[Blotter-commits] r1675 - pkg/quantstrat/sandbox/backtest_musings

[noreply at r-forge.r-project.org]

Author: braverock
Date: 2015-01-30 13:55:51 +0100 (Fri, 30 Jan 2015)
New Revision: 1675

Modified:
   pkg/quantstrat/sandbox/backtest_musings/research_replication.Rmd
   pkg/quantstrat/sandbox/backtest_musings/research_replication.pdf
   pkg/quantstrat/sandbox/backtest_musings/stat_process.bib
   pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.Rmd
   pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.pdf
Log:
- added more references and commentary

Modified: pkg/quantstrat/sandbox/backtest_musings/research_replication.Rmd
===================================================================
--- pkg/quantstrat/sandbox/backtest_musings/research_replication.Rmd	2015-01-21 13:40:30 UTC (rev 1674)
+++ pkg/quantstrat/sandbox/backtest_musings/research_replication.Rmd	2015-01-30 12:55:51 UTC (rev 1675)
@@ -472,13 +472,13 @@
 
 
 Reproducibility of research has gained attention in recent years, with prominent 
-papers in journals such as *Science*[@Peng2011] and *Nature*[@Barnes2010, @Ince2012].
-Finance and Economics have entries in @Vlaeminck2013 or the *Economist*
-[@Economist2013], among others.  
+papers in journals such as *Science*[@Peng2011], *Nature*[@Barnes2010, @Ince2012]
+, and *PLOSOne*[@Ioannidis2005, @Moonesinghe2007]. Finance and Economics have 
+entries in @Vlaeminck2013 or the *Economist*[@Economist2013], among others.  
 
-Following good computing practices even for routine research is always good 
-policy, and will be useful if work is submitted for publication ,reviewed by peers,
-management, or even "only" your future self.
+Following good citation and computing practices even for routine research is 
+always good policy, and will be particularly useful if work is submitted for 
+publication, reviewed by peers, management, or even "only" your future self.
 
 ___________
 

Modified: pkg/quantstrat/sandbox/backtest_musings/research_replication.pdf
===================================================================
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Modified: pkg/quantstrat/sandbox/backtest_musings/stat_process.bib
===================================================================
--- pkg/quantstrat/sandbox/backtest_musings/stat_process.bib	2015-01-21 13:40:30 UTC (rev 1674)
+++ pkg/quantstrat/sandbox/backtest_musings/stat_process.bib	2015-01-30 12:55:51 UTC (rev 1675)
@@ -225,6 +225,22 @@
   Url                      = {http://www.nature.com/nature/journal/v482/n7386/pdf/nature10836.pdf}
 }
 
+ at Article{Ioannidis2005,
+  Title                    = {Why most published research findings are false},
+  Author                   = {Ioannidis, John PA},
+  Journal                  = {PLoS medicine},
+  Year                     = {2005},
+  Number                   = {8},
+  Pages                    = {e124},
+  Volume                   = {2},
+
+  __markedentry            = {[brian:6]},
+  Owner                    = {brian},
+  Publisher                = {Public Library of Science},
+  Timestamp                = {2015.01.29},
+  Url                      = {http://journals.plos.org/plosmedicine/article?id=10.1371/journal.pmed.0020124#s6}
+}
+
 @Book{Kestner2003,
   Title                    = {Quantitative trading strategies: {H}arnessing the power of quantitative techniques to create a winning trading program},
   Author                   = {Kestner, Lars},
@@ -268,6 +284,22 @@
   Url                      = {http://inform.nu/Articles/Vol9/V9p181-212Levy99.pdf}
 }
 
+ at Article{Moonesinghe2007,
+  Title                    = {Most published research findings are false, but a little replication goes a long way},
+  Author                   = {Moonesinghe, Ramal and Khoury, Muin J and Janssens, A Cecile JW},
+  Journal                  = {PLoS medicine},
+  Year                     = {2007},
+  Number                   = {2},
+  Pages                    = {e28},
+  Volume                   = {4},
+
+  __markedentry            = {[brian:]},
+  Owner                    = {brian},
+  Publisher                = {Public Library of Science},
+  Timestamp                = {2015.01.29},
+  Url                      = {http://journals.plos.org/plosmedicine/article?id=info:doi/10.1371/journal.pmed.0040028}
+}
+
 @Book{Pardo2008,
   Title                    = {The evaluation and optimization of trading strategies, second edition},
   Author                   = {Robert Pardo},

Modified: pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.Rmd
===================================================================
--- pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.Rmd	2015-01-21 13:40:30 UTC (rev 1674)
+++ pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.Rmd	2015-01-30 12:55:51 UTC (rev 1675)
@@ -21,7 +21,6 @@
 
 # Constraints, Benchmarks, and Objectives ^[*Essentially, all models are wrong, but some are useful*. - George Box[- at Box1987] ]
 
-
 It is important to understand what you are trying to achieve 
 *before* you set out to achieve it.  
 

Modified: pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.pdf
===================================================================
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