Posts Tagged ‘Using R’

Using R in Algorithmic Trading: Performing a portfolio test using a rolling window Markowitz optimization

On a previous post we learned how to perform a Markowitz portfolio weight analysis using the R statistical software and the PerformanceAnalytics, fPortfolio and quantmod packages. Using this analysis we learned how to obtain optimum historical system weights to reduce portfolio variance and increase overall performance. Today we are going to learn how to take this […]

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