Trend Followers Make Forecasts Just Like Everyone Else
This post was prompted by Michael Covel’s interview Traders’ Magazine in which he claims that trend followers don’t try to make predictions. This idea that trend followers do not forecast returns is widely and frequently repeated. It is also complete nonsense. Every…
Visualizing the Similarity Between Multiple Time Series
Presenting the similarity between multiple time series in an intuitive manner is not an easy problem. The standard solution is a correlation matrix, but it’s a problematic approach. While it makes it easy to check the correlation between any two series,…
Announcing QPAS: Open Source Performance, Risk, and Execution Analytics
When I was first starting out a couple of years ago I didn’t really track my performance beyond the simple report that IB generates. Eventually I moved on to excel sheets which grew to a ridiculous and unmanageable size. I took…
Divergences: Yield Spreads and Size
And now for something completely different. A bit of macro and a bit of factor relative performance: what happens when yield spreads and small caps diverge from the S&P 500? High Yield Spreads First, let’s play with some macro-style data. Below you’ll…
A Few Notes on System Parameter Permutation
Before you read this post, read the (Wagner award winning) Know Your System! – Turning Data Mining from Bias to Benefit through System Parameter Permutation by Dave Walton. The concept is essentially to use all the results from a brute force…
Reverse Engineering DynamicHedge’s “Alpha Curves”, Part 2.5 of 3: DTW Barycenter Averaging
Averaging financial time series in a way that preserves important features is an interesting problem, and central in the quest to create good “alpha curves”. A standard average over several time series will usually smooth away the most salient aspects:…
Reverse Engineering DynamicHedge’s “Alpha Curves”, Part 2 of 3: K-Medoids Clustering
In the first part of the series we covered dynamic time warping. Here we look at clustering. K-means clustering is probably the most popular method, mainly due to its simplicity and intuitive algorithm. However it has some drawbacks that make…
2013: Lessons Learned and Revisiting Some Studies
The year is over in a few hours and I thought it would be nice to do a quick review of the year, revisit some studies and the most popular posts of the year, as well as share some thoughts…
Reverse Engineering DynamicHedge’s Alpha Curves, Part 1 of 3: Dynamic Time Warping
DynamicHedge recently introduced a new service called “alpha curves”: the main idea is to find patterns in returns after certain events, and present the most frequently occurring patterns. In their own words, alpha curves “represent a special blend of uniqueness…
The QUSMA Data Management System Is Now Open Source
The QUSMA Data Management System (QDMS) is an application for acquiring, managing, and distributing low-frequency historical and real-time data, written in C#. QDMS uses a client/server model. The server acts as a broker between clients and external data sources. It…
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