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Yes this book has a section on modeling volatility using the rugarch functions.

Hadley Wickham has written some brilliant packages for R. Most of his packages actually are wrappers for "C" so they are really quick. I believe he was the creator of the free ide Rstudio, great cheat sheet here. I generally use dplyr and ggplot daily, lubridate is great for coercing dates...

Thats an Aup in my book :-)

Here is a great into into using rvest and SelectorGadget in R to scrape data from web pages. I also use the XML package for web scraping tables from websites. For example I have wrote a function so that R scrapes all the tickers of constituents in the S&P 500 and then saves it to .txt file. I...

I am not sure if you are familiar with it but "R" can do most of that. If I get the time I will code something up and see what it looks like. Seems that SPY & DIA are leading the charge at the moment.

Perhaps we should make a number line of post frequency on here. :-)

Very true but I did recognize similar low activity levels around the end of August. Its seems that when the charts gets gappy so too does the posting.

I guess that since ACD does a good job of stopping us from trading only when we need too, the post frequency is likely to drop when those opportunities come around. :-)

Thats quite interesting Bob and thanks for posting. Has anybody here looked into using ACD for "Good news bad action"? when I have sometime I would like to screen those stocks where negative news came out followed by a confirmed weekly Aup etc. This should be seen as a sign of strength and so...

Hi Robert, Are you using conventional scoring or personalized as I have quite a different number 30 day to you at the moment. My UUP 30 day is only at -1 with the last confirmed line for it being on the 22/11/2015. The 5 day for UUP that I have as currently being 0. Would not normally...

My main work is as a commercial diver which as you can all imagine has been quite hard hit by the oil prices. On the plus side the cartoons are getting better by the day :-)

I feel a squeeze coming on...

Failed A downs USDCAD and failed Aups CADJPY. Got caught copy and pasting :-)

Quite a good example of good news bad action....

Yesterday was a good day for homegamers partaking in the Fx fun. USDCAD textbook failure of the weekly & daily A up. USDJPY textbook failure of the weekly & daily A up.

StockTwits agrees with you Mav..

ACD offered some nice intra-day failures yesterday to join in the fun :-)

I have Pm´d you.

What lookback period are you looking for and do you need tick or would something like > 1 min TF be ok? I may have some I can send you if tell me what your looking for.