Recently I have showed evidence that minimum variance optimizations can be expected to have better performance than equal weight portfolios when the number of trading systems used is high enough. This observation is made when system behavior remains similar – in terms of profits/losses – while correlations between systems vary significantly. However these observations were […]
Archive for April 28th, 2016
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March 2017
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August 2014
- Building a Machine Learning Library for Forex Trading: Creating a toolbox of input/output generators
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November 2012
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December 2010
- Last Week of the Year : The Trading Systems Developed in 2010, Tips and Insights About System Design