true of everything in R). My recollection is that the addDiv function will add cash to your account to cover dividends. I don't believe that there is a function for splits. You'd likely need to write that, we'd love the contribution. It shouldn't be hard, as all that needs to happen is that you add a transaction for the split with a price of zero, adding more shares and lowering your average cost to compensate for the split. As xts gains support for differing column classes this summer as part of the funded GSoC project, it will get easier to add additional information to transactions that will definitely include transaction type. Regards, - Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Back test report in Rugarch
Are you using the ugarchroll method? Show some code... On Wed, May 2, 2012 at 7:03 AM, Papa sen papa.se...@yahoo.it wrote: Dear all, Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: VaR Backtest Report === Model: fGARCH-std Backtest Length:500 Data: == alpha: 1% Expected Exceed:5 Actual VaR Exceed: 4 Actual %: 0.8% Unconditional Coverage (Kupiec) Null-Hypothesis:Correct Exceedances LR.uc Statistic:0.217 LR.uc Critical: 3.841 LR.uc p-value: 0.641 Reject Null:NO Conditional Coverage (Christoffersen) Null-Hypothesis:Correct Exceedances Independence of Failures LR.cc Statistic:0.282 LR.cc Critical: 5.991 LR.cc p-value: 0.869 Reject Null:NO kind regards, paps [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Back test report in Rugarch
Please find some sample codes: rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, forecast.length = 500, refit.every = 25, refit.window = recursive, parallel = TRUE, parallel.control = list(pkg = snowfall, cores = 10), solver = solnp, solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) report(rollD, type = VaR, n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) report(rollD, type=fpm) Da: John Kerpel john.ker...@gmail.com Cc: r-sig-finance@r-project.org r-sig-finance@r-project.org Inviato: Mercoledì 2 Maggio 2012 15:09 Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch Are you using the ugarchroll method? Show some code... Dear all, Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: VaR Backtest Report === Model: fGARCH-std Backtest Length: 500 Data: == alpha: 1% Expected Exceed: 5 Actual VaR Exceed: 4 Actual %: 0.8% Unconditional Coverage (Kupiec) Null-Hypothesis: Correct Exceedances LR.uc Statistic: 0.217 LR.uc Critical: 3.841 LR.uc p-value: 0.641 Reject Null: NO Conditional Coverage (Christoffersen) Null-Hypothesis: Correct Exceedances Independence of Failures LR.cc Statistic: 0.282 LR.cc Critical: 5.991 LR.cc p-value: 0.869 Reject Null: NO kind regards, paps [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Back test report in Rugarch
What are you having trouble understanding? The Null Hypothesis is clearly stated and the test also provides the 'decision' on whether to reject the Null at the given confidence level. Type ?VaRTest if you want a more detailed description of what each parameter means, or read the vignette for a description of what the test does with the literature reference. As to the backtest length not changing, you do not state under which circumstances you experienced such as an error. From your code you requested a forecast length of 500 which is what you got in the resulting output. -Alexios On 02/05/2012 14:25, Papa sen wrote: Please find some sample codes: rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, forecast.length = 500, refit.every = 25, refit.window = recursive, parallel = TRUE, parallel.control = list(pkg = snowfall, cores = 10), solver = solnp, solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) report(rollD, type = VaR, n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) report(rollD, type=fpm) Da: John Kerpeljohn.ker...@gmail.com Cc: r-sig-finance@r-project.orgr-sig-finance@r-project.org Inviato: Mercoledì 2 Maggio 2012 15:09 Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch Are you using the ugarchroll method? Show some code... Dear all, Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: VaR Backtest Report === Model: fGARCH-std Backtest Length:500 Data: == alpha: 1% Expected Exceed:5 Actual VaR Exceed: 4 Actual %: 0.8% Unconditional Coverage (Kupiec) Null-Hypothesis:Correct Exceedances LR.uc Statistic:0.217 LR.uc Critical: 3.841 LR.uc p-value: 0.641 Reject Null:NO Conditional Coverage (Christoffersen) Null-Hypothesis:Correct Exceedances Independence of Failures LR.cc Statistic:0.282 LR.cc Critical: 5.991 LR.cc p-value: 0.869 Reject Null:NO kind regards, paps [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Back test report in Rugarch
It looks like you got what you requested - 500 1 step ahead forecasts with a VaR Test that seems to fit the data well. Check the literature for the defintions of the VaR Tests from Christoffersen/Kupiec et al. On Wed, May 2, 2012 at 8:25 AM, Papa sen papa.se...@yahoo.it wrote: Please find some sample codes: rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, forecast.length = 500, refit.every = 25, refit.window = recursive, parallel = TRUE, parallel.control = list(pkg = snowfall, cores = 10), solver = solnp, solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) report(rollD, type = VaR, n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) report(rollD, type=fpm) -- *Da:* John Kerpel john.ker...@gmail.com *A:* Papa sen papa.se...@yahoo.it *Cc:* r-sig-finance@r-project.org r-sig-finance@r-project.org *Inviato:* Mercoledì 2 Maggio 2012 15:09 *Oggetto:* Re: [R-SIG-Finance] Back test report in Rugarch Are you using the ugarchroll method? Show some code... On Wed, May 2, 2012 at 7:03 AM, Papa sen papa.se...@yahoo.it wrote: Dear all, Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: VaR Backtest Report === Model: fGARCH-std Backtest Length:500 Data: == alpha: 1% Expected Exceed:5 Actual VaR Exceed: 4 Actual %: 0.8% Unconditional Coverage (Kupiec) Null-Hypothesis:Correct Exceedances LR.uc Statistic:0.217 LR.uc Critical: 3.841 LR.uc p-value: 0.641 Reject Null:NO Conditional Coverage (Christoffersen) Null-Hypothesis:Correct Exceedances Independence of Failures LR.cc Statistic:0.282 LR.cc Critical: 5.991 LR.cc p-value: 0.869 Reject Null:NO kind regards, paps [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Back test report in Rugarch
On Wed, 2012-05-02 at 15:35 +0100, Papa sen wrote: Thanks so much for your comments. However, Alexios, I used the same codes and changed the backtest length =875 and yet got a report of 500 to be the backtest length. without more information, I don't think we know how long your series is There is a certain minimum amount of data to make the model. -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Back test report in Rugarch
Have you checked your data and code carefully? e.g. Does your data have 975+ points (875 for forecast and 100 for initializing the rolling estimation)? I can't replicate your error and it is likely that you have forgotten something: library(rugarch) data(sp500ret) spec=ugarchspec() rollD2 = ugarchroll(spec, data = as.numeric(sp500ret[1:975,1]), n.ahead = 1, forecast.length = 875, refit.every = 25, refit.window = recursive, parallel = TRUE, parallel.control = list(pkg = snowfall, cores = 10), solver = solnp, solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) report(rollD2, type = VaR, n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) Backtest Length:875 Please check your code VERY carefully before submitting. -Alexios On 02/05/2012 15:35, Papa sen wrote: Dear alexios and kerpel, Thanks so much for your comments. However, Alexios, I used the same codes and changed the backtest length =875 and yet got a report of 500 to be the backtest length. Kind regards, p.s *Da:* alexios ghalanos alex...@4dscape.com *A:* Papa sen papa.se...@yahoo.it *Cc:* r-sig-finance@r-project.org r-sig-finance@r-project.org *Inviato:* Mercoledì 2 Maggio 2012 15:49 *Oggetto:* Re: [R-SIG-Finance] Back test report in Rugarch What are you having trouble understanding? The Null Hypothesis is clearly stated and the test also provides the 'decision' on whether to reject the Null at the given confidence level. Type ?VaRTest if you want a more detailed description of what each parameter means, or read the vignette for a description of what the test does with the literature reference. As to the backtest length not changing, you do not state under which circumstances you experienced such as an error. From your code you requested a forecast length of 500 which is what you got in the resulting output. -Alexios On 02/05/2012 14:25, Papa sen wrote: Please find some sample codes: rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, forecast.length = 500, refit.every = 25, refit.window = recursive, parallel = TRUE, parallel.control = list(pkg = snowfall, cores = 10), solver = solnp, solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) report(rollD, type = VaR, n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) report(rollD, type=fpm) Da: John Kerpeljohn.ker...@gmail.com mailto:john.ker...@gmail.com Cc: r-sig-finance@r-project.org mailto:r-sig-finance@r-project.orgr-sig-finance@r-project.org mailto:r-sig-finance@r-project.org Inviato: Mercoledì 2 Maggio 2012 15:09 Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch Are you using the ugarchroll method? Show some code... Dear all, Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: VaR Backtest Report === Model: fGARCH-std Backtest Length: 500 Data: == alpha: 1% Expected Exceed: 5 Actual VaR Exceed: 4 Actual %: 0.8% Unconditional Coverage (Kupiec) Null-Hypothesis: Correct Exceedances LR.uc Statistic: 0.217 LR.uc Critical: 3.841 LR.uc p-value: 0.641 Reject Null: NO Conditional Coverage (Christoffersen) Null-Hypothesis: Correct Exceedances Independence of Failures LR.cc Statistic: 0.282 LR.cc Critical: 5.991 LR.cc p-value: 0.869 Reject Null: NO kind regards, paps [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailto:R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailto:R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Back test report in Rugarch
my data has 875 points Da: alexios ghalanos alex...@4dscape.com Cc: r-sig-finance@r-project.org r-sig-finance@r-project.org Inviato: Mercoledì 2 Maggio 2012 16:51 Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch Have you checked your data and code carefully? e.g. Does your data have 975+ points (875 for forecast and 100 for initializing the rolling estimation)? I can't replicate your error and it is likely that you have forgotten something: library(rugarch) data(sp500ret) spec=ugarchspec() rollD2 = ugarchroll(spec, data = as.numeric(sp500ret[1:975,1]), n.ahead = 1, forecast.length = 875, refit.every = 25, refit.window = recursive, parallel = TRUE, parallel.control = list(pkg = snowfall, cores = 10), solver = solnp, solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) report(rollD2, type = VaR, n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) Backtest Length: 875 Please check your code VERY carefully before submitting. -Alexios On 02/05/2012 15:35, Papa sen wrote: Dear alexios and kerpel, Thanks so much for your comments. However, Alexios, I used the same codes and changed the backtest length =875 and yet got a report of 500 to be the backtest length. Kind regards, p.s *Da:* alexios ghalanos alex...@4dscape.com *Cc:* r-sig-finance@r-project.org r-sig-finance@r-project.org *Inviato:* Mercoledì 2 Maggio 2012 15:49 *Oggetto:* Re: [R-SIG-Finance] Back test report in Rugarch What are you having trouble understanding? The Null Hypothesis is clearly stated and the test also provides the 'decision' on whether to reject the Null at the given confidence level. Type ?VaRTest if you want a more detailed description of what each parameter means, or read the vignette for a description of what the test does with the literature reference. As to the backtest length not changing, you do not state under which circumstances you experienced such as an error. From your code you requested a forecast length of 500 which is what you got in the resulting output. -Alexios On 02/05/2012 14:25, Papa sen wrote: Please find some sample codes: rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, forecast.length = 500, refit.every = 25, refit.window = recursive, parallel = TRUE, parallel.control = list(pkg = snowfall, cores = 10), solver = solnp, solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) report(rollD, type = VaR, n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) report(rollD, type=fpm) Da: John Kerpeljohn.ker...@gmail.com mailto:john.ker...@gmail.com Cc: r-sig-finance@r-project.org mailto:r-sig-finance@r-project.orgr-sig-finance@r-project.org mailto:r-sig-finance@r-project.org Inviato: Mercoledì 2 Maggio 2012 15:09 Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch Are you using the ugarchroll method? Show some code... Dear all, Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: VaR Backtest Report === Model: fGARCH-std Backtest Length: 500 Data: == alpha: 1% Expected Exceed: 5 Actual VaR Exceed: 4 Actual %: 0.8% Unconditional Coverage (Kupiec) Null-Hypothesis: Correct Exceedances LR.uc Statistic: 0.217 LR.uc Critical: 3.841 LR.uc p-value: 0.641 Reject Null: NO Conditional Coverage (Christoffersen) Null-Hypothesis: Correct Exceedances Independence of Failures LR.cc Statistic: 0.282 LR.cc Critical: 5.991 LR.cc p-value: 0.869 Reject Null: NO kind regards, paps [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailto:R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailto:R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version
Re: [R-SIG-Finance] quantstrat with intraday data
As an alternative to adjusting for dividends in quantstrat or blotter, my qmao package (https://r-forge.r-project.org/R/?group_id=1113) has two functions that adjust intraday data for dividends. `adjustIntraday.yahoo` will download dividend data from yahoo and calculate daily ratios. Those ratios will then be applied to intraday data. `AddCumDiv` simply adds back all dividends to the price series. With adjustIntraday.yahoo, the most recent observations will be the same as the unadjusted data, but the older observations will be lower than those that are unadjusted. With AddCumDiv, the oldest observations will be the same for the adjusted and unadjusted data, but the most recent observations will be higher for AddCumDiv. Although I believe these functions work like they're supposed to, they have not been rigorously tested, so YMMV. bug reports encouraged. Since I just committed the AddCumDiv function a few minutes ago, it is not yet in the R-Forge build (although it is in the repo if you know how to svn checkout). Since it's not in the build yet, I attached it. Regards, Garrett On Wed, May 2, 2012 at 8:02 AM, Brian G. Peterson br...@braverock.com wrote: On Wed, 2012-05-02 at 00:00 -0400, Jim Green wrote: Greetings! Pls forgive me if this is an old topic. I have searched through list archives extensively but I am just not sure if I am using quantstrat correctly with intraday data. ... Currently I use something similar to attached test.R to do intraday work. in the code I liquidate everything before close so that I don't need to worry about splits and dividends. Is what I am doing the correct way of using quantstrat with intraday data? That's certainly the easiest answer. blotter contains some support for dividends, but it is only lightly tested, since I personally don't need that functionality. Additional testing, direct feedback, and patches are always welcome. Participation by users is one of the ways these packages grow over time. (and feel free to take those conversations off-list) Also if in future I will hold overnight positions, How would I make sure dividends and splits are correctly adjusted for pnl and summary statistics? would underlying blotter be smart enough to handle all the housekeeping? No Guarantees (of course that's true of everything in R). My recollection is that the addDiv function will add cash to your account to cover dividends. I don't believe that there is a function for splits. You'd likely need to write that, we'd love the contribution. It shouldn't be hard, as all that needs to happen is that you add a transaction for the split with a price of zero, adding more shares and lowering your average cost to compensate for the split. As xts gains support for differing column classes this summer as part of the funded GSoC project, it will get easier to add additional information to transactions that will definitely include transaction type. Regards, - Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. AddCumDiv.R Description: Binary data ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
[R-SIG-Finance] calibration of GARCH models to futures data
I have done the usual estimation of GARCH models with R, applied to my historical dataset (commodities futures) with a maximum likelihood function and selected the best model on the basis of information criteria (AIC, BIC). Can somebody explain me the calibration scheme for a GARCH model with futures data? I was not able to find a paper, dealing with exactly this algorithm for my case. I only understood from the unrelated calibration literature that in general I have to compare the performance of the best model (from the estimation step), fitted to my historical dataset and a simulation (let's abbreviate this Squared Error difference to E2). However, it is not clear to me: - with what parameters' values to start this simulation, - how many times it is normal to perform it, - what to compare via E2 (maximum likelihood values, or parameter values) - how to construct assess E2 for the GARCH case. Thank you in advance for your suggestions. Ivette -- View this message in context: http://r.789695.n4.nabble.com/calibration-of-GARCH-models-to-futures-data-tp4603646.html Sent from the Rmetrics mailing list archive at Nabble.com. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
[R-SIG-Finance] One week to R/Finance
We have a little over a week left till R/Finance Chicago, and it is shaping up to be a full house as usual. There is still a little room left in all of the optional pre-conference seminars, so I expect those to fill up soon. Details and registration are in the links below. Looking forward to meeting you in Chicago, - Brian On 19 March 2012 at 21:03, Dirk Eddelbuettel wrote: | | The registration for R/Finance 2012 -- which will take place May 11 and 12 | in Chicago -- is NOW OPEN! | | Building on the success of the three previous conferences in 2009, 2010, | and 2011, we expect more than 250 attendees from around the world. R | users from industry, academia, and government will join 40+ presenters | covering all areas of finance with R. | | This year's conference will start earlier in the day on Friday, to | accommodate the tremendous line up of speakers for 2012, as well as to | provide more time between talks for networking. | | We are very excited about the four keynotes by Paul Gilbert, Blair | Hull, Rob McCulloch, and Simon Urbanek. The main agenda includes | nineteen full presentations and eighteen shorter lightning talks. | We are also excited to offer six optional pre-conference seminars on | Friday morning. | | Once again, we are hosting the R/Finance conference dinner on Friday | evening, where you can continue conversations while dining and | drinking atop a West Loop restaurant overlooking the Chicago skyline. | | More details of the agenda are available at: | |http://www.RinFinance.com/agenda/ | | Registration information is available at | |http://www.RinFinance.com/register/ | | and can also be directly accessed by going to | |http://www.regonline.com/RFinance2012 | | | On behalf of the committee and sponsors, we look forward to seeing you | in Chicago! | |Gib Bassett, Peter Carl, Dirk Eddelbuettel, Brian Peterson, |Dale Rosenthal, Jeffrey Ryan, Joshua Ulrich | | | Our 2012 Sponsors: | |International Center for Futures and Derivatives at UIC | |Revolution Analytics |MS-Computational Finance at University of Washington | |Google |lemnica |OpenGamma |OneTick |RStudio |Tick Data ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] One week to R/Finance
As I will be unable to attend in person is there an option to pay and attend via a webcast ? On Wed, May 2, 2012 at 12:05 PM, Brian G. Peterson br...@braverock.comwrote: We have a little over a week left till R/Finance Chicago, and it is shaping up to be a full house as usual. There is still a little room left in all of the optional pre-conference seminars, so I expect those to fill up soon. Details and registration are in the links below. Looking forward to meeting you in Chicago, - Brian On 19 March 2012 at 21:03, Dirk Eddelbuettel wrote: | | The registration for R/Finance 2012 -- which will take place May 11 and 12 | in Chicago -- is NOW OPEN! | | Building on the success of the three previous conferences in 2009, 2010, | and 2011, we expect more than 250 attendees from around the world. R | users from industry, academia, and government will join 40+ presenters | covering all areas of finance with R. | | This year's conference will start earlier in the day on Friday, to | accommodate the tremendous line up of speakers for 2012, as well as to | provide more time between talks for networking. | | We are very excited about the four keynotes by Paul Gilbert, Blair | Hull, Rob McCulloch, and Simon Urbanek. The main agenda includes | nineteen full presentations and eighteen shorter lightning talks. | We are also excited to offer six optional pre-conference seminars on | Friday morning. | | Once again, we are hosting the R/Finance conference dinner on Friday | evening, where you can continue conversations while dining and | drinking atop a West Loop restaurant overlooking the Chicago skyline. | | More details of the agenda are available at: | |http://www.RinFinance.com/agenda/ | | Registration information is available at | |http://www.RinFinance.com/register/ | | and can also be directly accessed by going to | |http://www.regonline.com/RFinance2012 | | | On behalf of the committee and sponsors, we look forward to seeing you | in Chicago! | |Gib Bassett, Peter Carl, Dirk Eddelbuettel, Brian Peterson, |Dale Rosenthal, Jeffrey Ryan, Joshua Ulrich | | | Our 2012 Sponsors: | |International Center for Futures and Derivatives at UIC | |Revolution Analytics |MS-Computational Finance at University of Washington | |Google |lemnica |OpenGamma |OneTick |RStudio |Tick Data ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Efficiency of data.frame to xts conversion
On 2 May 2012 at 17:18, Gordon Erlebacher wrote:
| Hi everybody,
|
| I have a MySQL database with stock information (using beancounter: thanks
| Kirk).
Interesting off-by-one error...
| I return 30 stocks from the database (data.frame format by default)
| I am converting the data.frame to xts format. In the code below,
|
|
| df is the data.frame returned from the database.
| data is what I get after conversion of df to an xts object.
|
|
| Here is the problem:
|
| Getting 30 stocks from the data.base and return a data.frame takes 0.14
seconds
| Including conversion to the more efficient xts structure, takes 2 seconds.
|
| If I had 3000 stocks, it is the difference between 14 sec and 3 min, which is
| quite large.
| Is there a solution to this dilemma? Of course, I could recode the database
| access functions.
|
| One solution of course, is to convert to xts and save to a file, so that
| conversion is no longer necessary, and I might do that if nobody comes up with
| a more direct solution.
You are presumably getting killed by the as.Date which you don't need (I
think).
With PostgreSQL, my preferred db backend, I know that the SQL date/datetime
columns
come back as Date/Datetime in R. Hence the timing increase it is not all
that big when I also convert to xts.
Twenty msec for the db access:
R system.time(SPY - dbGetQuery(con, select date, day_close as price from
stockprices where symbol='SPY' order by date))
user system elapsed
0.020 0.000 0.039
R head(SPY)
date price
1 1993-01-29 37.8940
2 1993-02-01 38.1635
3 1993-02-02 38.2444
4 1993-02-03 38.6487
5 1993-02-04 38.8104
6 1993-02-05 38.7834
And around 100 msec for db access and xts conversion:
R system.time({ SPY - dbGetQuery(con, select date, day_close as price from
stockprices where symbol='SPY' order by date); spy - xts(SPY[,-1],
order.by=SPY[,1]) })
user system elapsed
0.104 0.000 0.121
R head(spy)
[,1]
1993-01-29 37.8940
1993-02-01 38.1635
1993-02-02 38.2444
1993-02-03 38.6487
1993-02-04 38.8104
1993-02-05 38.7834
R
To really know you should profile. And none of this really is a finance
question yet...
Dirk
--
R/Finance 2012 Conference on May 11 and 12, 2012 at UIC in Chicago, IL
See agenda, registration details and more at http://www.RinFinance.com
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Re: [R-SIG-Finance] quantstrat with intraday data
On Wed, May 2, 2012 at 10:57 PM, Jim Green student.northwest...@gmail.com wrote: Thanks for the comment! personally I am hesitant to adjust intraday prices for splits or dividends, and I prefer adjust positions to account for the corp actions. Actually even for simplest technical analysis on daily data, I am still not sure if using dividend/split adjusted data is the right way to do. Jim. If a stock splits in half, don't you think you should adjust for that before performing technical analysis? You'd treat that big jump in price the same as a real price jump even though if you had a position in the stock, your PnL would be unaffected by the split? ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] quantstrat with intraday data
On 3 May 2012 00:07, G See gsee...@gmail.com wrote: If a stock splits in half, don't you think you should adjust for that before performing technical analysis? You'd treat that big jump in price the same as a real price jump even though if you had a position in the stock, your PnL would be unaffected by the split? sorry I was unclear... that would generate wrong signals.. I think the correct way to use split/dividend adjusted daily data for technical analysis is: 1, for each day, generate signals using adjusted data till before that day, in a walking forward fashion. 2, for pnl logistics, use trade based adjustments or position adjustments. the above are not currently supported by quantstrat and underlying blotter but is really a nice to have. is qmao addressing the them in some way? Jim. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
