Some people will say ‘you have to learn R if you want to get a job doing statistics/data science’. I say bullshit, you have to learn statistics and learn to work in a variety of languages if you want to … Continue reading →
Some people will say ‘you have to learn R if you want to get a job doing statistics/data science’. I say bullshit, you have to learn statistics and learn to work in a variety of languages if you want to … Continue reading →
In the Follow-Up Part 1, I explored some of the functions in the quantstrat package that allowed us to drill down trade by trade to explain the difference in performance of the two strategies. By doing this, I found that my choice of a volatility measure may not have been the best choice. Although the … Continue reading →
I’m a bit obsessive with words. May be I should have used learning in the title, rather than teaching code. Or perhaps remembering code. You know? Code where one actually has very clear idea of what is going on; for … Continue reading →
Low volatility and minimum variance strategies have been getting a lot of attention lately due to their outperformance in recent years. Let’s take a look at how we can incorporate this low volatility effect into a monthly rotational strategy with a basket of ETFs. Performance Summary from Low Volatility Test in quantstrat Starting Equity: 100,000 … Continue reading →
That's a mouthful! I presented this topic to a group of Vandy statisticians a few days ago. My notes (essentially reproduced in this post) are recorded at the Dept. of Biostatistics wiki: HowToBootstrapCorrelatedData. The presentation covers some bootstrap strategies for hierarchically structured (correlated) data, but focuses on the multi-stage bootstrap; an extension of that described [...]
Introduction R is different to many “easy to use” statistical software packages – it expects to be given commands at the R command prompt. This can be intimidating for new users, but is at the heart of its power. Most powerful software tools have an underlying scripting language. This is because scriptable tools are typically [...]
A few weeks ago, J. D. Long gave some interesting advice in a Google+ discussion. He starts out Lunch today with an analyst 13 years my junior made me think about things I wish I had known about the technical analytical profession when I was 25. Here’s some things that popped into my head: The [...]
My R package, R/qtl, contains about 33k lines of R code (and 21k lines of C code). Some of it is quite good; some of it is terrible. Here’s another example of the terrible. I’ve long needed to revise the function scantwo, for performing a two-dimensional genome scan for pairs of loci. I was looking [...]
Barry Rowlingson gave an interesting talk at UseR 2011, “Why R-help must die!” He suggested the Q-and-A type sites Stack Overflow (on programming) and Cross Validated (on statistics), both part of Stack Exchange. An interesting feature of these sites is that, in addition to voting up and down on the questions and answers, one accrues [...]
Let’s start this blog off right, with the stupidest R mistake I’ve ever made (I think). In the R package that I write, R/qtl, one of the main file formats is a comma-delimited file, where the blank cells in the second row are important, as they distinguish the initial phenotype columns from the genetic marker [...]
