Articles by cfsmith

Cointegration, Correlation, and Log Returns

November 6, 2017 | 0 Comments

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 ...
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Cointegrated ETF Pairs Part II

January 19, 2017 | 0 Comments

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 ...
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Cointegrated ETF Pairs Part I

January 11, 2017 | 0 Comments

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 ...
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MACD + SMI Trend Following and Parameter Optimization

October 16, 2016 | 0 Comments

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 ...
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