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QuantStrat TradeR | Trading, QuantStrat, R, and more. | quantstrattrader.wordpress.com Reviews
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Ilya Kipnis | QuantStrat TradeR
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Trading, QuantStrat, R, and more. Author Archives: Ilya Kipnis. Ehlers’s Autocorrelation Periodogram. February 15, 2017. Posted in Dr. John Ehlers. This post will introduce John Ehlers’s Autocorrelation Periodogram mechanism–a mechanism designed to dynamically find a lookback period. That is, the most common parameter optimized in backtests is the lookback period. Before beginning this post, I must give credit where it’s due, to one Mr. Fabrizio Maccallini. SMA of 50 days? One thing I do notice is that t...
QuantStrat TradeR | Trading, QuantStrat, R, and more. | Page 2
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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...
How To Compute Turnover With Return.Portfolio in R | QuantStrat TradeR
https://quantstrattrader.wordpress.com/2016/05/11/how-to-compute-turnover-with-return-portfolio-in-r
Trading, QuantStrat, R, and more. How To Compute Turnover With Return.Portfolio in R. May 11, 2016. Posted in Asset Allocation. This post will demonstrate how to take into account turnover when dealing with returns-based data using PerformanceAnalytics and the Return.Portfolio function in R. It will demonstrate this on a basic strategy on the nine sector SPDRs. Here’s the basic setup code:. Now, here’s how to compute turnover:. Out - Return.portfolio(R = returns, weights = monthlyWeights, verbose = T...
A Return.Portfolio Wrapper to Automate Harry Long Seeking Alpha Backtests | QuantStrat TradeR
https://quantstrattrader.wordpress.com/2016/06/17/a-return-portfolio-wrapper-to-automate-harry-long-seeking-alpha-backtests
Trading, QuantStrat, R, and more. A Return.Portfolio Wrapper to Automate Harry Long Seeking Alpha Backtests. June 17, 2016. This post will cover a function to simplify creating Harry Long type rebalancing strategies from SeekingAlpha for interested readers. As Harry Long has stated, most, if not all of his strategies are more for demonstrative purposes rather than actual recommended investments. Here’s the tool. Here’s an example of simply getting the statistics, with an 80% XLP/SPLV (they’re...Portfolio...
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...
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My Big Fat Greek Vacation
http://jonathankinlay.com/index.php/2015/08/big-fat-greek-vacation-www-jonathankinlay-com
QUANTITATIVE RESEARCH AND TRADING. Just type and press 'enter'. My Big Fat Greek Vacation. August 3, 2015. LEARNING TO TRUST A TRADING SYSTEM. One of the most difficult decisions to make when running a systematic trading program is. So when the Greek crisis blew up in June my first instinct was not to start looking. After the worst of the crisis was behind us, I was relieved to see that the models appeared almost as anxious as I was to make up for lost time. One of the features of the system is. In the c...
Why do Investors Invest in Venture Capital Funds?
http://jonathankinlay.com/index.php/2015/07/investors-invest-venture-capital-funds
QUANTITATIVE RESEARCH AND TRADING. Just type and press 'enter'. Why do Investors Invest in Venture Capital Funds? July 10, 2015. Too Cool for School? Startups and Venture Capital are red hot right now. And very cool. If that isn’t a contradiction. Perusing the Business Insider list of The 38 coolest startups in Silicon Valley. One is struck by the sheer ingenuity of some ideas. And the total stupidity of others. Successful product innovation is tough. For example, the business model for one of these firm...
Jonathan, Author at QUANTITATIVE RESEARCH AND TRADING
http://jonathankinlay.com/index.php/author/jkinlay2009
QUANTITATIVE RESEARCH AND TRADING. Just type and press 'enter'. Articles Posted by Jonathan. August 22, 2016. Precious metals have been in free-fall for several years, as a consequence of the Fed’s actions to stimulate the economy that have also had the effect of goosing the equity and fixed income markets. All that changed towards the end of 2015, as the Fed moved to a tightening posture. So far, 2016 has been a…. August 15, 2016. Machine Learning Trading Systems. August 8, 2016. The Swan of Deadwood.
VIX Archives - QUANTITATIVE RESEARCH AND TRADING
http://jonathankinlay.com/index.php/tag/vix
QUANTITATIVE RESEARCH AND TRADING. Just type and press 'enter'. My Big Fat Greek Vacation. August 3, 2015. LEARNING TO TRUST A TRADING SYSTEM One of the most difficult decisions to make when running a systematic trading program is knowing when to override the system. During the early 2000’s when I was running the Caissa Capital fund, the models would regularly make predictions on volatility that I and our head Trader, Ron Henley,…. The Case for Volatility as an Asset Class. June 1, 2015. October 8, 2014.
An Empirical Mean Reversion Test on VIX Futures | Alphaism
https://alphaism.wordpress.com/2015/09/09/an-empirical-mean-reversion-test-on-vix-futures
An Empirical Mean Reversion Test on VIX Futures. VIX mean reversion trade gets popular when the market experiences big ups and downs. You hear a lot of talks about how much money people make from trading VXX, XIV and their leveraged equivalents. However, is VIX truly mean reverting, or it seems more lucrative than it is just because people only like to talk about it when they make money and keep quiet when they lose? In this post I use daily returns of S&P 500 VIX Short-Term Futures Index. It’s har...
System Development – The Financial Hacker
http://www.financial-hacker.com/category/system-development
A new view on algorithmic trading. Algorithmic Options Trading, Part 1. Despite the many interesting features of options, private traders rarely take advantage of them (of course I’m talking here of serious options, not binary options. Maybe options are unpopular due to their reputation of being complex. Or due to their lack of support. By most trading software tools. Or due to the price tags. January 26, 2017. February 22, 2017. 15 Comments on Algorithmic Options Trading, Part 1. Series. In part 3.
Investment Idiocy: Systems building - execution
http://qoppac.blogspot.com/2015/07/systems-building-execution.html
Systematic Trading, Finance, Investing, Financial Activism, Economic decision making, Cheese. I'm joking about the cheese). Tuesday, 21 July 2015. Systems building - execution. People often get systematic. Trading mixed up. The latter is a subset of the first. You can't have a system which is fully automated if it relies on discretionary input, no matter how small. But you can have a system which needs a human to make it run, even though there is no discretion, and its fully systematic. As I've discussed...
Re-balancing: Is it worth the time and effort? | Alvarez Quant Trading
http://alvarezquanttrading.com/2015/04/15/re-balancing-is-it-worth-the-time-and-effort
April 15, 2015. Re-balancing: Is it worth the time and effort? David Weilmuenster is today’s guest author. David and I worked together at Connors Research for eight years and is one great researcher and AmiBroker programmer. Let’s look at a couple of straightforward examples to illustrate some of the dynamics of re-balancing. What if, instead, we trade the 2X Leveraged ETFs, SSO and UBT, that are based on the same underlying indices as SPY and TLT? Their statistics for the same time period[iii] are:.
TrendXplorer: Value Investing By Proxy
http://indexswingtrader.blogspot.com/2014/07/value-investing-by-proxy.html
Value Investing By Proxy. By many Benjamin Graham is considered to be the father of " value investing. And with his book "The Intelligent Investor", Mr. Graham brought value investing to the individual investor. Mr Graham advised the investor to always hold bonds in his investment portfolio:. Combining Mr. Graham's recommendation with the concept of paired switching previously discussed. Leads to the following long only application:. The rebalancing frequency may be set for example to quarterly or monthly.
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QuantStrat, Inc. | Welcome
J Scott Lewis, President of QUANTSTRAT, INC., has been consulting exclusively in the San Joaquin Basin, CA for nearly 25 years. QuantStrat's regional geological studies and database projects represent the most accurate and up-to-date data available. 5817 South Jericho Way.
QuantStrat
Quantitative Strategies and its Principal, Dr Frank Ashe, seek to fill a sparsely populated niche in the business world - lucid and pragmatic advice on a wide variety of financial risk and investment areas, delivered by experienced people with very strong quantitative backgrounds. But a quantitative foundation by itself is not sufficient; most problems in business arise from operational risk, and so an understanding of human psychology, philosophy, and history is also essential.
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Web Application Penetration Testing. How to install mcrypt php extension on CentOS 6. Today a developer friend requested to trouble php mcrypt extension on his newly ordered VPS. Most of the time VPS by default comes up with very basic packages. For example, to build and add mcrypt php extension to existing php installation. You would required gcc, make, libtool, libmcrypt, libmcrypt-devel and may other packages. Mcrypt php extension necessary configuration and compilation :. View current php version.
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QuantStrat TradeR | Trading, QuantStrat, R, and more.
Trading, QuantStrat, R, and more. A Review of Alpha Architect’s (Wes Gray/Jack Vogel) Quantitative Momentum book. October 13, 2016. So, let’s start with a summary of the book:. Generally, I feel like there’s work to be done if this is the best that can be done, but okay, I’ll accept it. Next, part two is where, in my opinion, the real meat and potatoes of the book–the “how”. Essentially, the algorithm can be boiled down into the following:. All in all, it’s a fairly simple to understand strategy...
quantstream.com
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The way we work. The way we work. Small streams that fuel quantum growth. A definition to start. A stream is a very simple application aimed at automating a targeted marketing action when connected with the relevant dataset. Our goal is to develop, maintain and operate a multitude of streams for your company, thus bringing Quantum growth. We built Quantstreams because we believe. That consumer data is the new fuel for sustainable business growth. Cross-sell brands portfolio to existing customer. Making t...
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quantstreams.org
Ce nom de domaine n'est pas disponible. Il a été enregistré via gandi.net. More information about the owner. Enregistrer votre nom de domaine. Chez Gandi, vous avez le choix sur plus d'une centaine d'extensions et vous bénéficiez de tous les services inclus (mail, redirection, ssl.). Rechercher un nom de domaine. Votre site dans le cloud? Découvrez Simple Hosting, notre cloud en mode PaaS à partir de 4 HT par mois (-50% la première année pour les clients domaine). It is currently being parked by the owner.
QuantStreet | Life as a Quant
Life as a Quant. What is a quant? The term “quant” is typically short for quantitative analyst and is often used to describe a variety of positions. Different people have varying definitions but in my opinion, anybody working a role in finance that requires some amount of quantitative techniques can be considered a quant. Why do people want to become a quant? December 3, 2014. MFE Career – Prop Trader. Banks are being increasingly regulated. The Volcker Rule, for example, was put in place to prevent ...
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