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CSSA | new concepts in quantitative research | cssanalytics.wordpress.com Reviews
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new concepts in quantitative research
cssanalytics.wordpress.com
The Greek Domino Effect | CSSA
https://cssanalytics.wordpress.com/2015/07/03/the-greek-domino-effect
New concepts in quantitative research. The Greek Domino Effect. July 3, 2015. Check out our latest post on Greece and how to trade it here. We believe that a quantitative approach is the best way to trade macro events. Using discretionary calls becomes increasingly difficult as the complexity of the situation increases. A good post on the perils of discretionary macro investing by Barry Ritholz can be found here. From → Uncategorized. Larr; Think MPT Doesn’t Work? Clearing Up Some Misconceptions. The Gre...
Parsimony | CSSA
https://cssanalytics.wordpress.com/2015/04/27/parsimony
New concepts in quantitative research. April 27, 2015. James Picerno of The Capital Spectator. Recently did an interesting piece. Evaluating the Self-Similarity Metric. And provides some R code which is valuable for many of our readers. The difficulty is in telling the difference- which is not obvious even to a talented and experienced developer. The ability to distinguish between parsimony and excess complexity is virtually invisible to almost everyone else. That should be your goal- to achieve the maxi...
Minimum Correlation Algorithm Paper Release | CSSA
https://cssanalytics.wordpress.com/2012/09/21/minimum-correlation-algorithm-paper-release
New concepts in quantitative research. Minimum Correlation Algorithm Paper Release. September 21, 2012. This is a draft preview of the Minimum Correlation Algorithm( PDF. Paper We will be releasing an expanded version soon including new data and analysis as well as a review of the research. Furthermore, we have also planned an SSRN release on a related but larger topic. Please email mcp@cssanalytics.com. View this document on Scribd. From → Research. Larr; New Position. Leave one →. T: 44 (0)20 7233 3245.
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 ...
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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Trading Performance Analysis - QUSMA
http://qusma.com/2013/08/19/my-performance-analysis-tools
My Performance Analysis Tools. My Performance Analysis Tools. August 19, 2013. Middot; by admin. Middot; in QUSMA. These situations, and performance evaluation in general, are a crucial part of the research/trading/performance loop:. A lack of attention to performance, and the underlying factors that drive it, will have a deleterious effect both on your long-term trading results and the things that you will discover in the research stage. Which have a very simple and easy to handle XML structure. Statist...
admin, Author at QUSMA
http://qusma.com/author/admin
Trend Followers Make Forecasts Just Like Everyone Else. June 30, 2014. Middot; by admin. Middot; in QUSMA. This post was prompted by Michael Covel’s interview Traders’ Magazine in which he claims that trend followers don’t try to make predictions. This idea that trend followers do not forecast returns is widely and frequently repeated. It is also complete nonsense. Every…. Visualizing the Similarity Between Multiple Time Series. June 11, 2014. Middot; by admin. Middot; in QUSMA. June 6, 2014. May 23, 2014.
Announcing QPAS: Open Source Performance, Risk, and Execution Analytics - QUSMA
http://qusma.com/2014/06/06/announcing-qpas-open-source-performance-risk-execution-analytics
Announcing QPAS: Open Source Performance, Risk, and Execution Analytics. Announcing QPAS: Open Source Performance, Risk, and Execution Analytics. June 6, 2014. Middot; by admin. Middot; in QUSMA. So I wrote my own (I blogged about it here. I’m very happy to announce that the first version (0.1) of the QUSMA Performance Analytics Suite (QPAS) is now available. For an overview of its main performance analysis capabilities see the. Or the comments on this post. While the IB flex statements provide enough da...
systematicrelativestrength.com
401k Spotlight: Q&A with Pat Church • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
http://systematicrelativestrength.com/2014/04/08/401k-spotlight-qa-pat-church
The Official Blog of Dorsey Wright Money Management. 401k Spotlight: Q&A with Pat Church. Patrick Church, of Church Capital, was kind enough to share his insights into serving the 401k market with the following Q&A. Q (AH): Please give an overview of your background in the industry. Q (AH): How well do you think 401ks are doing in preparing people for retirement? Q (AH): Describe the reasons that you chose to focus on serving the 401k market. To learn more about Church Capital, please click here. Nothing...
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...
beyondtheblueeventhorizon.blogspot.com
Beyond the Blue Event Horizon: September 2011
http://beyondtheblueeventhorizon.blogspot.com/2011_09_01_archive.html
Beyond the Blue Event Horizon. Until recently I was chief operating officer at The Bornhoft Group. Having gained operations experience with a multiple-CTA manager, I now want to contribute both my strategic and implementation skills to drive growth for systematic trading funds. View my complete profile. Keep Up to Date. Or enter email directly . All-In on a New Account. All-In on a New Account. Wednesday, September 28, 2011. 160;I thought I would share my modest contribution here. 160;Perhaps a future lo...
beyondtheblueeventhorizon.blogspot.com
Beyond the Blue Event Horizon: tradersplace
http://beyondtheblueeventhorizon.blogspot.com/2013/05/tradersplace.html
Beyond the Blue Event Horizon. Until recently I was chief operating officer at The Bornhoft Group. Having gained operations experience with a multiple-CTA manager, I now want to contribute both my strategic and implementation skills to drive growth for systematic trading funds. View my complete profile. Keep Up to Date. Or enter email directly . Saturday, May 25, 2013. A good friend of mine, Anthony Garner and an associate of his, Andreas Clenow, have set up a great traders' community at tradersplace.
beyondtheblueeventhorizon.blogspot.com
Beyond the Blue Event Horizon: October 2010
http://beyondtheblueeventhorizon.blogspot.com/2010_10_01_archive.html
Beyond the Blue Event Horizon. Until recently I was chief operating officer at The Bornhoft Group. Having gained operations experience with a multiple-CTA manager, I now want to contribute both my strategic and implementation skills to drive growth for systematic trading funds. View my complete profile. Keep Up to Date. Or enter email directly . Monday, October 18, 2010. Read more - - -. Links to this post. Subscribe to: Posts (Atom).
Gaps Explained | DAX Gap Trading
https://daxgaptrading.wordpress.com/gaps-explained
Day Trade the opening GAP with the German DAX. The outline below provides a discussion on how gaps are defined on this site and the opportunities in trading gaps. A Gap is the difference between the DAX futures closing price of the previous session and todays DAX futures opening price. The DAX futures trades from 8:00 to 22:00 each day but all analysis on this site is done on a 9:00 to 17:30 CET basis. Which is when the DAX index trades. Not great but there does appear to be a small edge. Trade Account W...
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CSSamurai | So many mind, no mind!
So many mind, no mind! Más información sobre las cookies. El legado del 15M. Se cumplen cinco años del ya mítico 15M. Comenzó siendo un día como cualquiera otro, para pasar a ser un de los días que han marcado la historia de este país. No debe ser hoy un día de celebraciones o de efemérides, sino un. Día de reivindicación y de lucha. Casi nada de lo que allí se demandaba se ha alcanzado aún. No entendieron que aquello significaba una auténtica revolución pacífica que dió la vuelta al mundo, y que en buen...
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Ω using quantitative research to beat the market. A Unique Approach to Investment Research. Licensing of established strategies, and the creation of new and customized strategy development. Provision of proprietary analytics, and the ability to build unique analytics covering a wide range of variables. Development of scoring and ranking models for stocks, futures, and ETFs for different time frames.
CSSA | new concepts in quantitative research
New concepts in quantitative research. Adaptive Volatility: A Robustness Test Using Global Risk Parity. November 29, 2017. From Alpha Architect. In the latter case, by shortening the volatility lookback when the market seems to be forming a bubble in either direction (as measured by trend measures such as the Hurst Exponent or R-squared) we can more rapidly adjust volatility to changes in the market conditions. From → Uncategorized. November 15, 2017. How do we choose this predictor variable? This formul...
CSS Analyzer - Optimize Your CSS Code
Analyze CSS code to get more optimized! Tool to get more optimized CSS code and ready for use on Mobile Web. Please enter your CSS code or your CSS code URL into textbox below and than press "Analyze CSS! Button. For more options to optimize your CSS code, select More Options. Your code should be well-formed. This is no validator which points out errors in your CSS code. To make sure that your code is valid, use the W3C Validator. Or CSS Code URL:. For more optimized result. Do not change anything.
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CS Sanatatea Cluj - Servicii Publice
Infiintata in anul 1986 din intitiativa unor oameni devotati fenomenului fotbalistic la nivelul municipiului Cluj-Napoca, avand dorinta de a dezvolta miscarea sportiva in randul tinerilor, a evoluat in campionatul diviziei D a judetului Cluj pana in anul 2005 cand prin eforturi a reusit performanta deosebita de a promova in campionatul national divizia C, actuala LIGA III - Seria 5. In speranta, ca in timp, clubul. CS SANATATEA SERVICII PUBLICE Cluj-Napoca. ANUNT IMPORTANT PENTRU PRESA! 25 August 2017 - ...
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