I was revisiting the choice of portfolio optimization algorithm for the GTAA portion of my portfolio and thought it was an excellent opportunity for another post. The portfolio usually contains 5 assets (though at times it may choose fewer than…
- Love the Roslyn scripting API. In a couple of hours I was able to implement a REPL interface giving programmatic ac… https://t.co/bOCAqfpNlM
- RT @qusmablog: Yield curve inversions and recessions. Last 3 times it worked OK, less reliable further back. Long & uncertain la… https://t.co/6LZCv5x1ms
- When will the next recession begin?
- This KID situation is an absolute clusterfuck from every angle. 1) Typical moronic EU regulation. 2) SSGA, with $… https://t.co/ucQfvOTTFF
- The trend toward curve inversion (an early sign of recession) seems to have paused for the last couple of months... https://t.co/ZdnhMyRL49
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