LSPM

Another Use of LSPM in Tactical Portfolio Allocation

April 29, 2011 | 0 Comments

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 | 0 Comments

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 | 0 Comments

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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Risk-Opportunity Analysis: Houston

March 17, 2011 | 0 Comments

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.
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Risk-Opportunity Analysis

November 12, 2010 | 0 Comments

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.
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Margin Constraints with LSPM

August 1, 2010 | 0 Comments

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 | 1 Comment

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 | 0 Comments

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 | 0 Comments

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 | 0 Comments

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 | 0 Comments

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 | 0 Comments

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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