Half a year ago I posted about writing my own backtesting platform. While it has been even more challenging than I thought it would be, it’s going well: about 95% of “core” functionality has been implemented. Early on I realized…
- If you don’t hold the global market portfolio you are an active investor. If you are an active investor you are a forecaster. Embrace it.
- RT @modestproposal1: The Grantham piece on bubbles is obviously a must read. First he says he's partly responsible for the idea that pri… https://t.co/8m2Bli4xWr
- Anyone else having connectivity problems with IB?
- Over 10% difference between futures and spot BTC, pretty crazy. Is the issue that nobody wants to short the futures… https://t.co/m3PdE853TI
- Some Questions for Crypto-Exchanges https://t.co/ZkSHi1h7Nu
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