Blog Archives

An Introduction to Change Points (packages: ecp and BreakoutDetection)

January 21, 2015
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An Introduction to Change Points (packages: ecp and BreakoutDetection)

A forewarning, this post is me going out on a limb, to say the least. In fact, it’s a post/project … Continue reading →

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An Update On EAA and a Volatility Strategy

January 16, 2015
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An Update On EAA and a Volatility Strategy

Again, before starting this post, I’d like to inform readers that the book Quantitative Trading With R, written by Harry … Continue reading →

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Adding a Risk-Free Rate To Your Analyses

January 9, 2015
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Adding a Risk-Free Rate To Your Analyses

First off, before beginning this post, I’d like to make my readers aware of the release of a book that … Continue reading →

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For A New Year, A New Asset Allocation System Just Published in SSRN

January 2, 2015
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For A New Year,  A New Asset Allocation System Just Published in SSRN

Happy New Year! So, this is something I’ve been working on before its official publication (so this is the first … Continue reading →

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Why Backtesting On Individual Legs In A Spread Is A BAD Idea

December 31, 2014
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Why Backtesting On Individual Legs In A Spread Is A BAD Idea

So after reading the last post, the author of quantstrat had mostly critical feedback, mostly of the philosophy that prompted … Continue reading →

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A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

December 23, 2014
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A Way To Model Execution On Individual Legs Of A Spread In Quantstrat

In this post, I’ll attempt to address a question I’ve seen tossed around time and again regarding quantstrat. “How do … Continue reading →

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The ZOMMA Warthog Index

December 12, 2014
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The ZOMMA Warthog Index

Harry Long posted another article on SeekingAlpha. As usual, it’s another “looks amazing at first glance, and winds up being … Continue reading →

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An Update to the Robustness Heuristic and a Variation of a Volatility Strategy

December 10, 2014
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An Update to the Robustness Heuristic and a Variation of a Volatility Strategy

So, before revealing a slight wrinkle on the last strategy I wrote about, I’d like to clear up a bit … Continue reading →

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A New Volatility Strategy, And A Heuristic For Analyzing Robustness

December 4, 2014
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A New Volatility Strategy, And A Heuristic For Analyzing Robustness

This post is motivated by a discussion that arose when I tested a strategy by Frank of Trading The Odds … Continue reading →

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An Update on Flexible Asset Allocation

November 25, 2014
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An Update on Flexible Asset Allocation

A few weeks back, after seeing my replication, one of the original authors of the Flexible Asset Allocation paper got … Continue reading →

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