[R-SIG-Finance] R for Individual Stock Trading Analysis

[Jeff Ryan]

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
>
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com