Blog Archives

Cointegration, Correlation, and Log Returns

November 6, 2017
By
Cointegration, Correlation, and Log Returns

Co-Author: Eric Kammers I recently created a Twitter account for the blog where I will curate and comment on content I find interesting related to finance, data science, and data visualization. Please follow me at @Quantoisseur (see the embedded stream on the sidebar). Enjoy the post! The differences between correlation and cointegration can often be … Continue reading Cointegration,...

Read more »

Cointegrated ETF Pairs Part II

January 19, 2017
By
Cointegrated ETF Pairs Part II

Update 5/17: As discussed in the comments, the reason the results are so exaggerated is because it is missing portfolio rebalancing to account for the changing hedge ratio. It would be interesting to try an adaptive hedge ratio that requires only weekly or monthly rebalancing to see how legitimately profitable this type of strategy could … Continue reading Cointegrated...

Read more »

Cointegrated ETF Pairs Part I

January 11, 2017
By
Cointegrated ETF Pairs Part I

The next two blog posts will explore the basics of the statistical arbitrage strategies outlined in Ernest Chan’s book, Algorithmic Trading: Winning Strategies and Their Rationale. In the first post we will construct mean reverting time series data from cointegrated ETF pairs. The two pairs we will analyze are EWA (Australia) – EWC (Canada) and IGE … Continue reading Cointegrated...

Read more »

MACD + SMI Trend Following and Parameter Optimization

October 16, 2016
By
MACD + SMI Trend Following and Parameter Optimization

Finally a somewhat profitable strategy to analyze! This post will walk through the development of my MACD + SMI strategy, including my experience with parameter optimization and trailing stops. This strategy began with an interest in the Moving Average Convergence/Divergence oscillator (MACD), which I hadn’t yet explored. Also, since the two previous strategies I analyzed … Continue reading MACD...

Read more »

Search R-bloggers

Sponsors

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)