Publications by Joshua Ulrich
Updated Tactical Asset Allocation Results
In November, I used the strategy in Mebane Faber’s Tactical Asset Allocation paper to provide an introduction to blotter. Faber has updated the strategy’s results through the end of 2009. For those interested, he expands on the paper in his book, The Ivy Portfolio. Related To leave a comment for the author, please follow the l...
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TTR_0.20-2 on CRAN
An updated version of TTR is now on CRAN. It fixes a couple bugs and includes a couple handy tweaks. Here’s the full contents of the CHANGES file:TTR version 0.20-2 Changes from version 0.20-1NEW FEATURES:Added VWAP and VWMA (thanks to Brian Peterson)Added v-factor generalization to DEMA (thanks to John Gavin)CHANGES:Updated volat...
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Maximum Probability of Profit
To continue with the LSPM examples, this post shows how to optimize a Leverage Space Portfolio for the maximum probability of profit. The data and example are again taken from The Leverage Space Trading Model by Ralph Vince. These optimizaitons take a very long time. 100 iterations on a 10-core Amazon EC2 cluster took 21 hours. Ag...
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Historical / Future Volatility Correlation Stability
Michael Stokes, author of the MarketSci blog recently published a thought-provoking post about the correlation between historical and future volatility (measured as the standard deviation of daily close price percentage changes). This post is intended as an extension of his “unfinished thought”, not a critique. He suggests using...
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Thoughts on LSPM from R/Finance 2010
I just got back from R/Finance 2010 in Chicago. If you couldn’t make it this year, I strongly encourage you to attend next year. I will post a more comprehensive review of the event in the next couple days, but I wanted to share some of my notes specific to LSPM. How sensitive are optimal-f values to the method used to construct t...
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LSPM Joint Probability Tables
I’ve received several requests for methods to create joint probability tables for use in LSPM’s portfolio optimization functions. Rather than continue to email this example to individuals who ask, I post it here in hopes they find it via a Google search. 😉 I’m certain there are more robust ways to estimate this table, but ...
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Estimating Probability of Drawdown
I’ve shown several examples of how to use LSPM’s probDrawdown function as a constraint when optimizing a leverage space portfolio. Those posts implicitly assume the probDrawdown function produces an accurate estimate of actual drawdown. This post will investigate the function’s accuracy. Calculation Notes: To calculate the probabili...
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Margin Constraints with LSPM
When optimizing leverage space portfolios, I frequently run into the issue of one or more f$ ([Max Loss]/f) being less than the margin of its respective instrument. For example, assume the required margin for an instrument is $500, f$ is $100, and $100,000 in equity. The optimal amount to trade is 1,000 shares ($100,000/$100). H...
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Patrick Burns is blogging
Patrick Burns is the author of several helpful R resources, including A Guide for the Unwilling S User, The R Inferno, and S Poetry. He also wrote one of my favorite critiques of Microsoft Excel: Spreadsheet Addiction. His writing is witty, entertaining, and packed fully of useful bits of information. I strongly recommend you add his blog to ...
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Algorithmic Trading with IBrokers
Kyle Matoba is a Finance PhD student at the UCLA Anderson School of Management. He gave a presentation on Algorithmic Trading with R and IBrokers at a recent meeting of the Los Angeles R User Group. The discussion of IBrokers begins near the 12-minute mark. Related To leave a comment for the author, please follow the link and co...
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