THIS IS ONLY AN EXAMPLE AND IS NOT INVESTMENT ADVICE. ACTING ON THIS WILL LOSE LOTS OF MONEY.
Systematic Investor Blog (be sure to check out the site) offers extremely good examples of how to use R in finance. Since I firmly believe more examples are always better, I wanted to provide an additional very simple example of how to use his Systematic Investor Toolbox (SIT) for systems development. This will provide a building block for a series of posts similar to my A Quantstrat to Build On Part 6. We’ll use our good old count up/down (CUD) indicator on the S&P 500 Index and compare it to Mebane Faber’s 10 month moving average.
I know this is not pretty, but I wanted to start with as simple a base as possible. Any loyal readers will already have known that CUD is not so great at making money.