An Introduction to R for Traders

Ram Venkat Dawn 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.rproject.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-packagein-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