You can find registration information and agenda details on the conference website. Or you can go directly to the Cvent registration page. Note that registration fees will increase by 50% at the end of early registration on May 6, 2016. The conference will take place on May 20 and 21, at UIC in Chicago. Building on the success of the previous conferences in 2009-2015, we expect more than 250 attendees from around the world.
This post is in response to Michael Harris’ Price Action Lab post, where he uses some simple R code to evaluate the asymmetry of returns from the day’s close to the following day’s open. I’d like to respond to his 3 notes, which I’ve included below. The R backtest assumes fractional shares. This means that equity is fully invested at each new position. This is important because it affects drawdown calculations.
I just sent quantmod_0.4-5 to CRAN, and TTR_0.23-0 has been there for a couple weeks. I’d like to thank Ivan Popivanov for many useful reports and patches to TTR. He provided patches to add HMA (Hull MA), ALMA, and ultimateOscillator functions. James Toll provided a patch to the volatility function that uses a zero mean (instead of the sample mean) in close-to-close volatility. The other big change is that moving average functions no longer return objects with column names based on the input object column names.
We have been working on a new charting engine for xts::plot.xts for the past couple years. It started with Michael Weylandt’s work during the 2012 Google Summer of Code, and Ross Bennett took up the torch during the 2014 GSoC. This new engine improves the functionality, modularity, and flexibility of plot.xtsby building off the framework Jeff Ryan began with q****uantmod::chart_Series. The modular framework allows users to plot an xts object and incrementally build custom charts by adding panels of new data (including transformations of the original xts object).
You can find registration information and agenda details (as they become available) on the conference website. Or you can go directly to the registration page. Note that there’s an early-bird registration deadline of May 15. The conference will take place on May 29 and 30, at UIC in Chicago. Building on the success of the previous conferences in 2009-2014, we expect more than 250 attendees from around the world. R users from industry, academia, and government will joining 30+ presenters covering all areas of finance with R.
I pushed quantmod 0.4-4 to CRAN this weekend. It adds a getSymbols.yahooj function to pull stock data from Yahoo Finance Japan, and fixes issues in getOptionChain.yahoo and getSymbols.oanda. Changes to the Yahoo Finance and Oanda websites broke the getOptionChain.yahoo and getSymbols.oanda functions, respectively. I didn’t use getOptionChain.yahoo much, so I’m not certain I restored all the prior functionality. Let me know if there’s something I missed. I’d be glad to add a test case for that, or to add a test you’ve written.
The R Project has once again been selected as a mentoring organization for this year’s Google Summer of Code (GSoC). If you’re not familiar with GSoC, it’s a global program that offers students a stipend to write code for open source projects, under the direction of a mentor. Mentors get code written for their project, but no money. Students get something like a paid summer internship, with open-source contributions they can reference on their resume.
An updated version of quantmod has just been released on CRAN. This is my first submission as the new maintainer. The major change was removing the dependency on the now-archived Defaults package. End-users shouldn’t notice a difference, since I basically copied the necessary functionality from Defaults and added it to quantmod. There are also several bug fixes. A few worth noting are: getSplits adjustOHLC getSymbols (when adjust=TRUE) saveSymbols newTA findValleys
Call for Papers: R/Finance 2015: Applied Finance with R May 29 and 30, 2015 University of Illinois at Chicago The seventh annual R/Finance conference for applied finance using R will be held on May 29 and 30, 2015 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure, and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management, portfolio construction, and trading.
It’s been more than a month since R/Finance 2014, and my job has finally slowed down enough to allow me to write down my thoughts (though I’m writing this over two days during my train to and from Chicago). The comments below are based on my personal experience. If I don’t comment on a seminar or presentation, it doesn’t mean I didn’t like it or it wasn’t good; it may have been over my head or I may have been distracted with my duties as a committee member.