Posts Tagged ‘trading success’

Rolling performance statistics and minimum variance optimizations

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 […]

Subscribe to RSS Feed Follow me on Twitter!
Show Buttons
Hide Buttons