Publications by Ilya Kipnis
How You Measure Months Matters — A Lot. A Look At Two Implementations of KDA
This post will detail a rather important finding I found while implementing a generalized framework for momentum asset allocation backtests. Namely, that when computing momentum (and other financial measures for use in asset allocation, such as volatility and correlations), measuring formal months, from start to end, has a large effect on strateg...
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A Tale of an Edgy Panda and some Python Reviews
This post will be a quickie detailing a rather annoying…finding about the pandas package in Python.For those not in the know, I’ve been taking some Python courses, trying to port my R finance skills into Python, because R seems to have fallen out of favor in the world of finance. (If you know of an opportunity, here’s my resume.) So, I’m ...
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Two Different Methods to Apply Some Corey Hoffstein Analysis to your TAA
So, first off: I just finished a Thinkful data science in python bootcamp program that was supposed to take six months, in about four months. All of my capstone projects I applied to volatility trading; long story short, none of the ML techniques worked, and the more complex the technique I tried, the worse it performed. Is there a place for data...
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A quick example on using next day open-to-open returns for Tactical Asset Allocation.
First off, for the hiring managers out there, after about a one-year contracting role at Bank of America doing some analytical reporting coding for them in Python, I am on the job market. Feel free to find my LinkedIn here. This post will cover how to make tactical asset allocation strategies a bit more realistic with regards to execution. That i...
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