Blog Archives

Another cut at market randomness

May 20, 2012
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Another cut at market randomness

I have some background in computer security and one day found myself tasked with assessing the quality of randomness for session id tokens generated by popular web frameworks (namely Java and .NET). As it turns out, NIST have developed a series of tests for just this purpose detailed here.As a non-believer in the absolute randomness of markets, I thought...

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Mebane Faber Tactical Asset Allocation in R

April 13, 2012
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In 2006 Mebane Faber published a great piece of research detailing an asset allocation system that was both very easy to understand and implement, as well as carrying very respectable risk adjusted returns.The details are available in his paper&nb...

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Machine Learning Examples in R

February 12, 2012
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Machine Learning Examples in R

This is a post that has been a long time in the making. Following on from the excellent Stanford Machine Learning Course I have made examples of the main algorithms covered in R.We have Linear RegressionFollowed by Neural NetworksAnd Support ...

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Trading Mean Reversion with Augen Spikes

October 14, 2011
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Trading Mean Reversion with Augen Spikes

One of the more interesting things I have come across is the idea of looking at price changes in terms of recent standard deviation, a concept put forward by Jeff Augen. The gist is to express a close to close return as a function of the standard devia...

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Jeff Augen Volatility Spike Code in R

October 2, 2011
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Jeff Augen Volatility Spike Code in R

Jeff Augen has written many excellent books on options trading, including&nb...

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Adding a volatility filter with VIX

October 2, 2011
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Adding a volatility filter with VIX

We saw in the basic system how we could add a factor, namely the 200 day moving average, to improve the overall performance of our system. You could spend a lot of time playing with different moving averages, and different combinations of crossovers if...

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