Today I want to follow up with the Minimum Correlation Algorithm Paper post and show how to incorporate the Minimum Correlation Algorithm into your portfolio construction work flow and also explain why I like the Minimum Correlation Algorithm. First, let’s load the ETF’s data set used in the Minimum Correlation Algorithm Paper using the Systematic 
First, just a quick update: I’m moving the release date of the SIT package a few months down the road, probably in November. Now back to the post. Recently I came across a series of interesting posts about the Permanent Portfolio at the GestaltU blog. Today I want to show you how to back-test the 
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 
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. 
In the post pairs trading issues one of the problems raised was the unstable estimates of the stock’s beta with respect to the market. Here is a suggestion for a possible solution, which is not really a solution but more … Continue reading →
In this tutorial I am going to share my R&D and trading experience using the well-known from statistics Autoregressive Moving Average Model (ARMA). There is a lot written about these models, however, I strongly recommend Introductory Time Series with R, which I find is a perfect combination between light theoretical background and practical implementations in
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 
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 
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 
for background please see prior posts More on Horizon Charts, Application of Horizon Plots, Horizon Plot Already Available, and Cubism Horizon Charts in R There are three primary graphics routes in R (base graphics, lattice, and ggplot2), and each have...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
