Another Use of LSPM in Tactical Portfolio Allocation

April 29, 2011 | klr

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...
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Bond Market as a Casino Game Part 2

April 6, 2011 | klr

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 ...
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The Leverage Space Trading Model

March 29, 2011 | klr

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...
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Margin Constraints with LSPM

August 1, 2010 | Joshua Ulrich

When optimizing leverage space portfolios, I frequently run into the issue of one or more f$ ([Max Loss]/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...
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Estimating Probability of Drawdown

June 19, 2010 | Joshua Ulrich

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...
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LSPM Joint Probability Tables

May 18, 2010 | Joshua Ulrich

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...
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Thoughts on LSPM from R/Finance 2010

April 18, 2010 | Joshua Ulrich

I just got back from R/Finance 2010 in Chicago. If you couldn't make it this year, I strongly encourage you to attend next year. I will post a more comprehensive review of the event in the next couple days, but I wanted to share some of my notes spec...
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Maximum Probability of Profit

April 9, 2010 | Joshua Ulrich

To continue with the LSPM examples, this post shows how to optimize a Leverage Space Portfolio for the maximum probability of profit. The data and example are again taken from The Leverage Space Trading Model by Ralph Vince. These optimizaitons take ...
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LSPM with snow

January 10, 2010 | Joshua Ulrich

My last post provided examples of how to use the LSPM package. Those who experimented with the code have probably found that constrained optimizations with horizons __ 6 have long run-times (when calc.max __= horizon).This post will illustrate how the s...
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LSPM Examples

January 2, 2010 | Joshua Ulrich

I have received several requests for additional LSPM documentation over the past couple days and a couple months ago I promised an introduction to LSPM. In this long-overdue post, I will show how to optimize a Leverage Space Portfolio with the LSPM pa... [Read more...]

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