I show by the example of my portfolio "somewhat better than DUCKS" that CAPM alpha is a very non-robust measure of performance as well as that linear regression on an index should be considered very critically.
Recently, one of my facebook contacts has meant that my portfolio "Somewhat better than DUCKS" repeats the DAX with a beta but without alpha. He even did not make an effort to calculate the linear regression before making this statement. However, even if he did, the results would not be comprehensive.
Continue reading "Seeking Alpha and finding nonsense – never trust CAPM and linear regression blindly"
Even if you are not a Forex trader, it is often necessarily to get currency exchange rates, e.g. if you trade [the options on] foreign stocks. Fixer.io provides daily FX-rates from European Central Bank for 31 currencies via JSON API. We present a script to get data in R.
Continue reading "R-script for Fixer.io – get FX rates in R for 31 currencies"
On 17.04.2017 Yahoo.Finance changed its API, so ichart.finance.yahoo.com is (temporarily?!) unavailable. In particular it means that many R-scripts that rely on quantmod/getSymbols() will not function anymore. We discuss the ways to circumvent the API change of Yahoo.Finance and alternatives to it, esp. Alpha Vantage.
Continue reading "YaWhore Dance with Yahoo Finance"
Some of QuantLib functionality is ported to R in RQuantLib. In particular the pricing of Barrier options. Unfortunately, only European. But we need American in order to price and simulate future scenarios for the so-called KO-Zertifikate (Knock-Out Warrants), which are quite popular among German retail traders. We show how to quickly adopt the code from QuantLib testsuite, compile it under Linux and integrate with R and web.
Continue reading "Integrating QuantLib with R and Web – Barrier Options Pricer"
As the risk-free rate is so upset,
Let your money grow
Stock mark’t is tough and turbulent
Let your money grow
So God sayeth “model, Trader,
Your risks by every trade,
Estimate risk-reward and
Let your money grow
Continue reading "Grow your money, Trader – the Anthem of letYourMoneyGrow.com"
My wikifolio ("Somewhat better than DUCKS", ISIN: DE000LS9HDK3) is investable from 28.10.2016. It surely beats the DAX (main German stock index) both on absolute and risk-adjusted performance. Though I am very proud of my performance, I provide a closer look at it and show that sometimes I had just luck and sometimes I could have done better. I always preach for the rigorous and cold-blooded performance analysis and the best sermon is to demonstrate it by the example of myself.
Continue reading "My Fund Somewhat better than DUCKS is 1 year old: a festive but fair review"
We continue developing letYourMoneyGrow.com and soon will make the first tool from the promised portfolio optimization toolset publicly available. And so far a small technical report. We implement the core business logic in R and wrap-up it with PHP. Calling Rscript from PHP via exec("Rscript ...") seems to be easy ... as far as you don't use any libraries. And if you do, you will get an error message like Error in library(RMySQL) : there is no package called 'RMySQL'. Fortunately, there is a solution. However, note that a loaded package may depend on other packages. For instance, RMySQL depends on DBI. Thus you should explicitly resolve this dependency in your R-code like this:
library(DBI, lib.loc = c("/home/<yourUsername>/R/x86_64-pc-linux-gnu-library/<yourRVersion>", "/usr/local/lib/R/site-library", "/usr/lib/R/library"))
library(RMySQL, lib.loc = c("/home/<yourUsername>/R/x86_64-pc-linux-gnu-library/<yourRVersion>", "/usr/local/lib/R/site-library", "/usr/lib/R/library"))
Hurrah! we have completely rebuilt letYourMoneyGrow.com and starting it from scratch. At first as a high-quality investment and financial blog. Then are going to add a powerful and easy-to-use toolset for portfolio analytics and optimisation. Stay with us!
Though it is just a coincidence, but the start date is 1st of September, which is known as Knowledge Day. An important part of our mission is to provide the retail investors with knowledge (rather than hope for easy and quick money). All you need is willingness to learn! Some numeracy is also advantageous, however, if you are not particularly good in math, don't worry. We will prepare a mini-crash course for you and the rest will be done by our portfolio toolset.