by Patrick Burns.
Abstract: Random portfolios can provide a statistical test that a trading strategy performs better than chance. Each run of the strategy is compared to a number of matching random runs that are known to have zero skill. Importantly, this type of backtest shows periods of time when the strategy works and when it doesn’t. Live portfolios can be monitored in this way as well. This allows informed decisions — such as changes in leverage — to be made in real-time.
jun 25, 26
The function in question is scriptSearch. I’m not much for superlatives — ”most” and ”best” imply one dimension, but we live in a multi-dimensional world. I’m making an exception. The [...]
jun 25, 26
I recently gave a talk at the R in Finance conference in which I introduced the marketAgent package for R. Here is the source for the package if you'd like [...]
jun 25, 26
Executive summary Surprisingly good. And it’s not like my expectations were especially low. Structure There are 20 chapters. I mostly like the chapters and their order. Hadley breaks the 20 chapters [...]