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
I’d like to do a song of great social and political import. The code that created the illustrations in Tao Te Programming is now available as the TaoTeProgramming package on [...]
jun 25, 26
Another of the all ye entering here. Issue When subscripting an xts object, columns that don’t exist in the object are silently ignored. Example First, create an xts object: xtx [...]
jun 25, 26
Posts by page views Interview with a forced convert to R from Matlab A first step towards R from spreadsheets Plot ranges of data in R A statistical review of [...]