R for Individual Stock Trading Analysis
I'll second Brian's comments, and add a few more. Looking through the list archives will provide tremendous insight --- make that a habit. All the R-lists. I think a reasonable number of packages on CRAN, as well as on the Finance Task Views, include pdf vignettes. These are usually quite valuable as well for a general take on what you can do. The PerformanceAnalytics and portfolio ones are especially nice. quantmod has some examples at: http://www.quantmod.com/examples/ quantmod also has full charting ability with technical indicators (from the TTR package) as well as a simple mechanism to add your own. There are also some 'coming soon' links that are to be posted... some day. quantmod uses the 'xts' package, which is very 'zoo'-oriented. Both these packages have nice vignettes to make data management, manageable. In terms of non-professional data I also have an interface to Interactive Brokers available on CRAN. This at present allows for historical and RT data capture/playback from IB. The development version has a INcomplete mechanism to execute trades through that platform as well. Of course Yahoo, Google, Federal Reserve, and Oanda (FX) data is available in a few packages (quantmod included). Additional data tools include packages 'opentick' [access to opentick data in R], and 'RCSI' [www.csidata.com]. Both of those are on R-forge. Bloomberg API is also available, though I suspect that is not in the private trader arsenal :) Hope that helps, Jeff
On Tue, Aug 26, 2008 at 1:10 PM, Brian G. Peterson <brian at braverock.com> wrote:
jnoble1 at mmm.com wrote:
Based on the discussion the past couple of months, it's obvious that this list is primarily geared towards serious quantitative finance and econometrics. I was wondering about the activities of R users focusing on individual stock trading. Obviously, one is capable with R of bring some highly sophisticated toolsets to the problems of trend and pattern recognition in time series (not to spark a debate on random walk vs. predictability, etc.). Being a newbie to R, I was wondering if there are any blogs, papers, discussions, etc. geared towards someone who's technically inclined but beginning with R and wanting to perform individual equity analysis for trading purposes.
Jonathan, You are correct that most of the posters on this list are professionals or academics in quantitative finance. I suspect that this list would still be useful for the beginner interested in these topics, but probably not a great place to ask completely uninformed questions. For general R help questions, the R-help list has a lot of new R users on it, and straightforward trend and factor analysis questions would not be out of place there (or here, if asked correctly, see below). Several of the packages developed by the professionals on this list will probably enter into your toolkit at some point. Packages like portfolio, quantmod, PerformanceAnalytics, RMetrics, etc. will have already implemented a wide array of techniques that you will see used for systematic equity analysis and trading. If you haven't already seen it, take a look at the Empirical Finance Task View here: http://cran.r-project.org/web/views/Finance.html for an overview of some of the packages that you may find useful. If you're looking for a good book on quantitative finance that covers a lot of the theoretical underpinnings without getting lost in the math of the advanced techniques, I recommend picking up a copy of Statistics and Finance: An Introduction by David Ruppert http://www.amazon.com/Statistics-Finance-Introduction-David-Ruppert/dp/0387202706 R code for all of his examples is available online. To maximize your benefit from this list, and the signal-to-noise ratio for the long-term list members, try to ask very specific questions with your test code to back them up. I recommend reading the R project list posting guide here:
http://www.r-project.org/posting-guide.html and "How to ask questions the smart way." here: http://www.catb.org/~esr/faqs/smart-questions.html Generally, clearly describing what you're trying to do, what you've tried to get there, links to any relevant papers or books, and some sample code and data will help the members of R-help or this list respond to your question in the least possible time (for us) with the best possible answer (for you). Regards, - Brian _______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.
Jeffrey Ryan jeffrey.ryan at insightalgo.com ia: insight algorithmics www.insightalgo.com