Shortcuts for quantmod

Over the years, there have been a couple of issues I have been trying to address in my daily use of this excellent package. Both are “cosmetic” improvements, they only improve the usability of the package. Let me share them and see whether they can be improved further.:)

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Went Short on the S&P 500

Time to switch gears again. If it seems too quickly – that’s because the trades are making money.:) Glad to note, that my intuition was wrong about the previous long positions – it turned out to be quite timely, in fact.

Entered a Long on the S&P 500

At the today’s close I took the long side yet again. My gut feeling is that it’s a bit premature, but a hunch is not sufficient to make me overwrite the system. Don’t take me wrong, there are situation when I take discretionary actions, but these situations are usually well defined in advance, in a way, they are part of the system. It may seem extreme, but I’d do anything to keep the emotional brain out of the equation.

Closed the Short on the S&P 500

Closed the short at the today’s close, but the system didn’t signal any new position. Staying out for a few days I guess.

Went Short on the S&P 500

Time to close the long opened on May 8th and take the other side. This long trade was short and sweet – about a 1.1% gain.

Beyond R, or on the Hunt for New Tools

For more than four years now (judging by the first post on my old blog), R has been my primary tool for market research. It has thought me a lot, and it has helped me to me advance smoothly in the field of semi-automated trading. Lately however I started realizing that R is lacking essential tools for my new needs and after some serious deliberation, I have decided (surprisingly for myself) that R is NOT the right platform for my new research.

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Went Long on the S&P 500

My S&P 500 system has kept me out for a while, but finally it entered a long position at the today’s close.

Max-Sharpe Portfolio for May

The strategy implementation was posted originally on the Systematic Investor Blog. April’s mix of 65% US bonds (TLT) and 35% S&P 500 (SPY) was good for about a 1.5% gain.

The allocations for May differ between the original approach and my modified version:

ETF Original Modified
S&P 500 (SPY) 38% 27%
MSCI United Kingdom (EWU) 53%
Emerging Markets (EEM) 11% 20%
US Bonds (TLT) 51%

Not only is the modified version fully in stocks, it also has a full 20% in the emerging markets.

Out of the Markets

Promptly closed all my trading positions at the close today since I will be taking the next few days off. The short trade on the S&P 500 lasted for three days, yet turned out to be quite timely.

Went Short on the S&P 500

All in all a nice Easter rally by the S&P 500, this was the sixth straight day up. My system was itching to flip to short even yesterday, but the close wasn’t high enough to trigger the action. Today it was unconditional (under normal circumstances, barring a plunge of 6%, that is). This short position is not going to be long lived – more on that later.