Discover and read the best of Twitter Threads about #RPubs

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@WifeyAlpha recently posted a thread with 16 buy-and-hold asset allocation schemes, i.e. fixed-weight portfolios that can be implemented with ETFs. I decided to write some code to test these in #R #RStats. The code is available on #RPubs:…
The code is a quick & dirty calculation using monthly returns with monthly rebal. It does not take into account transaction costs. The code can be easily adapted to test other asset allocation schemes.
I use the following #R packages: quantmod to get prices from Yahoo; PerformanceAnalytics for calculation of performance metrics. All backtests start when data for all necessary tickers becomes available.
Read 18 tweets
I recently implemented some pairs trading strategies for a paper, and decided to share an implementation of the Gatev, Goetzmann & Rouwenhorst (2006) strategy on a short article on RPubs.…
#rstats #RPubs #DataScience #finance #pairstrading #reproducibility
In the RPubs post above, I provide the #R code to backtest the strategy, as well as some results replicating Gatev, Goetzmann & Rouwenhorst (2006) and Do and Faff (2010), and extending the sample to the end of 2020. In this thread, I show some of these results.
Pairs trading is a type of systematic trading strategy based on finding pairs of stocks or assets that have historically "moved together", and betting that divergences will eventually get corrected. It is a simple form of statistical arbitrage.
Read 23 tweets

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