Blog Archives

Running Back-tests in parallel

November 11, 2013
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Running Back-tests in parallel

Once you start experimenting with many different asset allocation algorithms, the computation time of running the back-tests can be substantial. One simple way to solve the computation time problem is to run the back-tests in parallel. I.e. if the asset allocation algorithm does not use the prior period holdings to make decision about current allocation,

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Commissions

November 4, 2013
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Commissions

Today, I want to explain the commission’s functionality build in to Systematic Investor Toolbox(SIT) “share” back-test. At each re-balance time the capital is allocated given the weight such that For example, if weight is 100% (i.e. fully invested) and capital = $100 and price = $10 then The period return is equal to The total

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Weekend Reading: Market Neutral

November 1, 2013
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Weekend Reading: Market Neutral

I recently came across a very interesting idea at the The Problem with Market Neutral (and an Answer) post by Mebane Faber. Today I want to show how you can test such strategy using the Systematic Investor Toolbox: Mebane thank you very much for sharing this great observation and great strategy that works! I would

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Updates for Proportional Minimum Variance and Adaptive Shrinkage methods

October 28, 2013
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Updates for Proportional Minimum Variance and Adaptive Shrinkage methods

I create supporting pages for two projects I have collaborated with David Varadi in 2013: Proportional Minimum Variance Algorithm Adaptive Shrinkage Method Please check the links to get more info, including supporting blog posts, back-tests, R code to reproduce the back-tests, and more to come in the near future. I and David appreciate your feedback

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Update for Backtesting Asset Allocation Portfolios post

October 23, 2013
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Update for Backtesting Asset Allocation Portfolios post

It was over a year since my original post, Backtesting Asset Allocation portfolios. I have expanded the functionality of the Systematic Investor Toolbox both in terms of optimization functions and helper back-test functions during this period. Today, I want to update the Backtesting Asset Allocation portfolios post and showcase new functionality. I will use the

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7Twelve Back-test

August 14, 2013
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7Twelve Back-test

I recently came across the The 7Twelve Portfolio strategy. I like the catchy name and the strategy report, “An Introduction to 7Twelve.” Following is some additional info about the The 7Twelve Portfolio strategy that I found useful: On Israelsen’s 7Twelve Portfolio The 7/12 Allocation Today I want to show how to back-test the The 7Twelve

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Calendar-based Sector Strategy

August 5, 2013
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Calendar-based Sector Strategy

I recently came across the Kaeppel’s Sector Seasonality Strategy which is described in Kaeppel’s Corner: Sector Seasonality and updated in Kaeppel’s Corner: Get Me Back, Clarence. Today I want to show how to back-test the Kaeppel’s Sector Seasonality Strategy using the Systematic Investor Toolbox. Following are the strategy rules: Buy Fidelity Select Technology (FSPTX) at

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Stop Loss

July 29, 2013
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Stop Loss

Today I want to share and present an example of the flexible Stop Loss functionality that I added to the Systematic Investor Toolbox. Let’s examine a simple Moving Average Crossover strategy: Buy is triggered once fast moving average crosses above the slow moving average Sell is triggered once fast moving average crosses below the slow

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Stochastic Oscillator

July 18, 2013
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Stochastic Oscillator

I came across the link to the John Ehlers paper: Predictive Indicators for Effective Trading Strategies, while reading the Dekalog Blog. John Ehlers offers a different way to smooth prices and incorporate the new filter into the oscillator construction. Fortunately, the EasyLanguage code was also provided and i was able to translate it into R.

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Longer-history back-tests

July 11, 2013
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Longer-history back-tests

One of the important steps of evaluating new trading idea or strategy is to see how it behaved historically (i.e. create back-test and examine the equity curve in different economic and market conditions) However, creating a long back-test is usually problematic because most ETFs do not have a long price history. One way to alleviate

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