Yesterday I had a conversation with an Asirikuy member via email about the trading costs associated with trading our large portfolios and how this can represent a substantial erosion of profits with time. Although our simulations do accounts for trading costs – including much larger spreads than currently present within the market – it is […]
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 ?
