This repo contains a few simple scripts for understanding economic data and portfolio modeling. First, a simple set of scripts on top of fredr with plotting tools by ggplot2. Secondly, a set of portfolio modeling functions.
It's aim is to give a sense of the macroeconomy for macro-driven momentum trading strategies.
The primary run-book is in the file economy_momentum.R
. Simply run the script. Users should first
request a new FRED API key (instructons) and
then edit their copy of 01_pull_mung_data.R
(line 9) to utilize their own API key.
This section of the code is much less developed, but the primary run-book is the file
portfolio_modeling.R
.
- Add German economic indicators. See https://www.destatis.de/EN/Home/_node.html
- Complete portfolio modeling scripts for mininum variance portfolio + maximum Sharpe portfolio. Both
require reasonable expected return vectors
$\mu$ .
- http://www.philosophicaleconomics.com/2016/01/gtt/
- Ledoit, Olivier, and Michael Wolf. "Honey, I shrunk the sample covariance matrix." The Journal of Portfolio Management 30.4 (2004): 110-119.