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First off, before beginning this post, I’d like to make my readers aware of the release of a book that … Continue reading → [Read more...]

Happy New Year! So, this is something I’ve been working on before its official publication (so this is the first … Continue reading → [Read more...]

So after reading the last post, the author of quantstrat had mostly critical feedback, mostly of the philosophy that prompted … Continue reading → [Read more...]

In this post, I’ll attempt to address a question I’ve seen tossed around time and again regarding quantstrat. “How do … Continue reading → [Read more...]

Harry Long posted another article on SeekingAlpha. As usual, it’s another “looks amazing at first glance, and winds up being … Continue reading → [Read more...]

So, before revealing a slight wrinkle on the last strategy I wrote about, I’d like to clear up a bit … Continue reading → [Read more...]

This post is motivated by a discussion that arose when I tested a strategy by Frank of Trading The Odds … Continue reading → [Read more...]

A few weeks back, after seeing my replication, one of the original authors of the Flexible Asset Allocation paper got … Continue reading → [Read more...]

Several readers, upon seeing the risk and return ratio along with other statistics in the previous post stated that the … Continue reading → [Read more...]

First, before starting this post, I’d like to give one last comment about my previous post: I called Vanguard to … Continue reading → [Read more...]

This post will cover ideas from two individuals: David Varadi of CSS Analytics with whom I am currently collaborating on some … Continue reading → [Read more...]

So Harry Long recently posted several articles, a couple of them all that have variations on a theme of a … Continue reading → [Read more...]

Recently, Harry Long posted not one but four new articles on Seeking Alpha called It’s Amazing How Well Dumb Things … Continue reading → [Read more...]

Since I debuted the stepwise correlation algorithm, I suppose the punchline that people want to see is: does it actually … Continue reading → [Read more...]

So in the first post about FAA, I was requested to make a walk-forward test of FAA. While the results … Continue reading → [Read more...]

So in the last post, I attempted to replicate the Flexible Asset Allocation paper. I’d like to offer a thanks … Continue reading → [Read more...]

Since the people at Alpha Architect were so kind as to feature my blog in a post, I figured I’d … Continue reading → [Read more...]

The last post demonstrated that far from being a world-beating, absolutely amazing strategy, that Harry Long’s Structural “Arbitrage”, was in … Continue reading → [Read more...]