Calendar Strategy: Fed Days

Originally posted on Systematic Investor:
UPDATE: I was pointed out a problem with original post due to look ahead bias introduced by prices > SMA(prices,100) statement. In the calendar strategy logic I did not use a usual lag of one day because important days are known before hand. However, the prices > SMA(prices,100) statement should…

some statistical applications with R

I haven’t written a blog post in ages but I am finished my exams now and have more time to put my studies to work. I wanted to share how easy it is to get started with R and to produce some simple charts. To do a simple regression and a chart with bollinger bands,…