timelyportfolio’s gists

timelyportfolio / knitr Performance Report 4.rnw

Created June 8, 2012 22:02

	\documentclass[nohyper,justified]{tufte-handout}
	%\documentclass{article}
	%great guides at epslatex.pdf
	%check miniplot for potential use

	%\usepackage{graphics}
	%\usepackage{caption}
	%\usepackage{sidecap}
	%\usepackage{textpos}
	%\usepackage[section]{placeins}

timelyportfolio / statistics of drawdowns.r

Created June 12, 2012 02:20

	require(fGarch)
	require(ttrTests)
	require(quantmod)
	require(PerformanceAnalytics)

	getSymbols("^GSPC",from="1900-01-01")
	#get monthly close prices from daily
	price.monthly<-to.monthly(GSPC)[,4]
	#get dates in yyyy-mm-01 format
	index(price.monthly) <- as.Date(index(price.monthly))

timelyportfolio / pimco correlation.r

Created June 14, 2012 17:32

	#do a pretty correlation on heat map on all Pimco Funds (institutional share class) that have existed longer 5 years
	#symbol list obtained from
	#http://investments.pimco.com/Products/pages/PlOEF.aspx?Level1=ulProducts&Center=ulProducts&Level2=liulProductsMutualFunds
	#pasted into Excel and sorted by 5 yr return
	#then copied and pasted transpose
	#saved to csv
	#and pasted in this ticker list eliminating the money fund and adding Vanguard S&P 500 for reference
	tckrs <- c("PISIX","PSKIX","PSDIX","PSTKX","PCRIX","PFIIX","PHMIX","PFCIX","PCDIX","PTSHX","PFMIX","PLMIX","PSPTX","PCIMX","PSTIX","PNYIX","PLDTX","PLDIX","PTLDX","PAAIX","PXTIX","PHIYX","PSCSX","PAUIX","PTRIX","PGBIX","PFORX","PELBX","PDMIX","PMDRX","PEBIX","PDIIX","PRRSX","PMBIX","PTSAX","PTTRX","PIGLX","PRRIX","PFUIX","PIMIX","PIGIX","PRAIX","PLRIX","PGOVX","PEDIX","VFINX")

	for (i in 1:length(tckrs)) {

timelyportfolio / horizon plot.r

Created June 15, 2012 20:18

R Horizon Chart

	require(lattice)
	require(latticeExtra)
	require(reshape2)
	require(quantmod)

	#set up horizon plots as a function
	horizonplot <- function(prices,horizon.type="offset",scale=0.05,title=NA,alpha=0.4){
	#get change in prices since beginning or 1st row
	prices.change <- prices[,4]/as.numeric(prices[1,4])-1
	#get as a data.frame so it will work well with melt and lattice

timelyportfolio / rut where are fat tails.r

Created June 19, 2012 17:47

Where are RUT fat tails

	require(lattice)
	require(latticeExtra)
	require(directlabels)
	require(reshape2)
	require(quantmod)
	require(PerformanceAnalytics)

	#I will use a csv file of weekly returns to get more history
	#but if you do not have access to that then use getSymbols for data to 1987
	#getSymbols("^RUT",from="1900-01-01")

timelyportfolio / look at paper why trend is not your friend.r

Created June 26, 2012 16:37

	#do preliminary exploration of paper Why Trend is Not Your Friend
	#http://www.frankfurt-school.de/clicnetclm/fileDownload.do?goid=000000311260AB4
	#by Peter Scholz and Ursula Walther

	#load table 2:Descriptive statistics of 35 leading equity indices
	table2 <- read.csv("https://raw.github.com/gist/2996948/31d22bf58aad9f8421f419d659da90c4b3e0bcf0/table2.csv")
	#load table 21: Average excess return from timing in the 35 selected leading equity indices
	table21 <- read.csv("https://raw.github.com/gist/2996948/8ee5c1d6680fc592c99a68027d2381701c66bb22/table21.csv")
	#I included the source at the end of attribution, so let's get rid of that
	table2 <- table2[1:(NROW(table2)-2),]

timelyportfolio / csv-to-json.php

Created June 27, 2012 20:58 — forked from robflaherty/csv-to-json.php

Convert Yahoo Finance CSV to JSON for use with d3.js

	<?php
	/*
	* Converts CSV to JSON
	* Example uses Google Spreadsheet CSV feed
	* csvToArray function I think I found on php.net
	*/

	header('Content-type: application/json');

	// Set your CSV feed

timelyportfolio / index.html

Created June 27, 2012 21:37

ripoff d3.js dji-area example but use direct yahoo finance feed

	<!DOCTYPE html>
	<html>
	<head>
	<title>d3.js with Direct Yahoo Finance</title>
	<script type="text/javascript" src="http://mbostock.github.com/d3/d3.js?2.3.0"></script>

	<style type="text/css">

	body {
	font: 10px sans-serif;

timelyportfolio / latticeExtra horizon plot.r

Created June 29, 2012 16:51

	#should have known R already has horizon plot functionality
	#latticeExtra (already a favorite package of mine) has it sitting right there
	#http://rgm2.lab.nig.ac.jp/RGM2/func.php?rd_id=latticeExtra:horizonplot


	require(lattice)
	require(latticeExtra)
	require(reshape2)
	require(quantmod)

timelyportfolio / index.html

Created July 13, 2012 18:19

d3 Axys Integration

	<!DOCTYPE html>
	<html>
	<head>
	<meta charset="utf-8" />
	<title>d3.js Axys Chart</title>
	<!-- Always force latest IE rendering engine (even in intranet) & Chrome Frame
	Remove this if you use the .htaccess -->
	<meta http-equiv="X-UA-Compatible" content="IE=edge,chrome=1" />

	<script src="http://d3js.org/d3.v2.min.js?2.9.1"></script> <style>

timelyportfolio timelyportfolio