Monthly Archives:April 2012

Volatility Position Sizing to improve Risk Adjusted Performance

April 30,2012
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Volatility Position Sizing to improve Risk Adjusted Performance

Today I want to show how to use Volatility Position Sizing to improve strategy's Risk Adjusted Performance.I will use the Average True Range (ATR) as a measure of Volatility and will increase allocation during low Volatility periods and will decrease allocation during high Volatility periods.Following are two good references that explain these strategy

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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

April 30,2012
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

在后续第1部分中,我探讨了Quantstrat软件包中的一些功能,这些功能允许我们逐笔向下钻取交易,以解释这两种策略在性能上的差异。通过这样做,I found that my choice of a volatility measure may not have been the best choice.Although the … Continue reading →

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Information Age: graduates driving industry adoption of R

April 30,2012
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Information Age recently published a feature article devoted to the R language,"Putting the R in analytics".作者皮特·斯威比说:大学里已经很流行了,有迹象表明R正在企业中发现越来越多的采用。这将降低高级分析的进入门槛,可能加速企业管理的数学化。这篇文章包括…

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French Global Factors

April 30,2012
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French Global Factors

I have said it already in multiple posts,但肯尼思法兰西的数据库是对金融界最慷慨和最有力的贡献之一。以系统投资者的一系列因素为基础,I thought I should run some ba...

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Bayesian ANOVA for sensory panel profiling data

April 30,2012
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Bayesian ANOVA for sensory panel profiling data

在本文中,我们将研究是否可以使用贝叶斯方法,特别是JAGS来分析感官分析数据。其目的不是为了获得不同的结果,but rather to confirm that the results are fairly similar.The data used is the c...

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Example 9.29: the perils of for loops

April 30,2012
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Example 9.29: the perils of for loops

A recent exchange on the R-sig-teaching list featured a discussion of how best to teach new students R.The initial post included an exercise to write a function,that given a n,will draw n rows of a triangle made up of "*",noting that for a beginner,this may require two for loops.For example,在……中

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Teaching code,production code,benchmarks and new languages

April 30,2012
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Teaching code,production code,benchmarks and new languages

I'm a bit obsessive with words.也许我应该在标题中使用学习,rather than teaching code.或者记住代码。你知道的?Code where one actually has very clear idea of what is going on;为……继续阅读→

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Cross-sectional skewness and kurtosis: stocks and portfolios

April 30,2012
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Cross-sectional skewness and kurtosis: stocks and portfolios

偏态和峰度的行为不是很理想。The question In each time period the returns of a universe of stocks will have some distribution — distributions as displayed in "Replacing market indices" and Figure 1.Figure 1: A cross-sectional distribution of simple returns of stocks.In particular they will have values for skewness and … Continue reading →

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由于过分聪明而不能胜任工作

April 29,2012
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I have just got back from the 24 hour Data Science Global Hackathon;I was an on-site participant at Hub Westminster in London (thanks to Carlos and his team for doing such a great job looking after us all {around 50 turned up from the 100 who registered;the percentage was similar in other cities

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The Need for paste2 (part II)

April 29,2012
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The Need for paste2 (part II)

This is Part II of a multi part blog on the paste2 function… In my first post on the paste2 function I promised a proof of a few practical uses.我举的第一个例子来自心理测量学,并从……继续阅读→

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