Publications by systematicinvestor
Borrowing Ideas from Timely Portfolio
I want to highlight two great Visualization techniques I discovered by reading the fine blog from Timely Portfolio. First method is based on the lm System on Nikkei with New Chart. Let’s visualize Strategy’s Long/Short/Not Invested periods by highlighting the underlying (i.e. buy & hold) with green/red/gray. Following is a sample code that im...
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Intraday Backtest
I came across a free source of Intraday Forex data while reading Forex Trading with R : Part 1 post. You can download either Daily or Hourly historical Forex data from the FXHISTORICALDATA.COM. The outline of this post: Download and Import Forex data Reference and Plot Intraday data Daily Backtest Intraday Backtest First,I created a getSymbols....
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Volatility Position Sizing to improve Risk Adjusted Performance
Today I want to show how to use Volatility Position Sizing to improve strategy’s Risk Adjusted Performance. I will use the Average True Range (ATR) as a measure of Volatility and will increase allocation during low Volatility periods and will decrease allocation during high Volatility periods. Following are two good references that explain thes...
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Cross Sectional Correlation
Diversification is hard to find nowadays because financial markets are becoming increasingly correlated. I found a good visually presentation of Cross Sectional Correlation of stocks in the S&P 500 index in the Trading correlation by D. Varadi and C. Rittenhouse article. Let’s compute and plot the average correlation among stocks in the S&P 500...
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Classical Technical Patterns
In my presentation about Seasonality Analysis and Pattern Matching at the R/Finance conference, I used examples that I have previously covered in my blog: Month of the Year Seasonality – I introduced the Seasonality charts in the Historical Seasonality Analysis: What company in DOW 30 is likely to do well in January? post. I also developed the...
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Backtesting Classical Technical Patterns
In the last post, Classical Technical Patterns, I discussed the algorithm and pattern definitions presented in the Foundations of Technical Analysis by A. Lo, H. Mamaysky, J. Wang (2000) paper. Today, I want to check how different patterns performed historically using SPY. I will follow the rolling window procedure discussed on pages 14-15 of the...
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Volatility Quantiles
Today I want to examine the performance of stocks in the S&P 500 grouped into Quantiles based on one year historical Volatility. The idea is very simple: each week we will form Volatility Quantiles portfolios by grouping stocks in the S&P 500 into Quantiles using one year historical Volatility. Next we will backtest each portfolio and check if lo...
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Volatility Position Sizing 2
I have discussed Volatility Position Sizing in the Volatility Position Sizing to improve Risk Adjusted Performance post using the Average True Range (ATR) as a measure of Volatility. Today I want show how to use historical volatility to adjust portfolio leverage. Let’s start with Buy and Hold strategy using SPY and rescale it to the target vol...
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Factor Attribution
I came across a very descriptive visualization of the Factor Attribution that I will replicate today. There is the Three Factor Rolling Regression Viewer at the mas financial tools web site that performs rolling window Factor Analysis of the “three-factor model” of Fama and French. The factor returns are available from the Kenneth R French: D...
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Factor Attribution 2
I want to continue with Factor Attribution theme that I presented in the Factor Attribution post. I have re-organized the code logic into the following 4 functions: factor.rolling.regression – Factor Attribution over given rolling window factor.rolling.regression.detail.plot – detail time-series plot and histogram for each factor factor.roll...
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