Blog Archives

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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PELTing a Competing Changepoint Algorithm

February 9, 2015
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PELTing a Competing Changepoint Algorithm

This post will demonstrate the PELT algorithm from the changepoint package–a competing algorithm to the twitter package’s breakout detection algorithm. … Continue reading →

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Comparing Flexible and Elastic Asset Allocation

January 29, 2015
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Comparing Flexible and Elastic Asset Allocation

So recently, I tried to combine Flexible and Elastic Asset Allocation. The operative word being–tried. Essentially, I saw Flexible Asset … Continue reading →

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A New Harry Long Strategy and A Couple of New PerfA Functions

January 24, 2015
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A New Harry Long Strategy and A Couple of New PerfA Functions

So, Harry Long came out with a new strategy on SeekingAlpha involving some usual mix of SPXL (3x leveraged SPY), … Continue reading →

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