Blog Archives

Create Amazing Looking Backtests With This One Wrong–I Mean Weird–Trick! (And Some Troubling Logical Invest Results)

April 22, 2016
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Create Amazing Looking Backtests With This One Wrong–I Mean Weird–Trick! (And Some Troubling Logical Invest Results)

This post will outline an easy-to-make mistake in writing vectorized backtests–namely in using a signal obtained at the end of … Continue reading →

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Are R^2s Useful In Finance? Hypothesis-Driven Development In Reverse

April 18, 2016
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Are R^2s Useful In Finance? Hypothesis-Driven Development In Reverse

This post will shed light on the values of R^2s behind two rather simplistic strategies — the simple 10 month … Continue reading →

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On The Relationship Between the SMA and Momentum

January 13, 2016
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On The Relationship Between the SMA and Momentum

Happy new year. This post will be a quick one covering the relationship between the simple moving average and time … Continue reading →

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A First Attempt At Applying Ensemble Filters

December 4, 2015
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A First Attempt At Applying Ensemble Filters

This post will outline a first failed attempt at applying the ensemble filter methodology to try and come up with … Continue reading →

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A Filter Selection Method Inspired From Statistics

November 9, 2015
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A Filter Selection Method Inspired From Statistics

This post will demonstrate a method to create an ensemble filter based on a trade-off between smoothness and responsiveness, two … Continue reading →

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How well can you scale your strategy?

October 21, 2015
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How well can you scale your strategy?

This post will deal with a quick, finger in the air way of seeing how well a strategy scales–namely, how … Continue reading →

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Volatility Stat-Arb Shenanigans

October 9, 2015
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Volatility Stat-Arb Shenanigans

This post deals with an impossible-to-implement statistical arbitrage strategy using VXX and XIV. The strategy is simple: if the average … Continue reading →

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Volatility Stat-Arb Shenanigans

October 9, 2015
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Volatility Stat-Arb Shenanigans

This post deals with an impossible-to-implement statistical arbitrage strategy using VXX and XIV. The strategy is simple: if the average … Continue reading →

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Hypothesis-Driven Development Part V: Stop-Loss, Deflating Sharpes, and Out-of-Sample

September 24, 2015
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Hypothesis-Driven Development Part V: Stop-Loss, Deflating Sharpes, and Out-of-Sample

This post will demonstrate a stop-loss rule inspired by Andrew Lo’s paper “when do stop-loss rules stop losses”? Furthermore, it … Continue reading →

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Hypothesis-Driven Development Part V: Stop-Loss, Deflating Sharpes, and Out-of-Sample

September 24, 2015
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Hypothesis-Driven Development Part V: Stop-Loss, Deflating Sharpes, and Out-of-Sample

This post will demonstrate a stop-loss rule inspired by Andrew Lo’s paper “when do stop-loss rules stop losses”? Furthermore, it … Continue reading →

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