pbo - Probability of Backtest Overfitting

Following the method of Bailey et al., computes for a collection of candidate models the probability of backtest overfitting, the performance degradation and probability of loss, and the stochastic dominance.

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5.40 score 50 stars 8 scripts 252 downloads

stressr - Fetch and plot financial stress index and component data.

Forms queries to submit to the Cleveland Federal Reserve Bank web site's financial stress index data site. Provides query functions for both the composite stress index and the components data. By default the download includes daily time series data starting September 25, 1991. The functions return a class of either type easing or cfsi which contain a list of items related to the query and its graphical presentation. The list includes the time series data as an xts object. The package provides four lattice time series plots to render the time series data in a manner similar to the bank's own presentation.

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3.83 score 9 stars 15 scripts 175 downloads

ustyc - Fetch US Treasury yield curve data.

Forms a query to submit for US Treasury yield curve data, posting this query to the US Treasury web site's data feed service. By default the download includes data yield data for 12 products from January 1, 1990, some of which are NA during this span. The caller can pass parameters to limit the query to a certain year or year and month, but the full download is not especially large. The download data from the service is in XML format. The package's main function transforms that XML data into a numeric data frame with treasury product items (constant maturity yields for 12 kinds of bills, notes, and bonds) as columns and dates as row names. The function returns a list which includes an item for this data frame as well as query-related values for reference and the update date from the service.

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3.70 score 10 stars 9 scripts 191 downloads