- Closing Price in Relation to the Day’s Range, and Equity Index Mean Reversion
- Visualizing the Similarity Between Multiple Time Series
- Doing the Jaffray Woodriff Thing (Kinda), Part 1
- Reverse Engineering DynamicHedge’s Alpha Curves, Part 1 of 3: Dynamic Time Warping
- Mining for Three Day Candlestick Patterns
- If I'm understanding this correctly, IB's margin change means that from now on the margin on your 2 biggest stock/C… https://t.co/W0kipkwfdd
- I wonder who was buying XIV on the way down after the close yesterday. Huge volume, too...
- For posterity https://t.co/wkPtsQekWa
- I guess the short vol trade is no longer crowded, then...
alpha curves C# CAC40 DAX FTSE100 candlestick patterns cross validation CRTDR data mining DOTM DTW Dynamic Time Warping equal risk contribution ETN GTAA HangSeng IBS effect K Nearest Neighbor machine learning mean reversion minimum correlation minimum volatility momentum MultiCharts .NET NASDAQ100 new highs new lows Nikkei225 PCA portfolio optimization position sizing QQQ relative strength risk parity Russell2000 S&P500 seasonality SPY STI swing trend following UDIDSRI VIX VIXY VXV WVF XIV