Publications by Ilya Kipnis

For A New Year, A New Asset Allocation System Just Published in SSRN

02.01.2015

Happy New Year! So, this is something I’ve been working on before its official publication (so this is the first place on the entire internet that you’ll see it outside SSRN, and certainly one of the few places that will extend it), directly in contact with the original paper author, Dr. Wouter Keller, who published the Flexible Asset Allocat...

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Adding a Risk-Free Rate To Your Analyses

09.01.2015

First off, before beginning this post, I’d like to make my readers aware of the release of a book that I contributed almost an entire chapter for. Quantitative Trading With R is a primer on quantitative trading in R written by Harry Georgakopoulos, one of Chicago’s better quants. I contributed almost the entire chapter on quantstrat. If you�...

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An Update On EAA and a Volatility Strategy

16.01.2015

Again, before starting this post, I’d like to inform readers that the book Quantitative Trading With R, written by Harry Georgakopoulos, with contributions from myself, is now available for order on Amazon. Already, it has garnered a pair of five-star reviews, and it deals not only with quantstrat, but with aspects such as spread trading, high ...

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An Introduction to Change Points (packages: ecp and BreakoutDetection)

21.01.2015

A forewarning, this post is me going out on a limb, to say the least. In fact, it’s a post/project requested from me by Brian Peterson, and it follows a new paper that he’s written on how to thoroughly replicate research papers. While I’ve replicated results from papers before (with FAA and EAA, for instance), this is a first for me in term...

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A New Harry Long Strategy and A Couple of New PerfA Functions

24.01.2015

So, Harry Long came out with a new strategy on SeekingAlpha involving some usual mix of SPXL (3x leveraged SPY), TMF (3x leveraged TLT), and some volatility indices (in this case, ZIV and TVIX). Now, since we’ve tread this path before, expectations are rightfully set. It’s a strategy that’s going to look good in the sample he used, it’s g...

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Comparing Flexible and Elastic Asset Allocation

29.01.2015

So recently, I tried to combine Flexible and Elastic Asset Allocation. The operative word being–tried. Essentially, I saw Flexible Asset Allocation as an incomplete algorithm — namely that although it was an excellent method for selecting securities, that there had to have been a better way to weigh stocks than a naive equal-weight scheme. It...

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PELTing a Competing Changepoint Algorithm

09.02.2015

This post will demonstrate the PELT algorithm from the changepoint package–a competing algorithm to the twitter package’s breakout detection algorithm. While neither of these algorithms produce satisfactory results, one change point location approximation algorithm that makes no distributional assumptions shows potentially promising results. ...

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The Quarterly Tactical Strategy (aka QTS)

13.02.2015

This post introduces the Quarterly Tactical Strategy, introduced by Cliff Smith on a Seeking Alpha article. It presents a variation on the typical dual-momentum strategy that only trades over once a quarter, yet delivers a seemingly solid risk/return profile. The article leaves off a protracted period of unimpressive performance at the turn of th...

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An Attempt At Replicating David Varadi’s Percentile Channels Strategy

17.02.2015

This post will detail an attempt at replicating David Varadi’s percentile channels strategy. As I’m only able to obtain data back to mid 2006, the exact statistics will not be identical. However, of the performance I do have, it is similar (but not identical) to the corresponding performance presented by David Varadi. First off, before beginn...

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A Closer Update To David Varadi’s Percentile Channels Strategy

20.02.2015

So thanks to seeing Michael Kapler’s implementation of David Varadi’s percentile channels strategy, I was able to get a better understanding of what was going on. It turns out that rather than looking at the channel value only at the ends of months, that the strategy actually keeps track of the channel’s value intra-month. So if in the midd...

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