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| bio | website | |
|---|---|---|
| location | Santiago, Chile | |
| age | 31 | |
| visits | member for | 1 year, 1 month |
| seen | yesterday | |
| stats | profile views | 45 |
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Jan 28 |
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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. |
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Jan 28 |
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Statistical significance of a pair trading strategy Thanks Freddy. How can I set that hurdle rate, can it just be 0? |
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Jan 18 |
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How to simulate one-minute bars data from one-day bars? Thats exactly what I was looking for. Thank you Joshua. |
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Jan 18 |
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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)? |
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Oct 9 |
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Trading a synthetic replication of the VVIX (volatility of VIX) Thanks. The point: the mean reversion of the vvix. |
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Oct 5 |
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Why the interest rate for put-call parity is not constant? Thanks Strange. I was not considering dividends at all. |
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May 8 |
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How to build a mean reverting basket? Thanks mepuzza. I know about cointegration and how to test for cointegration of pairs using (for example) Augmented Dickey-Fuller test. Do you have any reference I can read about building/testing cointegrated baskets? |
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Apr 11 |
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Choosing the time-frame to test for cointegration Thanks Craig for your answer, but you may be introducing some data-snooping bias in your analysis. |
