[R-SIG-Finance] R for Individual Stock Trading Analysis
jeff.a.ryan at gmail.com
Tue Aug 26 21:00:10 CEST 2008
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:
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
quantmod uses the 'xts' package, which is very 'zoo'-oriented. Both
these packages have nice vignettes to make data management,
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,
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
>> equity analysis for trading purposes.
> 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:
> 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
> 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:
> and "How to ask questions the smart way." here:
> 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).
> - Brian
> R-SIG-Finance at stat.math.ethz.ch mailing list
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> -- If you want to post, subscribe first.
jeffrey.ryan at insightalgo.com
ia: insight algorithmics
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