intelligenttradingtech.blogspot.com
Intelligent Trading: Is CTA trend following Dead?
http://intelligenttradingtech.blogspot.com/2013/03/is-cta-trend-following-dead.html
Sunday, March 10, 2013. Is CTA trend following Dead? This is just a very short comment related to discussions I've been having with a friend about trend following funds and a lot of the recent blogs and debates proclaiming the death of trend following. Fig 1 Barclay CTA Index. Posted by Intelligent Trading. Labels: Is CTA trend following Dead? Stefan Janse van Rensburg. March 11, 2013 at 1:34 AM. Im guessing these are raw returns? What does it look like compared to the general market? I've been trading f...
intelligenttradingtech.blogspot.com
Intelligent Trading: March 2013
http://intelligenttradingtech.blogspot.com/2013_03_01_archive.html
Sunday, March 10, 2013. Is CTA trend following Dead? This is just a very short comment related to discussions I've been having with a friend about trend following funds and a lot of the recent blogs and debates proclaiming the death of trend following. Fig 1 Barclay CTA Index. Posted by Intelligent Trading. Links to this post. Labels: Is CTA trend following Dead? Subscribe to: Posts (Atom). Is CTA trend following Dead? View my complete profile.
intelligenttradingtech.blogspot.com
Intelligent Trading: October 2012
http://intelligenttradingtech.blogspot.com/2012_10_01_archive.html
Friday, October 26, 2012. Book Review: R for Business Analytics, A Ohri. I've added a recently released book to my list of recommendations (at the amazon carousel to the right), as I've reviewed a copy provided to me via Springer Publishers. The book is R for Business Analytic. Posted by Intelligent Trading. Links to this post. Book Review: R for Business Analytics. Subscribe to: Posts (Atom). Book Review: R for Business Analytics, A Ohr. View my complete profile.
intelligenttradingtech.blogspot.com
Intelligent Trading: January 2013
http://intelligenttradingtech.blogspot.com/2013_01_01_archive.html
Friday, January 4, 2013. IBS reversion edge with QuantShare. Happy New Years to readers; my resolution this year is to continue delivering thoughts and ideas to others in the hopes that we all might be able to benefit somewhat from sharing observations. I'll start by describing an edge using QuantShare. As the back-testing engine. Fig 1 Optimized (overfit) SPY IBS Long run Performance. IBS = dfrac{Close - Low}{High -Low}$. What it describes is the relative position of the close with respect to the low to...
intelligenttradingtech.blogspot.com
Intelligent Trading: August 2011
http://intelligenttradingtech.blogspot.com/2011_08_01_archive.html
Thursday, August 4, 2011. Aug 4, 2011 "plunge" headlines are in the air tonight. Today's financial headlines are littered with the word 'plunge.' Considering today's (cl-cl) drop on the S&P500 was just about -5%, I don't know that I would exactly call that a plunge. Fig 1 Historical ts plot of S&P500 returns = -5%. The following R code produced a time series plot of historical occasions where this occurred. GetSymbols(" GSPC",from="1950-01-01",to="2012-01-01"). R05 -rtn[rtn = -.05]. Links to this post.
intelligenttradingtech.blogspot.com
Intelligent Trading: April 2015
http://intelligenttradingtech.blogspot.com/2015_04_01_archive.html
Friday, April 3, 2015. Review: Machine Learning An Algorithmic Perspective 2nd Edition. Fig 1 Machine Learning: An Algorithmic Perspective. 2nd Edition. Stephen Marsland. I just wanted to briefly share some initial impressions of the 2nd edition of Stephen Marsland's very hands on text, "Machine Learning, An Algorithmic Perspective. Particle Filtering (expanded coverage with working implementation in Python). Support Vector Machines. Now includes working implementation with cvxopt optimization wrapper.
intelligenttradingtech.blogspot.com
Intelligent Trading: January 2012
http://intelligenttradingtech.blogspot.com/2012_01_01_archive.html
Tuesday, January 31, 2012. MINE: Maximal Information-based NonParametric Exploration. There was a lot of buzz in the blogosphere as well as the science community about a new family of algorithms that are able to find non-linear relationships over extremely large fields of data. What makes it particularly useful is that the measure(s) it uses are based upon mutual information rather than standard pearson's correlation type measures, which do not capture non-linear relationships well. The MIC (Mutual Infor...
intelligenttradingtech.blogspot.com
Intelligent Trading: IBS reversion edge with QuantShare
http://intelligenttradingtech.blogspot.com/2013/01/ibs-reversion-edge-with-quantshare.html
Friday, January 4, 2013. IBS reversion edge with QuantShare. Happy New Years to readers; my resolution this year is to continue delivering thoughts and ideas to others in the hopes that we all might be able to benefit somewhat from sharing observations. I'll start by describing an edge using QuantShare. As the back-testing engine. Fig 1 Optimized (overfit) SPY IBS Long run Performance. IBS = dfrac{Close - Low}{High -Low}$. What it describes is the relative position of the close with respect to the low to...
intelligenttradingtech.blogspot.com
Intelligent Trading: March 2011
http://intelligenttradingtech.blogspot.com/2011_03_01_archive.html
Tuesday, March 8, 2011. Can one beat a Random Walk- IMPOSSIBLE (you say? Fig 1 Random Walk and the 75% rule. I've seen the same debate launched over and over on various chat boards, which concerns the impossibility of theoretically beating a random walk. In this case, I am giving you the code to determine the answer yourself. The requirements: 1) the generated data must be from an IID gaussian distribution 2) series must be coaxed to a stationary form. R Code is below. Gen rnd seq for 75% RULE. If(rw[i] ...
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