This is a summary of links featured on Quantocracy on Tuesday, 11/19/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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CTA index replication and the curse of dimensionality [Investment Idiocy]So, first I should apologise for the LONG…. break between blogposts. This started when I decided not to do my usual annual review of performance – it is a lot of work, and I decided that the effort wasn't worth the value I was getting from it (in the interests of transparency, you can still find my regularly updated futures trading performance here). Since then I have been busy with other
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Day 22: Error Correction [OSM]On Day 21, we wrung our hands with frustration over how to proceed. The results of our circular block sampling suggested we shouldnt expect a whole lot of outperformance in our 12-by-12 model out-of-sample. To deal with this our choices were, back to the drawing board or off to the waterboard to start over or to torture the data until it told us what we wanted. However, we found a third way, in