Blog Archives

The JP Morgan SCTO strategy

April 20, 2015
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The JP Morgan SCTO strategy

This strategy goes over JP Morgan’s SCTO strategy, a basic XL-sector/RWR rotation strategy with the typical associated risks and returns … Continue reading →

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The Logical Invest Enhanced Bond Rotation Strategy (And the Importance of Dividends)

April 7, 2015
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The Logical Invest Enhanced Bond Rotation Strategy (And the Importance of Dividends)

This post will display my implementation of the Logical Invest Enhanced Bond Rotation strategy. This is a strategy that indeed … Continue reading →

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The Logical Invest “Hell On Fire” Replication Attempt

April 6, 2015
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The Logical Invest “Hell On Fire” Replication Attempt

This post is about my replication attempt of Logical Invest’s “Hell On Fire” strategy — which is its Universal Investment … Continue reading →

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Rolling Sharpe Ratios

March 20, 2015
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Rolling Sharpe Ratios

Similar to my rolling cumulative returns from last post, in this post, I will present a way to compute and … Continue reading →

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Introduction to my New IKReporting Package

March 9, 2015
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Introduction to my New IKReporting Package

This post will introduce my up and coming IKReporting package, and functions that compute and plot rolling returns, which are … Continue reading →

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The Downside of Rankings-Based Strategies

February 26, 2015
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The Downside of Rankings-Based Strategies

This post will demonstrate a downside to rankings-based strategies, particularly when using data of a questionable quality (which, unless one … Continue reading →

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The Logical-Invest “Universal Investment Strategy”–A Walk Forward Process on SPY and TLT

February 23, 2015
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The Logical-Invest “Universal Investment Strategy”–A Walk Forward Process on SPY and TLT

I’m sure we’ve all heard about diversified stock and bond portfolios. In its simplest, most diluted form, it can be … Continue reading →

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A Closer Update To David Varadi’s Percentile Channels Strategy

February 20, 2015
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A Closer Update To David Varadi’s Percentile Channels Strategy

So thanks to seeing Michael Kapler’s implementation of David Varadi’s percentile channels strategy, I was able to get a better … Continue reading →

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An Attempt At Replicating David Varadi’s Percentile Channels Strategy

February 17, 2015
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An Attempt At Replicating David Varadi’s Percentile Channels Strategy

This post will detail an attempt at replicating David Varadi’s percentile channels strategy. As I’m only able to obtain data … Continue reading →

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The Quarterly Tactical Strategy (aka QTS)

February 13, 2015
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The Quarterly Tactical Strategy (aka QTS)

This post introduces the Quarterly Tactical Strategy, introduced by Cliff Smith on a Seeking Alpha article. It presents a variation … Continue reading →

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