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shabbychef/monthly_spy_anova.R

Created May 20, 2012 04:12
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ANOVA on monthly GSPC returns
Raw
monthly_spy_anova.R
# * Sat May 19 2012 21:04:56 Steven E. Pav <shabbychef@gmail.com>
# from https://github.com/milktrader/rfinance2012/blob/94e6dd0452b16697ad10f9bc7e0e7431c95d9020/xts/.Rhistory
require(quantmod)
getSymbols('^GSPC', from='1950-01-01')
G <- monthlyReturn(Cl(GSPC))
G$monnum <- .indexmon(G)
# try ANOVA on the monthly returns
mret.aov <- aov(monthly.returns ~ monnum,data=as.data.frame(G))
# don't see much here
summary(mret.aov)
png('monthly_spy.png')
boxplot(monthly.returns ~ monnum,data = as.data.frame(G))
dev.off()
#for vim modeline: (do not edit)
# vim:ts=2:sw=2:tw=79:fdm=marker:fmr=FOLDUP,UNFOLD:cms=#%s:syn=r:ft=r:ai:si:cin:nu:fo=croql:cino=p0t0c5(0:
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