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
Music and snow. Poke my eyes out Perhaps your immediate response is: ”I’d rather poke my eyes out with a burning stick than do data analysis.” There’s a completely different [...]
jun 25, 26
Move your data analysis to a computing environment specifically designed for it. Why R and not spreadsheets? Here are three reasons: complexity graphics money Spreadsheets are easily overwhelmed. Very complex [...]
jun 25, 26
The steps taken to fix an R problem. Task To prepare for the Portfolio Probe blog post called ”Implied alpha and minimum variance”, I tried to update a matrix of [...]