One of the key measurements used to judge whether two systems should be used together in a portfolio is the correlation of returns. This can tell you the degree in which two trading strategies are related and can help you avoid using two strategies that have had very closely related historical returns. However this measurement […]
Posts Tagged ‘portfolio trading’
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August 2016
- Using QQPat: Calculate and plot the Losing Period Overlap Index
- Improving trading system comparisons: The Losing Period Overlap Index
July 2016
June 2016
- Trading efficiently: Ranking systems by their trading costs
- Our Forex machine learning system repository is alive again!
- Measuring trading system correlation using Python
May 2016
- Looking at an old Forex system: The God's Gift ATR
- Are multiple pair strategies better than single pair strategies?
- Do Monte Carlo worst case scenarios apply to portfolios?
- Out of sample profitability and trading system complexity
- Return frequency when measuring trading system correlations
April 2016
- Rolling performance statistics and minimum variance optimizations
- First pKantuML results: Starting the building of a machine learning repository
- Using daily returns in minimum variance optimizations
- Comparing mean-variance and minimum variance portfolio optimization
- Using qqpat: Minimum variance portfolio optimizations
- Comparing different minimum variance portfolio optimization methods
- Computational cost of portfolio optimizations using CVXPY
March 2016
- Using R in Trading: What can you really do to reduce portfolio drawdowns
- After more than one year of trading: Are there any in-sample/out-of-sample correlations?
February 2016
- Reducing Drawdown Length: Why you can only go so far
- Massively Parallel Trading: Why you need as many systems as you can get
December 2015
May 2015
- Some algorithmic trading systems from 2010: Revisiting three trend following strategies (BB, CCI and RSI)
- Better portfolio building: How system returns correlate under edgeless environments
February 2014
January 2014
- Choosing trading system combinations: A practical example using rolling correlations
- Using R in Algorithmic Trading: Calculating system weights using Markowitz portfolio theory
April 2013
October 2012
June 2011
April 2011
March 2011
- Building a Forex Portfolio With the Highest Possible Level of Robustness: Introducing Comitl
- Problems with "Big Trading Portfolios": Issues That Show Up When Running Large Arrays of Systems
- Choosing Portfolios Without Bias: Some Strategies Against the "Cherry Picking" of Systems
February 2011
- Coatl Single Currency Centered Portfolios: One Choice for Every Taste
- Portfolio Risks: Taking Into Account Instrument and System Correlation
January 2011
- The Fruits of Genetics : Our First Coatl Based Basket Portfolio
- Sapaq and Atinalla Portfolios : The Power of Counter Strategy Diversification
- The Big System Portfolios : The Wonderful Effect of "Piling Up" Strategies
November 2010
October 2010
- Diversification in Trading : Six Important Aspects to Take Into Account
- Introducing Watukushay No.6 : Quimichi - a Robust Long Term Trend Following System
- Backtesting With the New Alpari Data : Some Findings and Changes
- Building an NFA-Compliant Portfolio : Atinalla No.3
May 2010
- The Atinalla Project – A Well Laid Out Plan For Long Term Capitalization in Forex Trading
- Uneven Strategies : Working with Different Profitabilities in Portfolio Building – Part Two
- Uneven Strategies : Working with Different Profitabilities in Portfolio Building – Part One
- Asirikuy Portfolios : Increasing Profits Without Increasing Draw Downs
- Strategy Diversification – Higher Profits… Higher Risks ?