I have gotten a couple of emails asking me about the topic of analyzing performance, so I decided to detail the tools I use. Measuring performance and attributing success or failure to the right factors is an extremely important part…
- Closing Price in Relation to the Day’s Range, and Equity Index Mean Reversion
- Useful and Free C#/.NET Libraries for Traders
- Doing the Jaffray Woodriff Thing (Kinda), Part 1
- Reverse Engineering DynamicHedge’s “Alpha Curves”, Part 2.5 of 3: DTW Barycenter Averaging
- New Paper: The IBS Effect: Mean Reversion in Equity ETFs
- 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...
- Earnings moves tend to be a bit crazy, but wow... Imagine being the guy who sold at 177. https://t.co/Q3wsxFfpWQ
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