Reproducible Finance with R: The Sharpe Ratio

Jonathan Regenstein Jonathan Regenstein

Jonathan Regenstein

AI in Financial Services

发布日期: 2016年11月10日
+ 关注

The new R Notebooks are a great framework for reproducible research. I just posted a blog in RStudio's new Rviews community blog that walks through a simple example of using the Notebooks format to import stock data, create a portfolio, create some nice visualizations using dygraphs and calculate the Sharpe Ratio.

Check out the full post here: Reproducible Finance with R: The Sharpe Ratio

要查看或添加评论，请登录

Jonathan Regenstein的更多文章

  • If you want to understand how to succeed in the hedge fund world, read these two books
    2019年12月1日

    If you want to understand how to succeed in the hedge fund world, read these two books

    Happy holidays to all! I wanted to share brief thoughts on two excellent books that found their way to my book stack…

    9 条评论
  • Momentum investing with R
    2019年5月30日

    Momentum investing with R

    After an extended hiatus, Reproducible Finance is back! We’ll celebrate by changing focus a bit and coding up an…

  • Some Sector Analysis with R
    2019年2月18日

    Some Sector Analysis with R

    Welcome to the second installment of Reproducible Finance 2019! In the previous post, we looked back on the daily…

    2 条评论
  • Looking back on 2018 Reproducible Finance with R part 1
    2019年1月14日

    Looking back on 2018 Reproducible Finance with R part 1

    Welcome to Reproducible Finance 2019! It’s a new year, a new beginning, the Earth has completed one more trip around…

  • Fund Flows via the FT
    2019年1月9日

    Fund Flows via the FT

    There’s a great piece on the FT today about algos and fund flows. It’s author, Robin Wigglesworth, has become one of my…

    3 条评论
  • Rolling Origin Sampling
    2018年12月28日

    Rolling Origin Sampling

    Today, we continue our work on sampling so that we can run models on subsets of our data and then test the accuracy of…

    2 条评论
  • Rsampling Fama French + Quant Finance Contest
    2018年12月17日

    Rsampling Fama French + Quant Finance Contest

    Today we will continue our work on Fama French factor models, but more as a vehicle to explore some of the awesome…

  • Fama French with R: Managing Multiple Models + Cyber Monday Book Discount
    2018年11月26日

    Fama French with R: Managing Multiple Models + Cyber Monday Book Discount

    Today, we will return to the Fama French (FF) model of asset returns and use it as a proxy for fitting and evaluating…

    1 条评论
  • Reproducible Finance, the book!
    2018年10月29日

    Reproducible Finance, the book!

    I’m thrilled to announce the release of my new book Reproducible Finance with R: Code Flows and Shiny Apps for…

    12 条评论
  • Visualizing GDP with R
    2018年8月30日

    Visualizing GDP with R

    Today we will take a look at the GDP data that is released every quarter or so by the Bureau of Economic Analysis BEA…

社区洞察

其他会员也浏览了