Blog Archives

Extending Gold time series

September 10, 2012
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Extending Gold time series

While back-testing trading strategies I want all assets to have long history. Unfortunately, sometimes there is no tradeable stock or ETF with sufficient history. For example, I might use GLD as a proxy for Gold allocation, but GLD is only began trading in November of 2004. We can extend the GLD’s historical returns with its

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Merging Current Stock Quotes with Historical Prices

September 4, 2012
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Merging Current Stock Quotes with Historical Prices

I got a question last week about going from the backtest to the trading. For example, if our system is based on today’s close, we can approximate the close value by the price at say 3:30pm, determine the signal and still have time enter the trade. It is not perfect, but one of possible solutions.

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Adaptive Asset Allocation – Sensitivity Analysis

August 20, 2012
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Adaptive Asset Allocation – Sensitivity Analysis

Today I want to continue with Adaptive Asset Allocation theme and examine how the strategy results are sensitive to look-back parameters used for momentum and volatility computations. I will follow the sample steps that were outlined by David Varadi on the robustness of parameters of the Adaptive Asset Allocation algorithm post. Please see my prior

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Adaptive Asset Allocation

August 13, 2012
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Adaptive Asset Allocation

Today I want to highlight a whitepaper about Adaptive Asset Allocation by Butler, Philbrick and Gordillo and the discussion by David Varadi on the robustness of parameters of the Adaptive Asset Allocation algorithm. In this post I will follow the steps of the Adaptive Asset Allocation paper, and in the next post I will show

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The New 60/40

August 6, 2012
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The New 60/40

I want to share a brilliant idea and a great example from the You’re Looking at the Wrong Number post at the GestaltU blog. Today, I will focus on the section of this post that outlines simple steps to improve a typical 60/40 stock/bond portfolio by using risk allocation instead of dollar allocation, and targeting

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Yet Another Forecast Dashboard

July 30, 2012
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Yet Another Forecast Dashboard

Recently, I came across quite a few examples of time series forecasting using R. Here are some examples: Time series cross-validation 4: forecasting the S&P 500 Holt-Winters forecast using ggplot2 Autoplot: Graphical Methods with ggplot2 Large-Scale Parallel Statistical Forecasting Computations in R (2011) by M. Stokely, F. Rohani, E. Tassone Forecasting time series data ARIMA

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More on Factor Attribution to improve performance of the 1-Month Reversal Strategy

July 26, 2012
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More on Factor Attribution to improve performance of the 1-Month Reversal Strategy

In my last post, Factor Attribution to improve performance of the 1-Month Reversal Strategy, I discussed how Factor Attribution can be used to boost performance of the 1-Month Reversal Strategy. Today I want to dig a little dipper and examine this strategy for each sector and also run a sector-neutral back-test. The initial steps to

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Factor Attribution to improve performance of the 1-Month Reversal Strategy

July 16, 2012
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Factor Attribution to improve performance of the 1-Month Reversal Strategy

Today I want to show how to use Factor Attribution to boost performance of the 1-Month Reversal Strategy. The Short-Term Residual Reversal by D. Blitz, J. Huij, S. Lansdorp, M. Verbeek (2011) paper presents the idea and discusses the results as applied to US stock market since 1929. To improve 1-Month Reversal Strategy performance authors

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1-Month Reversal Strategy

July 12, 2012
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1-Month Reversal Strategy

Today I want to show a simple example of the 1-Month Reversal Strategy. Each month we will buy 20% of loosers and short sell 20% of winners from the S&P 500 index. The loosers and winners are measured by prior 1-Month returns. I will use this post to set the stage for my next post

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Example of Factor Attribution

July 3, 2012
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Example of Factor Attribution

In the prior post, Factor Attribution 2, I have shown how Factor Attribution can be applied to decompose fund’s returns in to Market, Capitalization, and Value factors, the “three-factor model” of Fama and French. Today, I want to show you a different application of Factor Attribution. First, let’s run Factor Attribution on each the stocks

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