Jasen Mackie jaymon0703

Passionate about investments, quantitative concepts and Open Source technologies

jaymon0703 / mcsimr.R

Last active May 21, 2016 13:39

A Monte Carlo Simulation function for your back-test results - in R

	# Record script start time ----------------------------------------
	t1 <- Sys.time()

	# Load required packages ------------------------------------------
	library(quantmod)
	library(TTR)
	library(PerformanceAnalytics)
	library(ggplot2)
	library(timeSeries)

jaymon0703 / mcblocksim.R

Last active April 26, 2016 22:31

Monte Carlo Simulation with Block Bootstrapping

	# Record script start time ----------------------------------------
	t1 <- Sys.time()

	# Load required packages ------------------------------------------
	library(quantmod)

	# Build the function ----------------------------------------------
	mcblocksim <- function(R, l){

	# Read price data and build xts object