similar to: Real-Time data transfer from Excel to R

hello, I am using R 2.5.0 under OS X. I am having " sh: line 1: make: command not found" error message when I run " R CMD check " : Any help would be appreciated. R CMD check backtest * checking for working latex ... OK * using log directory '/backtest/trunk/backtest.Rcheck' * using R version 2.5.0 (2007-04-23) * checking for file 'backtest/DESCRIPTION'

Hello, I'm trying to do two things: -1. Ensure that I understand how quantmod adjust's OHLC data -2. Determine how I ought to adjust my data. My overarching-goal is to adjust my OHLC data appropriately to minimize the difference between my backtest returns, and the returns I would get if I was trading for real (which I'll be doing shortly). Background: -1. I'm using Alpha

Dear all, I want to backtest my Value at Risk output using the VaRTest() function in the rugarch package. I do not understand if the numeric vector of VaR which needs to be calculated is in negative or positive terms. Usually VaR is expressed in positive terms. Do I have to use positive values for VaR in the VaRTest() formula? Thanks for your help. [[alternative HTML version deleted]]

Hi Eric, Thank you, that helps a lot. If I'm understanding correctly, if I?m wanting to use actual returns from backtests rather than simulated returns, I would need to make sure my risk-adjusted return measure, sharpe ratio in this case, matches up in scale with my returns (i.e. daily returns with daily sharpe, monthly with monthly, etc). And I wouldn?t need to transform returns like the

Correct Sent from my iPhone > On 21 Nov 2017, at 22:42, Joe O <joerodonnell at gmail.com> wrote: > > Hi Eric, > > Thank you, that helps a lot. If I'm understanding correctly, if I?m wanting to use actual returns from backtests rather than simulated returns, I would need to make sure my risk-adjusted return measure, sharpe ratio in this case, matches up in scale with

Wrong list. Post on r-sig-finance instead. Cheers, Bert On Nov 20, 2017 11:25 PM, "Joe O" <joerodonnell at gmail.com> wrote: Hello, I'm trying to understand how to use the pbo package by looking at a vignette. I'm curious about a part of the vignette that creates simulated returns data. The package author transforms his simulated returns in a way that I'm

[re-sending - previous email went out by accident before complete] Hi Joe, The centering and re-scaling is done for the purposes of his example, and also to be consistent with his definition of the sharpe function. In particular, note that the sharpe function has the rf (riskfree) parameter with a default value of .03/252 i.e. an ANNUAL 3% rate converted to a DAILY rate, expressed in decimal. That

I have been scouring this list''s archives and have consumed any and all how-to guides I could find but am still unsure. All discussion in this list on this issue is around hvm/vti DomU''s. Has anyone been able to attach a vnc client to a vanilla (non-hvm) DomU using the VNC console setting? On an FC5 (2.6.16-1.2080_FC5xen0) kernel deployed on vanilla (non-hvm) hardware,

Hi Joe, The centering and re-scaling is done for the purposes of his example, and also to be consistent with his definition of the sharpe function. In particular, note that the sharpe function has the rf (riskfree) parameter with a default value of .03/252 i.e. an ANNUAL 3% rate converted to a DAILY rate, expressed in decimal. That means that the other argument to this function, x, should be DAILY

Hello, I'm trying to understand how to use the pbo package by looking at a vignette. I'm curious about a part of the vignette that creates simulated returns data. The package author transforms his simulated returns in a way that I'm unfamiliar with, and that I haven't been able to find an explanation for after searching around. I'm curious if I need to replicate the

hi everyone, I want to backtest a simple strategy with RSI, im using "sigThreshold". i took example from the http://blog.fosstrading.com/ site to understand how quanstrat works. but now, i have a problem with my code that i really don't understand, R says me: Error in match.names(column, colnames(data)) : argument "column" is missing, with no default please can

*Job Title: Trading Development Clerk Job Description: Assist development team with backtesting, debugging, creating, and deploying automated trading strategies. Clerk will work under a lead developer and several traders to provide support to traders in real time execution, in addition to the development staff with strategy creation, troubleshooting and deployment. The ideal candidate would be

Struggled a whole day, but still could not get DCOM working on my machine. What I did is: 1. Installed R 2.8.1 under folder "../R/R-2.8.1" 2. Installed R_Scilab_DCOM3.0-1B5 under folder ".. \R\(D)COM Server" 3. Installed packages: rscproxy_1.0-12, RExcelInstaller_3.0-10, rcom_2.0-4... 4. run the following commands: library(rscproxy) library(rcom)

R and DDE (Dynamic Data Exchange) Dear Rusers, I run an application (not mine) which acts as a DDE server. I would like to use R to get data from this application, say once per minute, and do some processing on it. I didn't find much info on the R DDE abilities, apart the tcltk2 package in which I will try to go deeper. I would be very thankful for any info, pointer or advice about the

A new version of package 'portfolio' is now available on CRAN. Also available are new packages 'backtest', for basic spread-based hypothesis testing, and 'portfolioSim', a general framework for portfolio simulation. Last March we wrote R-packages regarding our desire to build a suite of tools for portfolio analytics in R:

CRAN (and crantastic) updates this week New packages ------------ * apcluster (1.0.1) Ulrich Bodenhofer http://crantastic.org/packages/apcluster The apcluster package implements Frey's and Dueck's Affinity Propagation clustering in R. The algorithms are analogous to the Matlab code published by Frey and Dueck. * BioPhysConnectoR (1.6-1) Franziska Hoffgaard

Does this help on our backtest reporting? Regards, Gordon Morrison Global Head of Quantitative Research > * + 44 20 7653 7642 > Mob: + 44 7867 801951 > fax: + 44 20 7645 7442 > * mailto:gordon.morrison at commerzbankib.com > web: http://www.cbksec.com/research/quant > * Commerzbank Securities > 60 Gracechurch Street > London EC3V 0HR, U.K. >

dear listers, right now, we are trying to use r to implement sas dde function, e.g. interact with excel. however, we can't find a way to call vba from r？ any insight is appreciated. [[alternative HTML version deleted]]

I wrote a R script say called computeCovarMatrix.R and i want to call and run this piece from Excel visual basic. does anyone know how to do that? thanks, KZ [[alternative HTML version deleted]]

Hi, I was trying to run your code in my VBA editor, however could not succeed. The execution stumbled in the line "Call Rinterface.StartRServer" itself. I have RCOM package installed into my R environment. Do I need to install anything else to run that? Would guys here guide me? Thanks -- View this message in context: http://n4.nabble.com/R-Excel-Macro-Problem-tp858831p1592196.html