Let the Lagging Lead

November 18, 2011 | klr

THIS IS NOT INVESTMENT ADVICE AND WILL PROBABLY WIPE OUT ALL YOUR MONEY IF PURSUED.  While exploring utilities, I discovered a strange phenomenon that I have not quite thoroughly understood, but I attribute to the business cycle.  If I dust o...
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Evolving Domestic Frontier

November 1, 2011 | klr

When we learn the efficient frontier, most are misled to believe that the frontier is static and unchanging.  However, we should have all learned by recent experience that the frontier is as volatile as the assets that construct it.  If we lo...
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Backtesting Part 4: random strategies

October 21, 2011 | Zach Mayer

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In part 2, we found that our 200-day high, hold 100 days strategy yielded average annual return... [Read more...]

Efficient Frontier of Buy-Hold and Tactical System

October 6, 2011 | klr

In my mind, there are two very disparate views in the money management space: Markowitz style diversification and Faber style tactical allocation. I thought it would be fun to see what happens when we try to blend the two with an efficient frontier bet...
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Backtesting a Simple Stock Trading Strategy

September 13, 2011 | Zach Mayer

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   I recently read a post on ETF Prophet that explored an interesting stock trading strategy in Ex... [Read more...]

Mode vs Mean in Tactical Allocation

August 25, 2011 | klr

Let’s take Modest Modeest for Moving Average one step further and use it in a basic tactical allocation system using Vanguard funds.  THIS IS NOT INVESTMENT ADVICE AND VERY EASILY MIGHT CAUSE LARGE LOSSES.  VANGUARD FUNDS IMPOSE EARLY REDEM...
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Modest Modeest for Moving Average

August 24, 2011 | klr

I have no idea who originated the idea of using moving averages to determine entry and exit points in a trading system.  I do know that Mebane Faber (briefly discussed in Shorting Mebane Faber) has recently popularized the notion through his __7...
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Drawdown Visualization

August 22, 2011 | klr

Drawdown is my favorite measure of risk.  It picks up extended autocorrelated pain often not seen in risk measures, and best illustrates frustration, panic, and loss of confidence (Drawdown Control Can Also Determine Ending Wealth).  I though...
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ttrTests Experimentation

August 16, 2011 | klr

I was intrigued by the CRAN update on a package ttrTests, especially since quantstrat is not built for backtesting system parameters and analyzing system performance as I mentioned in A Quantstrat to Build On Part 6.  ttrTests offers a nice start ...
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lm System on Nikkei with New Chart

August 15, 2011 | klr

I got a great idea from the zoo-overplot demo to make a very helpful visualization of system entry and exit.  Since the lm-based system presented in Unrequited lm Love is newest, I will use this system, but apply to the Nikkei 225 instead of the R...
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Unrequited lm Love

August 14, 2011 | klr

In System Failure-Maybe it Will Help I presented the initial trials of a linear model system for stocks, and even though they were not a resounding success, I have been strangely determined to discover a working version of this framework.  Maybe t...
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System Failure-Maybe it Will Help

August 11, 2011 | klr

I hope everyone is enjoying the market.  After a crazy week personally and 6% intraday swings, I remember why I abandoned day trading. I often wonder if I should share ideas that do not work as well as I would like.  In this case, I know I ha...
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Dividend Quartiles with Kenneth French Data

August 1, 2011 | klr

Based on my perception of the last 3 years, I would have expected high dividend stocks to have substantially underperformed low and zero dividend stocks.  Fortunately, just like with size and momentum in Beating Kenneth French Small – High, we c...
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Crazy RUT

July 24, 2011 | klr

I have noticed that the Russell 2000 (RUT) acts very differently from most of the other indexes that I have studied.  If we apply the system shown in Shorting Mebane Faber to RUT and then extend it with a simple slope, we notice something very dif...
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Shorting Mebane Faber

July 19, 2011 | klr

Although I do not personally know Mebane Faber, I know enough that I do not want to short him. However, I thought it would be insightful to see how the short side of his “A Quantitative Approach To Tactical Asset Allocation” might look.  Once ...
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Drawdown Control Can Also Determine Ending Wealth

July 11, 2011 | klr

As an extension to yesterday’s post Just Arriving is Not Enough, I wanted to show how minimizing drawdown is a much better technique to help control comfort and potentially increase ending wealth.  CHTTX was one of the best performers of the fou...
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