Strategy

Modeling Couch Potato strategy

October 25, 2012 | systematicinvestor

I first read about the Couch Potato strategy in the MoneySense magazine. I liked this simple strategy because it was easy to understand and easy to manage. The Couch Potato strategy is similar to the Permanent Portfolio strategy that I have analyzed previously. The Couch Potato strategy invests money in ... [Read more...]

Permanent Portfolio – Simple Tools

October 4, 2012 | systematicinvestor

I have previously described and back-tested the Permanent Portfolio strategy based on the series of posts at the GestaltU blog. Today I want to show how we can improve the Permanent Portfolio strategy perfromance using following simple tools: Volatility targeting Risk allocation Tactical market filter First, let’s load the ... [Read more...]

Minimum Correlation Algorithm Example

September 23, 2012 | systematicinvestor

Today I want to follow up with the Minimum Correlation Algorithm Paper post and show how to incorporate the Minimum Correlation Algorithm into your portfolio construction work flow and also explain why I like the Minimum Correlation Algorithm. First, let’s load the ETF’s data set used in the ... [Read more...]

Permanent Portfolio

September 17, 2012 | systematicinvestor

First, just a quick update: I’m moving the release date of the SIT package a few months down the road, probably in November. Now back to the post. Recently I came across a series of interesting posts about the Permanent Portfolio at the GestaltU blog. Today I want to ... [Read more...]

Adaptive Asset Allocation – Sensitivity Analysis

August 20, 2012 | systematicinvestor

Today I want to continue with Adaptive Asset Allocation theme and examine how the strategy results are sensitive to look-back parameters used for momentum and volatility computations. I will follow the sample steps that were outlined by David Varadi on the robustness of parameters of the Adaptive Asset Allocation algorithm ... [Read more...]

Adaptive Asset Allocation

August 13, 2012 | systematicinvestor

Today I want to highlight a whitepaper about Adaptive Asset Allocation by Butler, Philbrick and Gordillo and the discussion by David Varadi on the robustness of parameters of the Adaptive Asset Allocation algorithm. In this post I will follow the steps of the Adaptive Asset Allocation paper, and in the ... [Read more...]

The New 60/40

August 6, 2012 | systematicinvestor

I want to share a brilliant idea and a great example from the You’re Looking at the Wrong Number post at the GestaltU blog. Today, I will focus on the section of this post that outlines simple steps to improve a typical 60/40 stock/bond portfolio by using risk allocation ... [Read more...]

1-Month Reversal Strategy

July 12, 2012 | systematicinvestor

Today I want to show a simple example of the 1-Month Reversal Strategy. Each month we will buy 20% of loosers and short sell 20% of winners from the S&P 500 index. The loosers and winners are measured by prior 1-Month returns. I will use this post to set the stage for ... [Read more...]

Cross Sectional Correlation

May 7, 2012 | systematicinvestor

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 ... [Read more...]

Intraday Backtest

April 22, 2012 | systematicinvestor

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 ... [Read more...]

Gini Efficient Frontier

March 23, 2012 | systematicinvestor

David Varadi have recently wrote two posts about Gini Coefficient: I Dream of Gini, and Mean-Gini Optimization. I want to show how to use Gini risk measure to construct efficient frontier and compare it with alternative risk measures I discussed previously. I will use Gini mean difference risk measure – the ... [Read more...]

Multiple Factor Model – Building 130/30 Index

March 5, 2012 | systematicinvestor

Nico brought to my attention the 130/30: The New Long-Only (2008) by A. Lo, P. Patel paper in his comment to the Multiple Factor Model – Building CSFB Factors post. This paper presents a very detailed step by step guide to building 130/30 Index using average CSFB Factors as the alpha model and MSCI ... [Read more...]

Multiple Factor Model – Building CSFB Factors

February 12, 2012 | systematicinvestor

This is the third post in the series about Multiple Factor Models. I will build on the code presented in the prior post, Multiple Factor Model – Building Fundamental Factors, and I will show how to build majority of factors described in the CSFB Alpha Factor Framework. For details of the ... [Read more...]
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