521 search results for "trading"

It’s Amazing How Well Dumb Things [Get Marketed]

November 2, 2014
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It’s Amazing How Well Dumb Things [Get Marketed]

Recently, Harry Long posted not one but four new articles on Seeking Alpha called It’s Amazing How Well Dumb Things … Continue reading →

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Combining FAA and Stepwise Correlation

October 31, 2014
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Combining FAA and Stepwise Correlation

Since I debuted the stepwise correlation algorithm, I suppose the punchline that people want to see is: does it actually … Continue reading →

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Introducing Stepwise Correlation Rank

October 27, 2014
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Introducing Stepwise Correlation Rank

So in the last post, I attempted to replicate the Flexible Asset Allocation paper. I’d like to offer a thanks … Continue reading →

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A Failed Attempt at Backtesting Structural Arbitrage

October 2, 2014
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A Failed Attempt at Backtesting Structural Arbitrage

One of the things that I wondered about regarding the previous post was how would this strategy have performed in … Continue reading →

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Structural Arb Analysis and Portfolio Management Functionality in R

September 30, 2014
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Structural Arb Analysis and Portfolio Management Functionality in R

I want to use this post to replicate an article I found on SeekingAlpha, along with demonstrating PerformanceAnalytics’s ability to … Continue reading →

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DVI Performance

September 24, 2014
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DVI Performance

This is the next post in the DVI indicator series. After the first two (here and here) analyzed in details the post-entry returns and the entry power of this indicator, it’s time to take a look at the trading performance. Using the Systematic Investor Toolbox, we get some pretty decent results: CAGR of 16.15% and

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Nuts and Bolts of Quantstrat, Part III

September 20, 2014
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Nuts and Bolts of Quantstrat, Part III

This post will focus on signals in quantstrat. In comparison to indicators, signals in quantstrat are far more cut-and-dry, as … Continue reading →

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Nuts and Bolts of Quantstrat, Part II

September 16, 2014
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Nuts and Bolts of Quantstrat, Part II

Last week, I covered the boilerplate code in quantstrat. This post will cover parameters and adding indicators to strategies in … Continue reading →

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Nuts and Bolts of Quantstrat, Part I

September 8, 2014
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Nuts and Bolts of Quantstrat, Part I

Recently, I gave a webinar on some introductory quantstrat. Here’s the link. So to follow up on it, I’m going … Continue reading →

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The Limit of ATR Order Sizing

September 2, 2014
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The Limit of ATR Order Sizing

Before beginning this post, I’d like to notify readers that I have a webcast tomorrow (Wednesday, Sep. 3) at 4:30 … Continue reading →

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