418 reputation
314
bio website
location Santiago, Chile
age 31
visits member for 2 years
seen Apr 11 at 15:41

Jan
28
awarded  Commentator
Jan
28
comment Statistical significance of a pair trading strategy
Thanks Akavall. My problem in this approach is that the out-of-sample is only one of many possible outcomes, and that is not enough to deny the null hypothesis.
Jan
28
comment Statistical significance of a pair trading strategy
Thanks Freddy. How can I set that hurdle rate, can it just be 0?
Jan
28
asked Statistical significance of a pair trading strategy
Jan
18
accepted How to simulate one-minute bars data from one-day bars?
Jan
18
comment How to simulate one-minute bars data from one-day bars?
Thats exactly what I was looking for. Thank you Joshua.
Jan
18
asked How to simulate one-minute bars data from one-day bars?
Jan
18
accepted Sharpe ratio in days with no open positions
Jan
18
comment Sharpe ratio in days with no open positions
Thank you Chris. Then how should I anualize the Sharpe ratio? Can I still use square_root(250)?
Jan
17
accepted Trading a synthetic replication of the VVIX (volatility of VIX)
Jan
17
asked Sharpe ratio in days with no open positions
Oct
22
awarded  Citizen Patrol
Oct
9
comment Trading a synthetic replication of the VVIX (volatility of VIX)
Thanks. The point: the mean reversion of the vvix.
Oct
9
awarded  Excavator
Oct
9
revised Trading a synthetic replication of the VVIX (volatility of VIX)
Changed title so people don't think is repeated question
Oct
9
awarded  Custodian
Oct
9
reviewed Leave Open Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
Oct
9
reviewed Leave Open T-note returns from T-note yields … derivation of Damodaran's formula
Oct
9
asked Trading a synthetic replication of the VVIX (volatility of VIX)
Oct
9
awarded  Editor