David Varadi has published two excellent posts / ideas about cooking with momentum: VIX-Adjusted Momentum Error-Adjusted Momentum I just could not resist the urge to share these ideas with you. Following is implementation using the Systematic Investor Toolbox. Please enjoy and share your ideas with David and myself. To view the ... [Read more...]

Today, I want to follow up with the Calendar Strategy: Option Expiry post. Let’s examine the importance of the FED meeting days as presented in the Fed Days And Intermediate-Term Highs post. Let’s dive in and examine historical perfromance of SPY during FED meeting days: Please note 100 day ... [Read more...]

Today, I want to follow up with the Calendar Strategy: Month End post. Let’s examine the perfromance Option Expiry days as presented in the The Mooost Wonderful Tiiiiiiime of the Yearrrrrrrrr! post. First, I created two convenience functions for creating a calendar signal and back-testing calendar strategy: calendar.signal ... [Read more...]

Calendar Strategy is a very simple strategy that buys an sells at the predetermined days, known in advance. Today I want to show how we can easily investigate performance at and around Month End days. First let’s load historical prices for SPY from Yahoo Fiance and compute SPY perfromance ... [Read more...]

I recently looked at the strategy that invests in the components of S&P/TSX 60 index, and discovered that there are some abnormal jumps/drops in historical data that I could not explain. To help me spot these points and remove them, I created a helper function data.clean() function ... [Read more...]

In the Capturing Intraday data post, I outlined steps to setup your own process to capture Intraday data. But what do you do if you missed some data points due for example internet being down or due to power outage your server was re-started. To fill up the gaps in ... [Read more...]

I want to follow up the Intraday data post with testing the Probabilistic Momentum strategy on Intraday data. I will use Intraday data for SPY and GLD from the Bonnot Gang to test the strategy. Next, let’s examine the hourly perfromance of the strategy. There are lots of abnormal ... [Read more...]

I want to follow up the Intraday data post with an example of how you can capture Intraday data without too much effort by recording 1 minute snapshots of the market. I will take market snapshots from Yahoo Finance using following function that downloads delayed market quotes with date and time ... [Read more...]

In the Intraday Backtest post I showed an example of loading and working with Forex Intraday data from the FXHISTORICALDATA.COM. Recently, I came across another interesting source of Intraday data at the Bonnot Gang site. Please note that you will have to register to get access to the Intraday ... [Read more...]

David Varadi has recently discussed an interesting strategy in the Are Simple Momentum Strategies Too Dumb? Introducing Probabilistic Momentum post. David also provided the Probabilistic Momentum Spreadsheet if you are interested in doing computations in Excel. Today I want to show how you can test such strategy using the Systematic ... [Read more...]

Mebane Faber posted another interesting blog post: Building a Simple Sector Rotation on Momentum and Trend that caught my interest. Today I want to show how you can test such strategy using the Systematic Investor Toolbox: Mebane thank you very much for sharing your great ideas. I would encourage readers ... [Read more...]

Today I want to share another interesting idea contributed by Pierre Chretien. Pierre suggested using Averaged Input Assumptions and Momentum to create reasonably quiet strategy. The averaging techniques are used to avoid over-fitting any particular frequency. To create Averaged Input Assumptions we combine returns over different look-back periods, giving more ... [Read more...]

Today I want to share the test and implementation for the Fast Threshold Clustering Algorithm (FTCA) created by David Varadi. This implementation was developed and contributed by Pierre Chretien, I only made minor updates. Let’s first replicate the results from the Fast Threshold Clustering Algorithm (FTCA) post: The clusters ... [Read more...]

The getSymbols function from the quantmod package is an easy and convenient way to bring historical stock prices into your R environment. You need to specify the list of tickers, the source of historical prices and dates. For example following commands will download historical stock prices from yahoo finance for ‘... [Read more...]

Once you start experimenting with many different asset allocation algorithms, the computation time of running the back-tests can be substantial. One simple way to solve the computation time problem is to run the back-tests in parallel. I.e. if the asset allocation algorithm does not use the prior period holdings ... [Read more...]

Today, I want to explain the commission’s functionality build in to Systematic Investor Toolbox(SIT) “share” back-test. At each re-balance time the capital is allocated given the weight such that For example, if weight is 100% (i.e. fully invested) and capital = $100 and price = $10 then The period return is equal ... [Read more...]

I recently came across a very interesting idea at the The Problem with Market Neutral (and an Answer) post by Mebane Faber. Today I want to show how you can test such strategy using the Systematic Investor Toolbox: Mebane thank you very much for sharing this great observation and great ... [Read more...]

I create supporting pages for two projects I have collaborated with David Varadi in 2013: Proportional Minimum Variance Algorithm Adaptive Shrinkage Method Please check the links to get more info, including supporting blog posts, back-tests, R code to reproduce the back-tests, and more to come in the near future. I and ... [Read more...]

It was over a year since my original post, Backtesting Asset Allocation portfolios. I have expanded the functionality of the Systematic Investor Toolbox both in terms of optimization functions and helper back-test functions during this period. Today, I want to update the Backtesting Asset Allocation portfolios post and showcase new ... [Read more...]

I recently came across the The 7Twelve Portfolio strategy. I like the catchy name and the strategy report, “An Introduction to 7Twelve.” Following is some additional info about the The 7Twelve Portfolio strategy that I found useful: On Israelsen’s 7Twelve Portfolio The 7/12 Allocation Today I want to show how ... [Read more...]