Comparing Flexible and Elastic Asset Allocation
So recently, I tried to combine Flexible and Elastic Asset Allocation. The operative word being–tried. Essentially, I saw Flexible Asset … Continue reading →
Articles by Ilya Kipnis
A New Harry Long Strategy and A Couple of New PerfA Functions
So, Harry Long came out with a new strategy on SeekingAlpha involving some usual mix of SPXL (3x leveraged SPY), … Continue reading →
An Introduction to Change Points (packages: ecp and BreakoutDetection)
A forewarning, this post is me going out on a limb, to say the least. In fact, it’s a post/project … Continue reading →
An Update On EAA and a Volatility Strategy
Again, before starting this post, I’d like to inform readers that the book Quantitative Trading With R, written by Harry … Continue reading →
Adding a Risk-Free Rate To Your Analyses
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...]
For A New Year, A New Asset Allocation System Just Published in SSRN
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...]
Why Backtesting On Individual Legs In A Spread Is A BAD Idea
So after reading the last post, the author of quantstrat had mostly critical feedback, mostly of the philosophy that prompted … Continue reading → [Read more...]
A Way To Model Execution On Individual Legs Of A Spread In Quantstrat
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...]
The ZOMMA Warthog Index
Harry Long posted another article on SeekingAlpha. As usual, it’s another “looks amazing at first glance, and winds up being … Continue reading →
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An Update to the Robustness Heuristic and a Variation of a Volatility Strategy
So, before revealing a slight wrinkle on the last strategy I wrote about, I’d like to clear up a bit … Continue reading →
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A New Volatility Strategy, And A Heuristic For Analyzing Robustness
This post is motivated by a discussion that arose when I tested a strategy by Frank of Trading The Odds … Continue reading →
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An Update on Flexible Asset Allocation
A few weeks back, after seeing my replication, one of the original authors of the Flexible Asset Allocation paper got … Continue reading →
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Trading The Odds Volatility Risk Premium: Addressing Data Mining and Curve-Fitting
Several readers, upon seeing the risk and return ratio along with other statistics in the previous post stated that the … Continue reading →
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Volatility Risk Premium: Sharpe 2+, Return to Drawdown 3+
First, before starting this post, I’d like to give one last comment about my previous post: I called Vanguard to … Continue reading →
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Predicting High Yield with SPY–a Two Part Post
This post will cover ideas from two individuals: David Varadi of CSS Analytics with whom I am currently collaborating on some … Continue reading →
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Seeking Volatility and Leverage
So Harry Long recently posted several articles, a couple of them all that have variations on a theme of a … Continue reading →
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It’s Amazing How Well Dumb Things [Get Marketed]
Recently, Harry Long posted not one but four new articles on Seeking Alpha called It’s Amazing How Well Dumb Things … Continue reading →
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Combining FAA and Stepwise Correlation
Since I debuted the stepwise correlation algorithm, I suppose the punchline that people want to see is: does it actually … Continue reading →
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A Walk-Forward Attempt on FAA
So in the first post about FAA, I was requested to make a walk-forward test of FAA. While the results … Continue reading →
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Introducing Stepwise Correlation Rank
So in the last post, I attempted to replicate the Flexible Asset Allocation paper. I’d like to offer a thanks … Continue reading →
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