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I first wanted to thank http://www.fosstrading.com for the very kind and unexpected mention over the weekend. You will notice almost all of my code contains some credit to Foss Trading for the examples and great packages. I hate that I coul...

After the slightly unconventional use of LSPM presented in Slightly Different Use of Ralph Vince’s Leverage Space Trading Model, I thought I should follow up with something that more closely resembles my interpretation of Ralph Vince’s book. LSPM s...

In honor of the press release Dow Jones Indexes To Develop, Co-Brand Index Family With LSP Partners two days ago, I thought I would show another slightly different use of Ralph Vince’s The Leverage Space Trading Model. Using the R LSPM package, we c...

Before starting Part 2, please see Bonds as a Casino Game Part 1. For the Monte Carlo random simulation purists, please ignore some unimportant technicalities in my simulation. To spoil the fun, here is the conclusion: Any way you look at ...

I finally got around to reading Ralph Vince’s latest The Leverage Space Trading Model (for a brief summary see this magazine article in Futures), and I’m happy to say that the book was very helpful in approach and example. I especially enjoye...

I will be attending Ralph Vince's risk-opportunity analysis workshop in Houston this weekend. I'll be in town Friday-Monday. Drop me a note if you're in the area and would like to meet for coffee / drinks.

I will be attending Ralph Vince's risk-opportunity analysis workshop in Tampa this weekend. Drop me a note if you're in the area and would like to meet for coffee / drinks.

When optimizing leverage space portfolios, I frequently run into the issue of one or more f$ (/f) being less than the margin of its respective instrument. For example, assume the required margin for an instrument is $500, f$ is $100, an...

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...

I've received several requests for methods to create joint probability tables for use in LSPM's portfolio optimization functions. Rather than continue to email this example to individuals who ask, I post it here in hopes they find it via a Google...