I've shown several examples of how to use LSPM's probDrawdown function as a constraint when optimizing a leverage space portfolio. Those posts implicitly assume the probDrawdown function produces an accurate estimate of actual drawdo...

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How many times have you been disappointed by nice trading system, because neither trading cost or slippage or bid/ask spread were included into back-test results? Did you find difficult to back-test a portfolio in R or many portfolios with different stocks? Blotter package is supposed to solve these problems. In really – it is complicated. I

Bespoke blogged about average monthly returns of the DJI and emphasized April. Before jumping on that information, let’s check some weak points. In that post, only average returns are presented. We need at least extreme points (min;max) and confidence ranges. Second problem – the normal market have upward trend and we need to get rid of

Inspired by CXO group report, I did a rerun of the same strategy on my data. Easter’s dates can be find at wikipedia. Overall, my results are similar to CXO group’s results. In the graph below, I plotted daily returns on Easter week (Monday to Thursday) from 1982 to 2009. I prefer this way of showing

Last spring I read “Quantitative Trading” by Ernest P. Chan. In his book, he suggested to buy gas futures contract at the end of February and sell it later, in March. Today, I decided to test this strategy by using R-language. The most important thing for such investigation is data. For this purpose, I used this