In part 2, we saw that adding a volatility filter to a single instrument test did little to improve performance or risk adjusted returns. How will the volatility filter impact a multiple instrument portfolio? In part 3 of the follow up, I will evaluate the impact of the volatility filter on a multiple instrument test. … Continue reading...
Diversification is hard to find nowadays because financial markets are becoming increasingly correlated. I found a good visually presentation of Cross Sectional Correlation of stocks in the S&P 500 index in the Trading correlation by D. Varadi and C. Rittenhouse article. Let’s compute and plot the average correlation among stocks in the S&P 500 index 
Today I want to show how to use Volatility Position Sizing to improve strategy’s Risk Adjusted Performance. I will use the Average True Range (ATR) as a measure of Volatility and will increase allocation during low Volatility periods and will decrease allocation during high Volatility periods. Following are two good references that explain these strategy 
In the Follow-Up Part 1, I explored some of the functions in the quantstrat package that allowed us to drill down trade by trade to explain the difference in performance of the two strategies. By doing this, I found that my choice of a volatility measure may not have been the best choice. Although the … Continue reading...
Not quite expected behavior of skewness and kurtosis. The question In each time period the returns of a universe of stocks will have some distribution — distributions as displayed in “Replacing market indices” and Figure 1. Figure 1: A cross-sectional distribution of simple returns of stocks. In particular they will have values for skewness and … Continue reading...
I came across a free source of Intraday Forex data while reading Forex Trading with R : Part 1 post. You can download either Daily or Hourly historical Forex data from the FXHISTORICALDATA.COM. The outline of this post: Download and Import Forex data Reference and Plot Intraday data Daily Backtest Intraday Backtest First,I created a 
Few weeks back I gave a talk about Backtesting trading strategies with R, got a few requests for the slides so here they are:
This is not an investment advice!! Couple of weeks back, during amst-R-dam user group talk on backtesting trading strategies using R, I mentioned the most effective style for hedge funds is relative value statistical arbitrage, I read it somewhere. After … Continue reading →
I would describe my trading approach as systematic long term trend following. A trend following strategy can be difficult mentally to trade after experiencing multiple consecutive losses when a trade reverses due to a volatility spike or the trend reverses. Volatility tends to increase when prices fall. This is not good for a long only … Continue reading...
I've been working on different projects lately and my time for this blog, unfortunately, has been close to zero. But that's going to change. Don't expect new post every day, but there should be a new post at least in every two weeks. Anyway, let's g...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
