This post will be directed towards those newer in investing, with an explanation of drawdowns–in my opinion, a simple and … Continue reading →

The first part of this post is a quick update on Tony Cooper’s of Double Digit Numerics’s volatility ETN momentum … Continue reading →

This post will be a modified backtest of the Adaptive Asset Allocation backtest from AllocateSmartly, using the Hierarchical Risk Parity … Continue reading →

This post will be about creating constant expiry (E.G. a rolling 30-day contract) using VIX settlement data from the CBOE … Continue reading →

This post will be detailing a process to create a VIX term structure from freely available CBOE VIX settlement data … Continue reading →

This post will be about pre-processing custom indicators in quantstrat–that is, how to add values to your market data that … Continue reading →

This post will introduce John Ehlers’s Autocorrelation Periodogram mechanism–a mechanism designed to dynamically find a lookback period. That is, the … Continue reading →

This post will be about attempting to use the Depmix package for online state prediction. While the depmix package performs … Continue reading →

This post will cover a function to simplify creating Harry Long type rebalancing strategies from SeekingAlpha for interested readers. As … Continue reading →

This post will demonstrate how to take into account turnover when dealing with returns-based data using PerformanceAnalytics and the Return.Portfolio … Continue reading →

This post will outline an easy-to-make mistake in writing vectorized backtests–namely in using a signal obtained at the end of … Continue reading →

This post will shed light on the values of R^2s behind two rather simplistic strategies — the simple 10 month … Continue reading →

Happy new year. This post will be a quick one covering the relationship between the simple moving average and time … Continue reading →

This post will outline a first failed attempt at applying the ensemble filter methodology to try and come up with … Continue reading →

This post will demonstrate a method to create an ensemble filter based on a trade-off between smoothness and responsiveness, two … Continue reading →

This post will deal with a quick, finger in the air way of seeing how well a strategy scales–namely, how … Continue reading →

This post deals with an impossible-to-implement statistical arbitrage strategy using VXX and XIV. The strategy is simple: if the average … Continue reading →

This post will demonstrate a stop-loss rule inspired by Andrew Lo’s paper “when do stop-loss rules stop losses”? Furthermore, it … Continue reading →