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david varadi | CSSA
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New concepts in quantitative research. Posts by david varadi. February 29, 2016. Book Review: Adaptive Asset Allocation. February 23, 2016. Volatility Futures and S&P500 Performance. September 4, 2015. Investors Should Tread Lightly. July 16, 2015. The Observation Model is the Best Defense. July 3, 2015. The Greek Domino Effect. June 25, 2015. Think MPT Doesn’t Work? Clearing Up Some Misconceptions. May 9, 2015. Real Momentum: A Longer-Term Backtest. Laquo; Older Entries. Follow Blog via Email.
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CSSA | new concepts in quantitative research | Page 2
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New concepts in quantitative research. Real Momentum: A Time-Series/Absolute Momentum Strategy Including Inflation Expectations. May 7, 2015. 8220; Time-Series Momentum. 8221; was introduced by Moskowitz and Pedersen of AQR circa 2011 and was popularized by Antonacci in 2013 as “ Absolute Momentum. Return of asset- risk free return- expected inflation. Or the simple moving average of the:. From → Uncategorized. April 27, 2015. James Picerno of The Capital Spectator. Recently did an interesting piece.
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Minimum Variance Algorithm Comparison Snapshot | CSSA
https://cssanalytics.wordpress.com/2013/04/19/minimum-variance-algorithm-comparison-snapshot
New concepts in quantitative research. Minimum Variance Algorithm Comparison Snapshot. April 19, 2013. The Minimum Variance Algorithm. Was compared to several standard optimization methods and algorithms in a recent set of tests done by Michael Kapler of Systematic Investor. Michael created a webpage for MVA. The following acronyms are defined below. Minimum Variance Algorithm (MVA) in Excel. Minimum Correlation Algorithm (MCA) in Excel. Minimum Correlation Algorithm (MCA)– Whitepaper/R Version. You are ...
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CSSA | CSSA
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New concepts in quantitative research. CSSA is a research firm dedicated to developing quantitative trading strategies and proprietary stock rankings. For general inquiries please contact Scott Walker at (201) 497-0048 or by email at scottwalker@cssanalytics.com . Leave one →. October 22, 2010 5:51 am. October 19, 2011 9:15 pm. I’m interested in obtaining the relative strength formula used by MSN ranking a stock 1-99, for example RS at 12 months (95), 6 months (88) and 3 months (75). May 23, 2012 2:26 am.
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Using a Self-Similarity Metric with Intraday Data to Define Market Regimes | CSSA
https://cssanalytics.wordpress.com/2015/03/13/using-a-self-similarity-metric-with-intraday-data-to-define-market-regimes
New concepts in quantitative research. Using a Self-Similarity Metric with Intraday Data to Define Market Regimes. March 13, 2015. The images above are the famous Sierpinski Triangle. And the Koch Snowflake. 1) find the high minus the low for each day going back 10 days. 2) take the sum of these values (sum of the pieces). 3) find the 10-day range by taking the 10-day maximum (including the highs) and subtracting out the 10-day minimum (whole range). From → Uncategorized. Leave one →. It should not come ...
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Real Momentum: A Time-Series/Absolute Momentum Strategy Including Inflation Expectations | CSSA
https://cssanalytics.wordpress.com/2015/05/07/real-momentum-a-time-seriesabsolute-momentum-strategy-including-inflation-expectations
New concepts in quantitative research. Real Momentum: A Time-Series/Absolute Momentum Strategy Including Inflation Expectations. May 7, 2015. 8220; Time-Series Momentum. 8221; was introduced by Moskowitz and Pedersen of AQR circa 2011 and was popularized by Antonacci in 2013 as “ Absolute Momentum. Return of asset- risk free return- expected inflation. Or the simple moving average of the:. From → Uncategorized. Real Momentum: A Longer-Term Backtest →. Leave one →. May 7, 2015 6:39 am. May 7, 2015 8:17 am.
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Real Momentum: A Longer-Term Backtest | CSSA
https://cssanalytics.wordpress.com/2015/05/09/real-momentum-a-longer-term-backtest
New concepts in quantitative research. Real Momentum: A Longer-Term Backtest. May 9, 2015. In the last pos. For comparison, here is absolute momentum using SPY and SHY with the same 120-day parameter:. From → Uncategorized. Larr; Real Momentum: A Time-Series/Absolute Momentum Strategy Including Inflation Expectations. Think MPT Doesn’t Work? Clearing Up Some Misconceptions →. Leave one →. May 9, 2015 7:56 am. Did you do a little data snooping before you naughty boy? May 9, 2015 11:54 am. To see if inflat...
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Part 2: Using a Self-Similarity Metric with Intraday Data to Define Market Regimes | CSSA
https://cssanalytics.wordpress.com/2015/04/17/part-2-using-a-self-similarity-metric-with-intraday-data-to-define-market-regimes
New concepts in quantitative research. Part 2: Using a Self-Similarity Metric with Intraday Data to Define Market Regimes. April 17, 2015. The Self-Similarity metric has been a popular series. Recently the original post. Was shared on Jeff Swanson’s popular site System Trader Success. Which also has a lot of very interesting articles and is worth following. Visualizing The Chaos Stability Indicator. It is useful to visualize DV’s new self-similarity regime method in a Tradestation chart. Here is the ...
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Part 1: Robust Parameter Optimization for Pair Trading | CSSA
https://cssanalytics.wordpress.com/2009/08/12/part-1-robust-parameter-optimization-for-pair-trading
New concepts in quantitative research. Part 1: Robust Parameter Optimization for Pair Trading. August 12, 2009. In this multi-part series I will introduce simple methods to create robust pair trading models using examples from Market Rewind’s fantastic pair trading optimization tool http:/ etfrewind.blogspot.com/. Varadi’s Pair Theory. Derived from the theory are some predictions:. More on this tonight………. From → Uncategorized. Larr; Preface: Optimizer’s Anonymous. Leave one →. August 13, 2009 4:41 am.