580 search results for "trading"

Jackknifing portfolio decision returns

May 28, 2012
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Jackknifing portfolio decision returns

A look at return variability for portfolio changes. The problem Suppose we make some change to our portfolio.  At a later date we can see if that change was good or bad for the portfolio return.  Say, for instance, that it helped by 16 basis points.  How do we properly account for variability in that … Continue reading...

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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 3

May 10, 2012
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 3

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...

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Cross Sectional Correlation

May 7, 2012
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Cross Sectional Correlation

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

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Volatility Position Sizing to improve Risk Adjusted Performance

April 30, 2012
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Volatility Position Sizing to improve Risk Adjusted Performance

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

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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

April 30, 2012
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

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...

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Cross-sectional skewness and kurtosis: stocks and portfolios

April 30, 2012
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Cross-sectional skewness and kurtosis: stocks and portfolios

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...

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Intraday Backtest

April 22, 2012
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Intraday Backtest

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

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Most profitable hedge fund style

April 21, 2012
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Most profitable hedge fund style

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 →

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Simple Moving Average Strategy with a Volatility Filter

April 18, 2012
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Simple Moving Average Strategy with a Volatility Filter

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...

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Registration for R/Finance 2012 is Open

April 15, 2012
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Registration for R/Finance 2012 is Open

Registration has been open for a while, but I wanted to point out the pre-conference seminars. Registrations are strong this year, so if you’re interested you’ll need to sign up before they sell out. Register here… As you probably know by now, the fourth annual R/Finance conference for applied finance using R will be held

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