quantstrattrader.wordpress.com
An Introduction to Portfolio Component Conditional Value At Risk | QuantStrat TradeR
https://quantstrattrader.wordpress.com/2016/07/12/an-introoduction-to-portfolio-component-value-at-risk
Trading, QuantStrat, R, and more. An Introduction to Portfolio Component Conditional Value At Risk. July 12, 2016. Posted in Asset Allocation. For those interested in an in-depth analysis of the intuition of component conditional value at risk, I refer them to the paper written by Brian Peterson, Peter Carl, and Kris Boudt. First, a demonstration of how the mechanism works using the edhec data set. There is no strategy here, just a demonstration of syntax. For a future backtest, I would like to make some...
quantstrattrader.wordpress.com
Are R^2s Useful In Finance? Hypothesis-Driven Development In Reverse | QuantStrat TradeR
https://quantstrattrader.wordpress.com/2016/04/18/are-r2s-useful-in-finance-hypothesis-driven-development-in-reverse
Trading, QuantStrat, R, and more. Are R 2s Useful In Finance? Hypothesis-Driven Development In Reverse. April 18, 2016. Posted in Asset Allocation. This post will shed light on the values of R 2s behind two rather simplistic strategies — the simple 10 month SMA, and its relative, the 10 month momentum (which is simply a difference of SMAs, as Alpha Architect. Showed in their book DIY Financial Advisor. Here’s the code to do that:. And here are the results:. SMA10 MOM10 BuyHold Annualized Return 0.097...
generationwired.wordpress.com
December 2015 – Gen|Wired🌐
https://generationwired.wordpress.com/2015/12
Thoughts on: Marketing📈 Emerging Media🔋 Hyper-Connectivity🚀. Omnipresence Will Define 2016 For Major Brands. December 15, 2015. December 15, 2015. In the coming year brands will continue to pursue that strategy. 2015 saw new channels appear everywhere. Washing machines and other appliances have become retail channels via Amazon’s Dash Buttons. A similar innovative approach was unveiled by Antwerp’s Hotel Banks as the Mini Fashion Bar: an initiative created in partnership with fashion brand Pimkie.
throwinggoodmoney.com
October 2016 – Throwing Good Money After Bad
http://throwinggoodmoney.com/2016/10
Throwing Good Money After Bad. Stocks, ETFs, Options and the Money I Throw At Them. The /-30% per quarter diffusion indicator value. As of the close of 03/08/17:. The Indicator Has Turned Red. 8220;Matt’s Breadth Indicator” has turned yellow…. Two Swing Trade Systems (Part 2). Two Swing Trade Systems (Part 1). 8220;These Aren’t The Gains You’re Looking For” (Leveraged ETFs). On Machine Learning and Mechanical Trading with Genotick. On Sh* Happens (on Tuesday and Thursday Nights). What does it all mean?
throwinggoodmoney.com
June 2016 – Throwing Good Money After Bad
http://throwinggoodmoney.com/2016/06
Throwing Good Money After Bad. Stocks, ETFs, Options and the Money I Throw At Them. The /-30% per quarter diffusion indicator value. As of the close of 03/08/17:. The Indicator Has Turned Red. 8220;Matt’s Breadth Indicator” has turned yellow…. Two Swing Trade Systems (Part 2). Two Swing Trade Systems (Part 1). 8220;These Aren’t The Gains You’re Looking For” (Leveraged ETFs). On Machine Learning and Mechanical Trading with Genotick. On Sh* Happens (on Tuesday and Thursday Nights). June 23, 2016.
throwinggoodmoney.com
Matt’s Breadth Indicator has turned green. – Throwing Good Money After Bad
http://throwinggoodmoney.com/2016/11/matts-breadth-indicator-has-turned-green
Throwing Good Money After Bad. Stocks, ETFs, Options and the Money I Throw At Them. The /-30% per quarter diffusion indicator value. As of the close of 03/08/17:. The Indicator Has Turned Red. 8220;Matt’s Breadth Indicator” has turned yellow…. Two Swing Trade Systems (Part 2). Two Swing Trade Systems (Part 1). 8220;These Aren’t The Gains You’re Looking For” (Leveraged ETFs). On Machine Learning and Mechanical Trading with Genotick. On Sh* Happens (on Tuesday and Thursday Nights). November 25, 2016.
quantstrattrader.wordpress.com
Disclaimer | QuantStrat TradeR
https://quantstrattrader.wordpress.com/disclaimer
Trading, QuantStrat, R, and more. None of the ideas posted on this blog are investment advice. Use at your own risk/discretion. Leave a Reply Cancel reply. Enter your comment here. Fill in your details below or click an icon to log in:. Address never made public). You are commenting using your WordPress.com account. ( Log Out. You are commenting using your Twitter account. ( Log Out. You are commenting using your Facebook account. ( Log Out. You are commenting using your Google account. ( Log Out.
quantstrattrader.wordpress.com
The Problem With Depmix For Online Regime Prediction | QuantStrat TradeR
https://quantstrattrader.wordpress.com/2016/10/05/the-problem-with-depmix-with-online-prediction
Trading, QuantStrat, R, and more. The Problem With Depmix For Online Regime Prediction. October 5, 2016. This post will be about attempting to use the Depmix package for online state prediction. While the depmix package performs admirably when it comes to describing the states of the past, when used for one-step-ahead prediction, under the assumption that tomorrow’s state will be identical to today’s, the hidden markov model process found within the package does not perform to expectations. First, let...
