Thank so much to Patrick Burns’ post Variability in maximum drawdown. He starts with “Maximum drawdown is blazingly variable,” which I say is why money management is so blazingly difficult. After spending a lot of time thinking about ...
Blog Archives
knitr Performance Report 4
please see knitR Performance Report 3 (really with knitr) and dprint, knitr Performance Report–Attempt 3, knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 Here is another iteration of the ongoing performance reporting attempt...
Evaluation of Tactical Approaches
Tactical approaches are often chosen based on the best cumulative return which implicitly incorporates significant hindsight bias. Just because an approach dominates for a period of time does not indicate that it will be the best approach. ...
System from Trend Following Factors
As I thought more about Trend Following Factors from Hsieh and Fung, I thought that the trend following factors might indicate a state/regime for the equity markets that could potentially offer momentum-style timing signals for a system on the S&P ...
Conditional Drawdown Exploration
After reading Strub, Issam S., Trade Sizing Techniques for Drawdown and Tail Risk Control (May 21, 2012), I thought I should try to tie this with 2 other good R pieces on Conditional Drawdown: http://systematicinvestor.wordpress.com/2011/11/01/minimiz...
Trend Following Factors from Hsieh and Fung
The beauty of R and academic replication is that on the Friday before Memorial Day weekend I can read an academic paper and do some analysis all before breakfast. In this case, the paper is Hsieh, David A. and Fung, William, The Risk in Hedge F...
Quick dprint Experiment
As a quick dprint experiment, I thought I would try to do a quarterly return table that might potentially fit in knitR Performance Report 3 (really with knitr) and dprint. Although I do not think I will use it in the final report, I do think it i...
knitR Performance Report 3 (really with knitr) and dprint
please see knitr Performance Report–Attempt 3, knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 alstated’s asked a very good question in his comment on knitr Performance Report–Attempt 3, and I’m not sure I could have a...
knitr Performance Report–Attempt 3
please see knitr Performance Report-Attempt 2 and knitr Performance Report-Attempt 1 Since the time of my last reporting post, RStudio, knitr, and Sweave have worked extremely hard to make document creation easier by becoming even more streamlined and ...
Skew of Bonds
As the researchpuzzler highlights in “a bad bet”, US bonds were a popular subject at the CFA Institute Annual Conference. While US Bonds have been in an amazing 30 year run (see previous posts Lattice Explore Bonds, Bond Market as a Casino Ga...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
