Quant Mashup - QuantStrat TradeR

Introduction to Hypothesis Driven Development — Overview of a Simple Strategy and Indicator Hypotheses [QuantStrat TradeR]

This post will begin to apply a hypothesis-driven development framework (that is, the framework written by Brian Peterson on how to do strategy construction correctly, found here) to a strategy I’ve come across on SeekingAlpha. Namely, Cliff Smith posted about a conservative bond rotation

*- 8 years ago, 3 Sep 2015, 10:02pm -*

I’m Back, A New Harry Long Strategy, And Plans For Hypothesis-Driven Development [QuantStrat TradeR]

I’m back. Anyone that wants to know “what happened at Graham”, I felt there was very little scaffolding/on-boarding, and Graham’s expectations/requirements changed, though I have a reference from one of the quantitative directors. In any case, moving on. Harry Long recently came out with a

*- 8 years ago, 25 Aug 2015, 08:54pm -*

Last Post For A While, And Two Premium (Cheap) Databases [QuantStrat TradeR]

This will be my last post on this blog for an indefinite length of time. I will also include an algorithm to query Quandl’s SCF database, which is an update on my attempt to use free futures data from Quandl’s CHRIS database, which suffered from data integrity issues, even after attempts to

*- 9 years ago, 8 Jun 2015, 02:14am -*

Momentum, Markowitz, and Solving Rank-Deficient Covariance Matrices - The Constrained Critical Line Algorithm [QuantStrat TradeR]

This post will feature the differences in the implementation of my constrained critical line algorithm with that of Dr. Clarence Kwan's. The constrained critical line algorithm is a form of gradient descent that incorporates elements of momentum. My implementation includes a

*- 9 years ago, 5 Jun 2015, 12:38pm -*

A Basic Logical Invest Global Market Rotation Strategy [QuantStrat TradeR]

This may be one of the simplest strategies I've ever presented on this blog, but nevertheless, it works, for some definition of "works". Here's the strategy: take five global market ETFs (MDY, ILF, FEZ, EEM, and EPP), along with a treasury ETF (TLT), and every month, fully invest

*- 9 years ago, 18 May 2015, 02:33pm -*

Advertising a Few Systematic ETFs (Strictly Of My Own Volition) [QuantStrat TradeR]

This post will introduce several ETFs from Alpha Architect and Cambria Funds (run by Meb Faber) that I think readers should be aware of (if not so already) in order to capitalize on systematic investing without needing to lose a good portion of the return due to taxes and transaction costs. So, as

*- 9 years ago, 13 May 2015, 01:42pm -*

The JP Morgan SCTO strategy [QuantStrat TradeR]

This strategy goes over JP Morgan’s SCTO strategy, a basic XL-sector/RWR rotation strategy with the typical associated risks and returns with a momentum equity strategy. It’s nothing spectacular, but if a large bank markets it, it’s worth looking at. Recently, one of my readers, a managing

*- 9 years ago, 20 Apr 2015, 09:33pm -*

The Logical Invest Enhanced Bond Rotation Strategy (And the Importance of Dividends) [QuantStrat TradeR]

This post will display my implementation of the Logical Invest Enhanced Bond Rotation strategy. This is a strategy that indeed does work, but is dependent on reinvesting dividends, as bonds pay coupons, which means bond ETFs do likewise. The strategy is fairly simple — using four separate fixed

*- 9 years ago, 8 Apr 2015, 02:05am -*

The Logical Invest "Hell On Fire" Replication Attempt [QuantStrat TradeR]

It seems that some people at Logical Invest have caught whiff of some of the work I did in replicating Harry Long’s ideas. First off, for the record, I’ve actually done some work with Harry Long in private, and the strategies we’ve worked on together are definitely better than the strategies

*- 9 years ago, 6 Apr 2015, 11:36am -*

Rolling Sharpe Ratios [QuantStrat TradeR]

Similar to my rolling cumulative returns from last post, in this post, I will present a way to compute and plot rolling Sharpe ratios. Also, I edited the code to compute rolling returns to be more general with an option to annualize the returns, which is necessary for computing Sharpe ratios. In any

*- 9 years ago, 20 Mar 2015, 11:04am -*

Introduction to my New IKReporting Package [QuantStrat TradeR]

This post will introduce my up and coming IKReporting package, and functions that compute and plot rolling returns, which are useful to compare recent performance, since simply looking at two complete equity curves may induce sample bias (EG SPY in 2008), which may not reflect the state of the

*- 9 years ago, 9 Mar 2015, 10:29pm -*

The Downside of Rankings-Based Strategies [QuantStrat TradeR]

This post will demonstrate a downside to rankings-based strategies, particularly when using data of a questionable quality (which, unless one pays multiple thousands of dollars per month for data, most likely is of questionable quality). Essentially, by making one small change to the way the

*- 9 years ago, 26 Feb 2015, 07:28pm -*

The Logical-Invest “Universal Investment Strategy”–A Walk Forward Process on SPY and TLT [QuantStrat TradeR]

I’m sure we’ve all heard about diversified stock and bond portfolios. In its simplest, most diluted form, it can be comprised of the SPY and TLT etfs. The concept introduced by Logical Invest, in a Seeking Alpha article written by Frank Grossman (also see link here), essentially uses a

*- 9 years ago, 23 Feb 2015, 05:48pm -*

A Closer Update To David Varadi’s Percentile Channels Strategy [QuantStrat TradeR]

So thanks to seeing Michael Kapler’s implementation of David Varadi’s percentile channels strategy, I was able to get a better understanding of what was going on. It turns out that rather than looking at the channel value only at the ends of months, that the strategy actually keeps track of the

*- 9 years ago, 20 Feb 2015, 07:19pm -*

An Attempt At Replicating David Varadi’s Percentile Channels Strategy [QuantStrat TradeR]

This post will detail an attempt at replicating David Varadi’s percentile channels strategy. As I’m only able to obtain data back to mid 2006, the exact statistics will not be identical. However, of the performance I do have, it is similar (but not identical) to the corresponding performance

*- 9 years ago, 17 Feb 2015, 07:53pm -*

The Quarterly Tactical Strategy (aka QTS) [QuantStrat TradeR]

This post introduces the Quarterly Tactical Strategy, introduced by Cliff Smith on a Seeking Alpha article. It presents a variation on the typical dual-momentum strategy that only trades over once a quarter, yet delivers a seemingly solid risk/return profile. The article leaves off a protracted

*- 9 years ago, 14 Feb 2015, 05:21am -*

PELTing a Competing Changepoint Algorithm [QuantStrat TradeR]

This post will demonstrate the PELT algorithm from the changepoint package–a competing algorithm to the twitter package’s breakout detection algorithm. While neither of these algorithms produce satisfactory results, one change point location approximation algorithm that makes no distributional

*- 9 years ago, 9 Feb 2015, 12:33pm -*

Comparing Flexible and Elastic Asset Allocation [QuantStrat TradeR]

So recently, I tried to combine Flexible and Elastic Asset Allocation. The operative word being–tried. Essentially, I saw Flexible Asset Allocation as an incomplete algorithm — namely that although it was an excellent method for selecting securities, that there had to have been a better way to

*- 9 years ago, 30 Jan 2015, 04:57pm -*

A New Harry Long Strategy and A Couple of New PerfA Functions [QuantStrat TradeR]

So, Harry Long came out with a new strategy on SeekingAlpha involving some usual mix of SPXL (3x leveraged SPY), TMF (3x leveraged TLT), and some volatility indices (in this case, ZIV and TVIX). Now, since we’ve tread this path before, expectations are rightfully set. It’s a strategy that’s

*- 9 years ago, 24 Jan 2015, 02:05pm -*

An Introduction to Change Points (packages: ecp and BreakoutDetection) [QuantStrat TradeR]

A forewarning, this post is me going out on a limb, to say the least. In fact, it’s a post/project requested from me by Brian Peterson, and it follows a new paper that he’s written on how to thoroughly replicate research papers. While I’ve replicated results from papers before (with FAA and

*- 9 years ago, 21 Jan 2015, 02:05pm -*

An Update On EAA and a Volatility Strategy [QuantStrat TradeR]

Again, before starting this post, I’d like to inform readers that the book Quantitative Trading With R, written by Harry Georgakopoulos, with contributions from myself, is now available for order on Amazon. Already, it has garnered a pair of five-star reviews, and it deals not only with

*- 9 years ago, 16 Jan 2015, 03:04pm -*

Adding a Risk-Free Rate To Your Analyses [QuantStrat TradeR]

First off, before beginning this post, Iâ€™d like to make my readers aware of the release of a book that I contributed almost an entire chapter for. Quantitative Trading With R is a primer on quantitative trading in R written by Harry Georgakopoulos, one of Chicagoâ€™s better quants. I

*- 9 years ago, 9 Jan 2015, 08:05am -*