When @quantfblog started following me on Twitter, I was delighted to discover their papers Papailias, Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical Trading Rule (September 11, 2011). Available at SSRN: http://ssrn.com/abstract...
In all my system development, I still have not been able to determine what universal underlying conditions significantly improve a system’s chances of outperforming buy-and-hold. Also, I have found very little discussion, so maybe R with some h...
In search of better ways to post my R code, I finally discovered how GIST can help make my R blogging easier. I know I am way behind, and I apologize to my loyal readers for my shortcomings. Here is yesterday’s Magical Russell 2000 code u...
I have marveled at the magical Russell 2000 in Crazy RUT, but I am still surprised at its behavior through this selloff. With a 20-day move of 30% (6% in one hour) and big outperformance to the developed and developing world, the Russell 2000 con...
After reading the fine article Style Analysis from Systematic Investor and What we can learn from Bill Miller and the Legg Mason Value Trust from Asymmetric Investment Returns, I thought I should combine the two in R with the FactorAnalytics package.&n...
THIS IS NOT INVESTMENT ADVICE AND WILL PROBABLY WIPE OUT ALL YOUR MONEY IF PURSUED. While exploring utilities, I discovered a strange phenomenon that I have not quite thoroughly understood, but I attribute to the business cycle. If I dust o...
After reading Bloomberg’s article, JPMorgan Chase & Co. and Goldman Sachs Group Inc., among the world’s biggest traders of credit derivatives, disclosed to shareholders that they have sold protection on more than $5 trillion of debt globally. ...
When we learn the efficient frontier, most are misled to believe that the frontier is static and unchanging. However, we should have all learned by recent experience that the frontier is as volatile as the assets that construct it. If we lo...
My family is off to DisneyWorld for a week, so there will not be any posts while I am there. However, I thought it would be interesting to see how Disney stock has done since my last trip September 2010.Maybe since Disney has done so poorly, the crowd...
On Twitter last night, I spotted @milktrader from www.algorithmzoo.com doing some range research on equity indexes. I offered a tweet on the crazy Russell 2000 17% move over 7 days. Within 10 minutes, I discovered a signal that worked very ...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
