Quant Mashup - Systematic Investor Benchmark Plus [Systematic Investor]To install Systematic Investor Toolbox (SIT) please visit About page. The overlay strategy is the market neutral strategy that can be applied to benchmark to improve benchmark's performance. The new strategy weights are equal to benchmark weights plus the overlay weights. Below I will present a(...) Back-test Reality Check [Systematic Investor]To install Systematic Investor Toolbox (SIT) please visit About page. The purpose of a back-test is to show a realistic historical picture of strategy performance. One might use back-test results and corresponding statistics to judge whether a strategy is suitable one. Hence, it is best to structure(...) Visualizing Price Scenarios [Systematic Investor]To install Systematic Investor Toolbox (SIT) please visit About page. Newfound Research shared an interesting post: Volatility Through a Different Lens that features a chart of Sector Energy ETF(XLE) with historical price scenarios highlighted with various colors. This reminded me of the post i(...) Review of Momentum and Markowitz A Golden Combination paper [Systematic Investor]To install Systematic Investor Toolbox (SIT) please visit About page. The Momentum and Markowitz: A Golden Combination (2015) by Keller, Butler, Kipnis paper is a review of practitioner’s tools to make mean variance optimization portfolio a viable solution. In particular, authors suggest and test:(...) Using Leadership Index to Time S&P 500 [Systematic Investor]To install Systematic Investor Toolbox (SIT) please visit About page. Following is code and plots used in RFinance 2015 presentation. We will use a C++ function to compute Lagged Correlations from the Run Leadership Rcpp post. First, let’s load historical prices for S&P 500. Please note that(...) Minimum Spanning Tree [Systematic Investor]To install Systematic Investor Toolbox (SIT) please visit About page. MKTSTK an another amazing graphics example to visualize correlation matrix at Stock market visualization: Minimum Spanning Trees Following their example, I will visualize below the stocks in NASDAQ 100 Index for the last year(...) Thinking in SIT, more examples [Systematic Investor]To install Systematic Investor Toolbox (SIT) please visit About page. I previously presented a case study of Excel to SIT mapping in the Thinking in SIT post. I want to continue with another example based on following excellent tutorials: Backtesting A Basic ETF Rotation System in Excel Free(...) Moving Average [Systematic Investor]To install Systematic Investor Toolbox (SIT) please visit About page. The Quantitative Approach To Tactical Asset Allocation Strategy(QATAA) by Mebane T. Faber model is using 10 month moving average as a filter to switch strategy to cash. If at the month end the asset’s price is above the moving(...)