et.
>
> I'd be interested to hear if anyone has any other thoughts as well. My
> apologies if my the comments above are not completely on topic.
>
>
>
>
> Erol Biceroglu
>
>
> *erol.bicero...@alumni.utoronto.ca
> 416-275-7970 <416-275-7970>*
>
> On Mon, N
I'm reading a book on quant value investing that wants to look at more
financial data than I'm getting with the small program below. Looking at
the getFinancials help page I'm not seeing anything that tells it to go
back more than 4 years. Is there a way to do that with free data or is this
a limit
I'm not where I can look at your work but I am certainly interested. Thanks
in advance.
Cheers,
Mark
On Sep 27, 2015 5:44 PM, "Paul Teetor via R-SIG-Finance" <
r-sig-finance@r-project.org> wrote:
> All:
> I really like the power and flexibility of state-space models for time
> series analysis, an
On Fri, Jul 10, 2015 at 6:58 AM, Mark Knecht wrote:
> On Thu, Jul 9, 2015 at 9:03 AM, Pfaff, Bernhard Dr.
> wrote:
>> Dear Ilya & Alexios,
>>
>> given that the Alexios played the ball into my court, please find below a
>> toy example to your problem:
>> (
On Thu, Jul 9, 2015 at 9:03 AM, Pfaff, Bernhard Dr.
wrote:
> Dear Ilya & Alexios,
>
> given that the Alexios played the ball into my court, please find below a toy
> example to your problem:
> (the parma package is loaded for the data set)
>
> library(parma)
> library(cccp)
Sadly, library(parma
On Wed, Jun 17, 2015 at 7:23 AM, Phil Steel wrote:
>
>
>
> Hi Brian and everybody else,
> its downloaded stock prices I want to transform to middle of month stock
> price.
> endpoints give end of month doesn't it?if Im using endpoints I get a really
> strange result with a lot of NA:s My Data st
On Tue, Apr 28, 2015 at 6:51 AM, Joshua Ulrich wrote:
>> Should all of the fixes for these MySQL issues have migrated to CRAN
>> by now? I'm still running
>> my old code daily without using MySQL due to messages like this:
>>
> Yes, all the fixes mentioned above are on CRAN.
>
>> [1] "From MySQL
On Thu, Jan 1, 2015 at 9:48 AM, Joshua Ulrich wrote:
> To follow up with the solution I adopted in quantmod_0.4-3 (on CRAN as
> of 2014-12-15): I moved all the necessary Defaults functionality
> directly to quantmod. This did not include Defaults' ability to
> modify other package's namespaces, s
On Mon, Mar 30, 2015 at 9:59 AM, Joshua Ulrich wrote:
> On Mon, Mar 30, 2015 at 11:49 AM, Mark Knecht wrote:
>> On Mon, Mar 30, 2015 at 9:25 AM, Joshua Ulrich
>> wrote:
>>> On Sun, Mar 29, 2015 at 5:37 PM, Joshua Ulrich
>>> wrote:
>>>> On
On Mon, Mar 30, 2015 at 9:25 AM, Joshua Ulrich wrote:
> On Sun, Mar 29, 2015 at 5:37 PM, Joshua Ulrich
> wrote:
>> On Sun, Mar 29, 2015 at 1:50 PM, Ueli Hofstetter
>> wrote:
>>> I have some problems loading symbols from an mysql db using getSymbols.
>>>
>>> Instead of repeating the issue, here
On Sun, Mar 29, 2015 at 11:50 AM, Ueli Hofstetter
wrote:
> I have some problems loading symbols from an mysql db using getSymbols.
>
> Instead of repeating the issue, here is a link to the description on
> stackoverflow
>
> http://stackoverflow.com/questions/2930/quantmod-error-loading-symbols
On Sun, Feb 1, 2015 at 6:31 AM, Joshua Ulrich wrote:
> On Sun, Feb 1, 2015 at 8:20 AM, Mark Knecht wrote:
>> On Sun, Feb 1, 2015 at 5:48 AM, Joshua Ulrich
>> wrote:
>>> On Fri, Jan 23, 2015 at 8:49 AM, Isak Engdahl
>>> wrote:
>>>> Dear members,
&
On Sun, Feb 1, 2015 at 5:48 AM, Joshua Ulrich wrote:
> On Fri, Jan 23, 2015 at 8:49 AM, Isak Engdahl wrote:
>> Dear members,
>>
>> I have a questions how to set up the signals and rules correct for this
>> stategy in Quantstrat.
>>
>> Price must be above SMA=250 and below the 20 line in the Slow
I wonder if anyone has had a chance to read this book prior to it's
availability on Amazon next week?
http://www.amazon.com/gp/product/1137354070
It appears to be the author's first book.
Cheers,
Mark
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https
On Wed, Oct 29, 2014 at 7:36 AM, Mark Knecht wrote:
> On Wed, Oct 29, 2014 at 6:38 AM, Zachary Deane-Mayer
> wrote:
>> Hi Mark,
>>
>> It'd be a little cumbersome, but couldn't you also source() an R script at
>> the start of your session that loads the pa
On Wed, Oct 29, 2014 at 12:30 PM, Paul Gilbert wrote:
>
>
> On 10/29/2014 10:36 AM, Mark Knecht wrote:
>>
>> On Wed, Oct 29, 2014 at 6:38 AM, Zachary Deane-Mayer
>> wrote:
>>>
>>> Hi Mark,
>>>
>>> It'd be a little cumbersome
On Wed, Oct 29, 2014 at 6:38 AM, Zachary Deane-Mayer
wrote:
> Hi Mark,
>
> It'd be a little cumbersome, but couldn't you also source() an R script at
> the start of your session that loads the parameters from .my.cnf and passes
> them to options()?
>
> Alternatively, maybe getSymbols.MySQL could l
On Wed, Oct 29, 2014 at 5:25 AM, Joshua Ulrich wrote:
> As many of you know, the Defaults package was removed from CRAN on
> 2014-10-03 at Jeff's request. This broke a fair bit of functionality
> in quantmod, most of which I have addressed in recent commits on
> R-Forge.
>
> One issue I have not
On Mon, Oct 13, 2014 at 7:52 AM, Brian G. Peterson wrote:
> On 10/13/2014 09:29 AM, Mark Knecht wrote:
>>
>> Good morning,
>> Base question: Are there any quantstrat examples showing how to set
>> a minimum profit target before a trailing stop kicks in?
>>
&g
On Mon, Oct 13, 2014 at 7:29 AM, Mark Knecht wrote:
> Good morning,
>Base question: Are there any quantstrat examples showing how to set
> a minimum profit target before a trailing stop kicks in?
>
>For example, for a risk stop of 5% and a trailing stop of 3%, I
>
Good morning,
Base question: Are there any quantstrat examples showing how to set
a minimum profit target before a trailing stop kicks in?
For example, for a risk stop of 5% and a trailing stop of 3%, I
don't want to the trailing stop to be executed until I have met a
minimum profit of at le
>>> I want to output say 4 variables from each of the R codes back to C#
>>> execution engine
>> I think you want to look at the Rcpp package. I've not used it myself
>> but it seems to address your interface issue.
>>
> No, it doesn't. C++ != C# (they're not even close; C# is closer to Java).
On Sat, Oct 11, 2014 at 8:13 AM, Kunal Shah wrote:
> Hello,
>
> I have 250 R scripts.
>
> *Input*
> Each of them needs a real time data feed from a C# interface. The real time
> datafeed updates at a speed of approx 3 times a second. Also the data array
> size is increasing every minute. (1 minute
On Thu, Oct 9, 2014 at 2:16 PM, Brian G. Peterson wrote:
> On 10/09/2014 04:00 PM, Mark Knecht wrote:
>>
>> Best I can
>> tell the applyStrategy.rebalance function rebalances individual stocks
>> based on the last entry date of that stock but not, for instance, on a
On Thu, Oct 9, 2014 at 1:35 PM, Joshua Ulrich wrote:
> On Thu, Oct 9, 2014 at 3:31 PM, Brian G. Peterson wrote:
>> On 10/09/2014 03:05 PM, Mark Knecht wrote:
>>>
>>> I would like to do something in quantstrat like set up an initial
>>> buy for all symbols
On Thu, Oct 9, 2014 at 1:05 PM, Mark Knecht wrote:
> Hi,
>I suspect I'm making this far more difficult than it needs to be,
> however I've spent time looking on Stack Overflow and couldn't find an
> answer. Hopefully someone here can point me in the right dir
Hi,
I suspect I'm making this far more difficult than it needs to be,
however I've spent time looking on Stack Overflow and couldn't find an
answer. Hopefully someone here can point me in the right direction.
Thanks in advance.
I would like to do something in quantstrat like set up an initia
On Wed, Oct 8, 2014 at 9:56 AM, G See wrote:
> Out of curiosity, did you try _not_ changing your current code, but
> instead adding library(Defaults) to the top of the script? It's not
> ideal, but Defaults _is_ still available
> (http://cran.r-project.org/src/contrib/Archive/Defaults/). That co
On Wed, Oct 8, 2014 at 9:27 AM, Daniel Cegiełka
wrote:
> Thank you for this information. This solves annoying problems that
> have recently emerged in this topic, but as Mark pointed out, the
> complete removal of Defaults may take much more time.
>
> Best regards,
> Daniel
For getSymbols.MySQL o
On Tue, Oct 7, 2014 at 7:14 PM, Joshua Ulrich wrote:
> I just pushed an updated quantmod_0.4-2 to R-Forge. Most of the
> Defaults-related issues have been addressed, except for
> getSymbols.MySQL and setTA/unsetTA. Feedback would be much
> appreciated.
> --
> Joshua Ulrich | about.me/joshuaulr
On Mon, Oct 6, 2014 at 7:39 AM, Mark Knecht wrote:
> On Wed, Oct 1, 2014 at 7:28 AM, Mark Knecht wrote:
>
>>
>> oB = getOrders(portfolio.st, stock.str, status="closed")
>>
>> Thanks in advance,
>> Mark
>
> Ah, I now see what's going o
On Wed, Oct 1, 2014 at 7:28 AM, Mark Knecht wrote:
>
> oB = getOrders(portfolio.st, stock.str, status="closed")
>
> Thanks in advance,
> Mark
Ah, I now see what's going on. Very cool.
Cheers,
Mark
___
R-SIG-Finance@r-
Hi,
Using quantstrat-0.9.1632 I had the idea that I should be able to
cbind mktdata & order book together to trace out what's happening in a
strategy. I wanted to see the orders lined up against strategy
indicators, signals & prices so that I could reconcile in my mind
what's happening. Unfortun
On Tue, Sep 30, 2014 at 12:34 AM, Derek Wong wrote:
> Hello,
>
> I have been able to reproduce this error in Ubuntu based system as well not
> just on windows. I was wondering if anyone had any insights or ways to to
> solve this or create a work around. If there is any additional information
> y
Start looking at getOptionChain
On 9/28/14, Liu wrote:
> Hello everyone,
>
>
> I've recently joined this mailing list for quantstrat. I hope not to ask
> repetitive question but I haven't googled any effective solutions yet.
>
>
> I have a csv file containing 100 stock symbols. I want to download
On Thu, Sep 25, 2014 at 2:03 PM, Ilya Kipnis wrote:
> For the record, dailyStats is not something that's exclusive to my packages.
> It's a blotter function. Also, I highly recommend upgrading to the latest
> R-forge TTR and blotter. A lot of the times that people can't get my code to
> run usuall
ried running dailyStats a day or two ago and got nowhere with it but
I'll see if I can't figure that out. A quick search shows that Ilya
uses it in his
IKTrading and DSTrading files so that should be enough to get me going.
Thanks for the quick response.
Cheers,
Mark
> Regards,
Hi,
The help file for tradeStats asks for feedback so here I am.
Reproducible code is the macd.Rebalancing.R demo file with the symbol
changed to "SPY" and these lines added at the end:
oB = getOrders(portfolio.st, "SPY", status="closed")
tS = t(tradeStats(portfolio.st))
pTS = perTradeStats(por
In the attached code I have 3 transactions on the same date for the
symbol IVOG. When I go to roll up position values this is leading to
duplicate indexes in my xts objects and NA's in other columns, such as
in tempPos.Value:
2014-05-05 55182 45420.0
2014-05-06 54702 45135.0
2014-05-07 63945 68
On Thu, Sep 11, 2014 at 5:26 AM, Andre Mikulec
wrote:
>
>
> Hi,
>
> I am trying to run the faber.R demo within a function
>
> Here is the url
> https://r-forge.r-project.org/scm/viewvc.php/pkg/quantstrat/demo/faber.R?view=markup&root=blotter
>
>
> Within a function, when the 'faber.R code reaches
On Wed, Sep 10, 2014 at 10:06 AM, Brian G. Peterson wrote:
> This has been discussed on this list multiple times.
>
> TTR is taking the column namees of your market data and appending the
> indicator.
>
> so:
>
> Cl(mktdata)
>
> will return multiple columns after the first indicator has been appli
Hi,
This started out as me essentially rewriting Guy Yollin's
quantstrat3 demo over by hand as a learning exercise. That worked
fine. I then wanted to add an addition moving average filter (50 day
above 200 day) and figure out how to add indicators & write the
signals, etc., to make that work. H
Guy,
Other than some warning messages in RStudio about only supporting a
single graphics I can confirm that the WFA demo at least runs to
completion and generates some charts.
Thanks for your work!
Cheers,
Mark
On Sat, Sep 6, 2014 at 4:35 PM, Guy Yollin wrote:
> George,
>
> I just poste
I'm trying to set a stop loss on the second SMA. I
>> removed all of my additional functions. It's probably user error on my
>> part, but I'm simply asking how I achieve what I'm trying to do.
>>
>> Thanks.
>>
>> -Ilya
>>
>> On Wed,
On Wed, Aug 6, 2014 at 9:37 AM, Joshua Ulrich wrote:
> On Wed, Aug 6, 2014 at 11:32 AM, Ilya Kipnis wrote:
>> Mark,
>>
>> Are you using an outdated version of TTR? Josh had the same problem
>> when he tried my demo.
>>
> It's not "outdated", it's just not the development version on R-Forge.
> Ple
On Tue, Aug 5, 2014 at 3:47 PM, Ilya Kipnis wrote:
> Mark,
>
> Thanks for getting back to me. Since I'm using gmail, I didn't have any line
> wraps. However, I'm attaching my demo as an R file. Fixed the little typo.
>
> Thanks so much.
>
> -Ilya
>
When using gmail ensure you have 'plain text' se
On Tue, Aug 5, 2014 at 2:58 PM, Ilya Kipnis wrote:
> Okay, so my issue is that I'm trying to debunk a trading system I found
> online, and it involves using an indicator for a stop-loss and a
> take-profit type of order. I based my syntax on the luxor demo, aside from
> using an order.price argume
On Mon, Jun 16, 2014 at 2:21 AM, Manuj Goel wrote:
> Hello everyone,
>
> I am an applied statistics post-graduate student and am doing my
> dissertation on kalman filters and its application on financial models. I
> have read quite a lot papers on kalman filters and I am able to understand
> their
Mark,
>
> Have you tried passing “build_vignettes=FALSE” to install_bitbucket? Else I
> think violet comes from the xcolor package.
>
> Alexios
>
> On 28 May 2014, at 18:35, Mark Knecht wrote:
>
>> Thanks Alexios. "jsu" returns a solution quickly. The sigma and
t;
> You are probably using the nig or ghyp distributions which do not have a
> closed form quantile function so it is evaluating it for every point (which
> is expensive!). Try the jsu distribution instead...it is very flexible and
> fast to evaluate.
>
> Best,
>
> Alexios
&
thing but OSX Mavericks...I may
> remove it going forward and use the base implementation to avoid too
> many problematic dependencies, but would welcome any feedback on speed
> comparisons.
>
> Best,
>
> Alexios
>
> On 27/05/2014 21:43, Mark Knecht wrote:
>> On Tue,
On Tue, May 27, 2014 at 12:59 PM, alexios ghalanos wrote:
> Since 2013 the development repository for my packages has moved (a
> couple of time). See:
> http://www.unstarched.net/r-downloads/
> for latest details.
>
> -Alexios
Thanks Alexios. I started reading that based on Pierre's response but
In this presentation:
http://www.rinfinance.com/agenda/2013/talk/AlexiosGhalanos.pdf
there is a bit of code on page 16 (and copied below) that loads a
library called racd. I cannot seem to find racd. Can someone point me
in the right direction?
Thanks,
Mark
library(racd)
library(rugarch)
data
On Mon, Apr 21, 2014 at 7:15 AM, Mark Knecht wrote:
>
>> n <- length(y)
>
>
>
> Tried running your code here. y is undefined. Fix that for a start.
>
> HTH,
> Mark
Additionally, it looks like when you call nl, at the bottom:
fit2 <- nlm(GarchLog
> n <- length(y)
Tried running your code here. y is undefined. Fix that for a start.
HTH,
Mark
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-- Subscriber-posting only. If you want to post, subscr
On Mon, Mar 3, 2014 at 7:26 AM, Kapil Shukla wrote:
> Thanks Mark for such a quick reply. I follow the following steps
>
> 1. hourly_bid <- read.table("ech14_hourly_bid.csv", header=TRUE, sep=",",
> stringsAsFactors =FALSE)
> 2. This is how top 10 rows of my data look like.
>
> Date
On Mon, Mar 3, 2014 at 7:04 AM, Kapil Shukla wrote:
> Hi All
>
> I am totally new to R so this question may sound basic to many of you. I am
> trying to use R for time series analysis of some financial instruments.
> Currently i have hourly data of a stock which has OPEN/HIGH/LOW/CLOSE in a
> CSV
On Fri, Feb 28, 2014 at 12:14 PM, Stephen Choularton
wrote:
> Hi Brian
>
> I would imagine anyone using IB data would discover the problem I did on
> first use. If not they are being a bit too trusting in their data which
> should never be taken simply on face value.
>
> Clearly others have come
On Thu, Jan 30, 2014 at 5:41 PM, Mohammad Nikzad wrote:
> Dear Sir/Madam
>
> I get an error when I run a assetsFit function of fPortfolio package.
>
> You just need to load the fPortfolio package and run this command to get
> the same error that I get. The only fitting method that works is "norm"
On Tue, Jan 7, 2014 at 9:34 AM, Joshua Ulrich wrote:
>>It hadn't occurred to me that an input to getSymbols would be
>> passed to src=yahoo but not to src=MySQL but that's fine now that I
>> know. It does seem a bit non-intuitive from a design & documentation
>> POV but I'm happy that it's no
On Tue, Jan 7, 2014 at 9:16 AM, Joshua Ulrich wrote:
> Hi Mark,
>
> On Tue, Jan 7, 2014 at 10:00 AM, Mark Knecht wrote:
>> Using the code attached it appears to me that RMySQL is not paying
>> attention to the from=/to= date ranges the way getSymbols does when
>> going
Using the code attached it appears to me that RMySQL is not paying
attention to the from=/to= date ranges the way getSymbols does when
going to Yahoo. WIth Yahoo I get the range I requested. With MySQL I
seem to get whatever range I have stored in the MySQL database.
When I run with UseMySQL = FAL
On Mon, Jan 6, 2014 at 4:25 PM, Eric Zivot wrote:
> I have been working on some examples of plotting time series for my new book
> Modeling Financial Time Series with R and I noticed something funny with
> plot.xts() from the R package xtsExtra when trying to plot quarterly time
> series created f
That's what I'm seeing here also but was afraid to say anything in jinx it. ;-)
On Fri, Jan 3, 2014 at 10:07 AM, Paul Gilbert wrote:
> It seems that chart.yahoo.com has returned to service.
>
> Paul
>
>
___
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htt
Dirk,
I far prefer your groovy ideas and where I got to using them than
what I did yesterday. In the case of quantmod::getSymbols the problem
isn't the direct function but rather the 'sub'-function
getSymbols.yahoo, so using your idea I do:
getSymbols.MWK = getSymbols.yahoo
fix(getSymbols.MWK)
Mark,
Thanks for sharing this solution. As written it does work fine here
but seemed to leave a symbol file behind in /tmp so I added
file.remove(file)
after the assign statement to take care of that.
Cheers,
Mark
On Tue, Dec 31, 2013 at 11:40 AM, markbreman . wrote:
> Hi Ivan,
>
> I notice
On Tue, Dec 31, 2013 at 12:50 PM, Joshua Ulrich wrote:
>> How does one install the new version? The standard command I've used
>> for other packages
>>
>> install.packages("quantmod", repos = "http://R-Forge.R-project.org";)
>>
>> installs 0.4.1 which is likely the stable version I suppose.
>>
>
On Tue, Dec 31, 2013 at 12:06 PM, Joshua Ulrich wrote:
> Ivan,
>
> On Tue, Dec 31, 2013 at 1:26 PM, Ivan Popivanov
> wrote:
>> Looks like Yahoo have stopped providing web interface via chart.yahoo.com,
>> which is used by getSymbols.yahoo. The site used to download data through
>> the web interfa
On Fri, Dec 20, 2013 at 3:16 PM, Mark Knecht wrote:
> 2) The larger problem is that it needs a function called
> convert.time.series. I don't know where that comes from but I suspect
> it has something to do with the "" I
> see when I print out the function (see se
On Fri, Dec 20, 2013 at 1:49 PM, Paul Gilbert wrote:
> I think there is some "system-level magic" that getSymbols.MySQL is
> breaking. The MySQL driver will actually find the information in the .my.cnf
> file if it is called without user and password, but the code does not try
> that:
>
>
>
>>
On Fri, Dec 20, 2013 at 11:03 AM, Mark Knecht wrote:
> I'm using RMySQL saving data from Yahoo. It's working nicely, but as
> best I can tell the setDefaults function seems to require me to put
> the MySQL account name and password in clear text in my R program
> which I
I'm using RMySQL saving data from Yahoo. It's working nicely, but as
best I can tell the setDefaults function seems to require me to put
the MySQL account name and password in clear text in my R program
which I don't like. I.e. - the one commented out below works, the one
currently not commented ou
NGE COLUMN `", MySymbols [i], "_Close` `c` DOUBLE NULL
> DEFAULT NULL,
> CHANGE COLUMN `", MySymbols [i], "_Volume` `v` DOUBLE NULL
> DEFAULT NULL,
> CHANGE COLUMN `",MySymbols[i],"_Adjusted` `a` DOUBLE NULL
> DEFAULT;&q
On Thu, Dec 5, 2013 at 4:59 PM, Cedrick Johnson
wrote:
> Mark-
> Here's what I do in a automated fashion for downloading data from Yahoo post
> close (and storing into a mysql DB). The code may be a bit crummy (I cringe
> at my ALTER TABLE query but it works well for the 100 or so things I downl
Hi,
I read an ETF rotation paper a few weeks ago on Seeking Alpha and
thought I'd play with the ideas in R. Without pointing any fingers (at
Yahoo) I find that downloading adjusted data to be highly unreliable,
especially in the middle of the work day. The following code snippet
is, at the time
On Sat, Nov 30, 2013 at 10:27 PM, GiuseppeL wrote:
> Hi,I am studing Guy Yolin's examples (quantstrat-I.Rnw) and I wonder
> if someone can help me with this error message "
>
> Error in initPortf("buyHold", "SPY", initDate = "1997-12-31") :
> Portfolio buyHold already exists, use updatePortf() o
On Tue, Nov 26, 2013 at 8:13 AM, fernando wrote:
> Hi Mark,
>
> An example would be the following code
>
> x <- c("1jan1997", "2jan1997", "3jan1997", "4jan1997")
> y <- c(-.3, 0.2, -0.2, 0.3)
> date <- as.Date(x, "%d%b%Y")
> plot(date,y, type="l", ylim=c(-0.32,0.32))
> segments(1,-.2,4,-.2) # I wa
On Sun, Nov 24, 2013 at 3:05 PM, fernando wrote:
> Please,
> I am ploting a time series in which the x-axis are dates.
> How to use the "segments" in this graph?
> Thanks
>
If you will provide R code for a very small example case then you'll
likely get an answer that works for you.
Cheers,
Mark
On Wed, Nov 13, 2013 at 11:21 AM, Brian G. Peterson wrote:
> It should be very simple in linux.
>
> from a shell:
>
> ##
>
> svn checkout svn://svn.r-forge.r-project.org/svnroot/blotter/
>
> # will create a 'blotter' directory below the directory
> # you ran the command from.
> #
> #then
>
> c
Hi,
Are these install failures temporary, in the sense they'll be fixed
in a day or two, or is there a more long term problem here?
I run R-3.0.2 in both Gentoo Linux & Windows 7. I'm unable to get
quantstrat this morning in either environment. In Linux I cannot get
FinancialInstrument or bl
On Sat, Nov 2, 2013 at 12:07 PM, Dirk Eddelbuettel wrote:
>
> Mark,
> | My problem is Quantlib doesn't seem to be available through the normal
> | CRAN mirror I use. (Either USA CA 1 or USA CA 2) Do I need to look
> | somewhere else to find this?
>
> Did you consider Googling this?
>
I did.
> Y
I wanted to install RQuantLib inside of R-Studio on my Gentoo Linux
machine running R-3.0.2 however the install fails complaining about
needing Quantlib:
checking whether g++ accepts -g... (cached) yes
checking for R... yes
checking for Rscript... yes
checking for quantlib-config... no
configure:
On Fri, Oct 25, 2013 at 10:21 AM, Peter Carl wrote:
>> every time I start looking at those things I glaze over...
> I recommend a double espresso. Then:
>
> library(blotter)
> ?blotter
>
> In the example provided, you can see your starting point:
> ?getSymbols
> ?initPortf
> ?addTxns
> ?updatePor
On Fri, Oct 25, 2013 at 8:48 AM, Peter Carl wrote:
> Consider blotter, which is specifically for calculating P&L from trades
> and prices (for generating returns for analysis in PerformanceAnalytics).
>
> install.packages("blotter", repos="http://R-Forge.R-project.org";)
>
> pcc
> --
> Peter Carl
Hi,
Really unformed question here. Sorry about that but I'm just poking
around looking for answers/ideas. Thanks in advance.
In the last year I've put some money in some a few managed accounts
for long term investing. Current these accounts hold 70-80 different
stocks & ETFs. While the inves
On Wed, Oct 2, 2013 at 9:02 AM, Joshua Ulrich wrote:
>>
> Your original question only asked about a cross above. If you want to test
> for a cross below, you need to test EMA.10 < EMA.20.
>
> If you want both crosses in one column, you can combine them by checking
> when the diffs of the logical
On Fri, Sep 27, 2013 at 5:52 PM, Mark Knecht wrote:
> On Fri, Sep 27, 2013 at 5:33 PM, Joshua Ulrich
> wrote:
>> On Fri, Sep 27, 2013 at 7:17 PM, Mark Knecht wrote:
>>> Only slightly financial. Is there a function somewhere that implements
>>> a real crossing chec
On Fri, Sep 27, 2013 at 5:33 PM, Joshua Ulrich wrote:
> On Fri, Sep 27, 2013 at 7:17 PM, Mark Knecht wrote:
>> Only slightly financial. Is there a function somewhere that implements
>> a real crossing check, as in MA1 crosses above MA2 and not just
>> MA1>MA2?. TTR seeme
Only slightly financial. Is there a function somewhere that implements
a real crossing check, as in MA1 crosses above MA2 and not just
MA1>MA2?. TTR seemed a likely candidate but I haven't found it there.
I alsa tried sos's findFn for searching, as well as stackoverflow but
it seems too general a
On Mon, Aug 12, 2013 at 1:07 PM, Daniel Cegiełka
wrote:
> Hi Mark,
>
> http://timelyportfolio.blogspot.com/2013/03/one-pager-performance-report-with-knitr.html
>
> http://timelyportfolio.blogspot.com/2013/03/production-quality-report-with-r-and.html
>
> Best regards,
> Daniel
Daniel,
Thanks fo
Hi,
Very generic question. I've developed some R code that trades
stocks on daily bars. The R code takes about 10-15 minutes to run on 5
years of data, generates a few charts, a few data.frames, a few
matrices, etc.
I'd like to find a way to get this stuff into a single,
esthetically readabl
For the sake of asking here assume I have 5 models that attempt to
predict a pair of future values like tomorrow's high & low. The
predictions are placed in a matrix with the low prediction in column 1
and the high prediction in column 2. _IF_ there is an intersection of
all 5 predictions then I ca
Hi,
I've got a piece of old code I'm trying to resurrect which contains
this function to convert R dates to TradeStation dates:
function (MyDate) {
ThisDay = day(MyDate)
ThisMonth = month(MyDate)
ThisYear = year(MyDate)
TSDate = (ThisYear - 1900)*1 + ThisMonth*100 + ThisDay
return(TSDate)
}
On Mon, Jul 22, 2013 at 4:27 PM, G See wrote:
> Looks like it's built on r-forge. You should be able to install it with
>
> install.packages("blotter", repos="http://r-forge.r-project.org";)
>
> Regards,
> Garrett
Thanks Garrett,
I installed as per your suggestion. No errors but I still see
0
On Mon, Jul 22, 2013 at 3:14 PM, Jim Green
wrote:
> Mark, on windows you can use tortoise svn to checkout the trunk source code,
> build and install if you don't want to wait
>
> the path is:
> svn checkout svn://svn.r-forge.r-project.org/svnroot/blotter/
>
> Jim
Thanks Jim. As I'm focused on a l
On Mon, Jul 22, 2013 at 2:38 PM, Joshua Ulrich wrote:
> Jim,
>
> Thanks for noticing this. It was a separate issue in updateAcct that
> was hidden by the timezone issue. Should be fixed in rev1484.
>
> Best,
> --
> Joshua Ulrich | about.me/joshuaulrich
> FOSS Trading | www.fosstrading.com
H
Hi,
I'm struggling to get any of the demos in the blotter package to
work. Using a command such as:
demo(longtrend, package="blotter")
it runs along for a second and then fails with this message:
+ # Calculate P&L and resulting equity with blotter
+ updatePortf(ltportfolio, Dates = Cu
On Sun, Apr 28, 2013 at 6:54 AM, John Han wrote:
>
> Hi,
>
> I ran the demo "maCross" successfully in R. When I enable the commented code,
> it works also OK and I suppose to get both long and short position happening
> in the backtesting result.
>
>
> However, I can only see either long or shor
Hi,
Is there a good home page or Wiki for how folks are approaching
trading within R using quantStrat, TradeAnalytics, or something else?
I'm working in RStudio/R-3.0-64-bit and am pretty much a putz when
it comes to R programming. However I've started developing something
that would never b
Hi,
Does anyone have experience comparing the MARS models created in R
using the earth package to those created in commercially available
tools? I'm wondering about settings I might need to tweak to more
closely match between the two.
I'm currently attempting to build a model of a signal use
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