An Introduction to Rfor Traders

Ram VenkatDawn Analytics

R environment• R is an open source environment for statistical

computing

• An Integrated environment for data manipulation, calculation and graphical output

• R is also a dynamic and object-oriented programming language

• Standard install consists of around 30 core packages that cover most common statistical and other tasks

• CRAN contains over 4000 contributed packages and it is growing

R , RStudio installation • Both R and RStudio are available in

Windows, Mac, unix and Linux

• R installation instruction : http://cran.r-project.org/doc/manuals/R-admin.html

• Rstudio is a free open source IDE for R, we will be using Rstudio for this tutorial

• RStudio can be downloaded from http://rstudio.org/download/

R packages and sample datasets

• Installing an R package:

e.g >install.packages(“quantmod “)• “quantmod” is package for trading and we

will be using this for this tutorial

• Using quantmod to load some basic data• Using in-built data sets of R

R as an object-oriented language

• Everything is an Object in R

• A brief look at an R program

• Calling R programs in batch mode

• R functions and packages

http://www.r-bloggers.com/create-an-r-package-in-under-6-minutes/

• Calling R from other languages

• R Programming Model

• Parallel R

R Objects and classes • Core Objects

– Vector

– List

– Functions

• Other Objects

Matrix

– Array

– Data Frames

– Factors

Data inputs and Data Cleaning

• Through package interfaces

• From CSV

• From Databases• Excel interface• Data Cleaning facilities

R Graphics• graphics, lattice and grid packages• graphics Package charts:

– barplot,dot chart,histogram,density plots,strp charts, quantile plots, scatter plots, image plots, contour plots, interaction plots, sunflower plots

• Lattice splits a chart into different panels or groups , making multiple plots on same page easy

Statistical computing

• Data Analysis : Summary, Correlation, principal Component Analysis, Factor Analysis

• Time Series

• Probablity Distributions

• Statistical tests

• Regression Models

• Classification Models

• Clustering

quantmod package

• “A rapid prototyping environment, where quant traders can quickly and cleanly explore and build trading models. “

• Quantmod example on data handling• Quantmod example on charting

• Quantmod example on modelling

• For more : www.quantmod.com/examples/

Other packages of interest to Traders

• R-sig-finance is your best bet to keep track of the packages: https://stat.ethz.ch/pipermail/r-sig-finance/

• Other packages mentioned frequently : Rmetrics(fportfolio),portfolio, Rglpk_solve_LP (portfolio optimization)

• Broker-specific: Ibrokers (IB)

R Books and Tutorials • Book - “R in a Nutshell” by Joseph Adler (O'Reilly)

• cran-R “An introduction to R” http://cran.r-project.org/doc/manuals/R-intro.html

• Quck-R site : http://www.statmethods.net/ gives a discount on the book “R in Action” from Manning

• R and time-series: http://www.stat.pitt.edu/stoffer/tsa3/

Thank You

For any clarification, send e-mail to ram@dawnanalytics.com