An Exponentially Weighted Covariance Matrix in R

Exponential weighting schemes can help navigate the trade-off between responsiveness and stability of the inherently noisy estimates we make from market data. We previously saw examples of calculating the exponentially weighted moving average of a vector, and estimating the correlation between SPY and TLT using an exponential weighting scheme [link]. In this article, we’ll implement …

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Using Exponentially Weighted Moving Averages to navigate trade-offs in systematic trading

A big part of the job of the indie trader is data analysis. We’re always looking in the past data to validate (or more often, invalidate) a hypothesis about what might predict future returns. And one could argue that recent data is more useful than past data, since it may reflect the current state of …

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Beyond Stocks: The Surprising Volatility Returns of Oil and Gold

I’ve previously discussed the Volatility Risk Premium (VRP) and how it differs from the Equity Risk Premium (ERP). Probably the most interesting difference, from the perspective of the trader, is that the VRP may be somewhat amenable to timing – more than the ERP at any rate. In this article, I’ll use some of the …

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A Free Interactive IPO Calendar

Sometimes it’s nice to step away from the deep technical stuff and just build something simple and useful. What Is an IPO Calendar and Why Use One? I’ve linked the free IPO calendar below if you just want to jump in and explore. But if you’re not familiar, an IPO calendar is a tool that …

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More Intuitive Joins in dplyr 1.1.0 – how to do an asof join on trades and quotes data

dplyr 1.1.0 was a significant release that makes several common data operations more syntactically intuitive. The most significant changes relate to joins and grouping/aggregating operations. In this post we’ll look at the changes to joins. First, install and load the latest version of dplyr: install.packages(“dplyr”) library(dplyr) A new approach to joins The best way to …

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Exporting Zorro Data to CSV

Earlier versions of Zorro used to ship with a script for converting market data in Zorro binary format to CSV. That script seems to have disappeared with the recent versions of Zorro, so I thought I’d post it here. When you run this script by selecting it and pressing [Test] on the Zorro interface, you …

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