FrozenQuant

Faber Strategy Monitor
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This post was created in R using Markdown and posted directly to WordPress.  It creates a table of data and a set of price charts for tracking funds used in Mebane Faber's trend following strategy.  Data is gathered from Yahoo Finance using the API in the **quantmod** package, then rendered into a web page using RStudio and  [***knitr***](http://yihui.name/knitr/), with the help of **googleVis** and **ggplot2**.  

This particular implementation of the Faber strategy comes from his book *The Ivy Portfolio*.  The program is to invest in a broad array of markets and buy individual ETFs when the price of the ETF exceeds its 10-month moving average and sell when it goes below.  This particular example uses ten ETFs, two in each major category (as shown in Table 9.2 of *The Ivy Portfolio*).  

The table shows some basic information about each ETF, the current price versus the 10-month SMA, and the same price/SMA data as of the prior m

FrozenQuant

# R plot of nominal GDP vs 10-year rate using data from FRED
# Frozenquant.com
# Thanks to KLR for his posts on charting with xtsExtra

require(quantmod)
require(PerformanceAnalytics)
require(xtsExtra)
require(RColorBrewer)

# Get data for chart --------------------------------------------------------

FrozenQuant

# PCA Analysis of Interest Rates 
# Post #2
# FrozenQuant.com

require(quantmod)
require(PerformanceAnalytics)
options(scipen = 20)

##############################################################
# Get and Prepare data

FrozenQuant

# PCA Analysis of Interest Rates Post Number 3
# frozenquant.com
# 20160531

library(quantmod)
library(PerformanceAnalytics)
library(ellipse)
library(rgl)

options(scipen = 20)