Simplified Example of Systematic Investor’s Fine Work

THIS IS ONLY AN EXAMPLE AND IS NOT INVESTMENT ADVICE. ACTING ON THIS WILL LOSE LOTS OF MONEY.

Systematic Investor Blog (be sure to check out the site) offers extremely good examples of how to use R in finance.  Since I firmly believe more examples are always better, I wanted to provide an additional very simple example of how to use his Systematic Investor Toolbox (SIT) for systems development.  This will provide a building block for a series of posts similar to my A Quantstrat to Build On Part 6.  We’ll use our good old count up/down (CUD) indicator on the S&P 500 Index and compare it to Mebane Faber’s 10 month moving average.

I know this is not pretty, but I wanted to start with as simple a base as possible.  Any loyal readers will already have known that CUD is not so great at making money.

From TimelyPortfolio

R code in GIST:

More Beautiful Growth of $1 Chart

With all my recent focus on reporting and visualization, you might think that I have the investments all figured out.  Unfortunately, that is not the case, and I will resume more standard investment and systems posts soon.  I did want to share what I think are two more beautiful Growth of a $1 visualizations.  Although my lattice code is far from tight, I think the result is fairly good using and modifying some of the Economist style graphs offered in latticeExtra.

From TimelyPortfolio

With a little modification, the chart.CumReturns from PerformanceAnalytics can also look very similar.  I will let you choose your favorite.  However, the lattice version will much more likely appear in my reports.

From TimelyPortfolio

Get code from GIST:

Jim Rogers at CFA Society of Alabama Dinner

I am extremely excited to share the announcement that Jim Rogers will present at the CFA Society of Alabama Annual Dinner February 29 at Barber Motorsports Museum in Birmingham.  I believe there is still room for anyone who might like to attend.  Barron’s senior editor Jack Willoughby will moderate.  Congratulations to the CFA Society of Alabama on a high-powered event.