Publications by systematicinvestor
Simple and Profitable
The end of the month effect was examined by MarketSci in the The Last Day of the Month Blahs post. The idea is simple: buy on the last day of the month and sell a few days later. This idea was put into a strategy by Quanting Dutchman in the Strategy 2 – Monthly End-of-the-Month (MEOM) post. I will follow the outline of the Quanting Dutchman’s...
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Backtesting Minimum Variance portfolios
I want to show how to combine various risk measures I discussed while writing the series of posts about Asset Allocation with backtesting library in the Systematic Investor Toolbox. I will use Minimum Variance portfolio as an example for this post. I recommend reading a good discussion about Minimum Variance portfolios at Minimum Variance Sector ...
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Backtesting Rebalancing methods
I wrote about Rebalancing in the Asset Allocation Process Summary post. Deciding how and when to rebalance (update the portfolio to the target mix) is one of the critical steps in the Asset Allocation Process. I want to study the portfolio performance and turnover for the following Rebalancing methods: Periodic Rebalancing: rebalance to the tar...
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Rotational Trading Strategies: borrowing ideas from Engineering Returns
Frank Hassler at Engineering Returns blog wrote an excellent article Rotational Trading: how to reduce trades and improve returns. The article presents four methods to reduce trades: Trade less frequently. I.e. weekly instead of daily rebalancing. Different criteria for enter / exit a trade. Smooth the rank over the last couple of bars. Combinat...
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Happy Holidays and Best Wishes for 2012
This is just a quick note to wish you and your family a very healthy and happy holidays and wonderful New Year! I hope you enjoyed reading my blog and thank you for your comments and emails. Here is a short R code that implements an interesting idea from the Charting the Santa Claus Rally post by Woodshedder. I will plot and compare the SPY perfo...
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Trading using Garch Volatility Forecast
Quantum Financier wrote an interesting article Regime Switching System Using Volatility Forecast. The article presents an elegant algorithm to switch between mean-reversion and trend-following strategies based on the market volatility. Two model are examined: one using the historical volatility and another using the Garch(1,1) Volatility Forecast...
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Time Series Matching
THIS IS NOT INVESTMENT ADVICE. The information is provided for informational purposes only. If it looks like a duck, swims like a duck, and quacks like a duck, then it probably is a duck. Do you want to know what S&P 500 will do in the next week, month, quarter? One way to make an educated guess is to find historical periods similar to the curren...
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Time Series Matching strategy backtest
This is a quick post to address comments raised in the Time Series Matching post. I will show a very simple example of backtesting a Time Series Matching strategy using a distance weighted prediction. I have to warn you, the strategy’s performance is worse then the Buy and Hold. I used the code from Time Series Matching post and re-arranged it ...
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Time Series Matching with Dynamic Time Warping
THIS IS NOT INVESTMENT ADVICE. The information is provided for informational purposes only. In the Time Series Matching post, I used one to one mapping to the compute distance between the query(current pattern) and reference(historical time series). Following chart visualizes this concept. The distance is the sum of vertical lines. An alternativ...
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Multiple Factor Model – Fundamental Data
The Multiple Factor Model can be used to decompose returns and calculate risk. Following are some examples of the Multiple Factor Models: The expected returns factor model: Commonality In The Determinants Of Expected Stock Returns by R. Haugen, N. Baker (1996) The expected returns factor model: CSFB Quantitative Research, Alpha Factor Framework ...
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