Michael RB

172 reputation

	172 reputation	bio	website		visits	member for	1 year, 8 months
14 badges		location			seen	May 15 at 12:55

9 Comments

Aug 27	comment	Appropriate method for calculating negative returns on a trading strategy? I agree with you on the forward looking aspect of max drawdown. I wanted something that could easily compare across strategies.
Aug 23	comment	Python library for Portfolio Optimization I have been meaning to get a demonstration. I have wanted to throw out my big ball of duct tape,er. research environment, for a while
Aug 23	comment	Python library for Portfolio Optimization Have you used RapidQuant?
Aug 8	comment	What data sources are available online? Has anyone seen something that is up to date on this?
Jun 21	comment	Which approach dominates? Mathematical modeling or data mining? You can know the error bars with cross validation and out of sample testing.
Sep 23	comment	What time are Bloomberg Open Symbology Files updated daily? What is the concern? I pay for Bloomberg Back office files and usually ipos are listed well in advance
Sep 23	comment	How to update an exponential moving average with missing values? the second option is the way to go on something like this.
Sep 14	comment	How much data is needed to validate a short-horizon trading strategy? honestly, it was just an example. for equities, you might want to remove sector returns/ market returns. etc.
Sep 14	comment	Why is C++ still a very popular language in quantitative finance? Honestly, 100ms is absurd for garbage collection. Something like this is more the relic of poorly profiled code.