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visits member for 3 years, 8 months
seen Oct 6 at 19:53

Sep
20
accepted Accounting for Withdrawals
Sep
20
asked Accounting for Withdrawals
Sep
17
comment Aftcast Generation
Yes, Jim invented Aftcast for portfolio sensitivity testing if I am not mistaken..
Sep
17
awarded  Scholar
Sep
17
comment Aftcast Generation
Thanks so much!
Sep
17
accepted Aftcast Generation
Sep
17
awarded  Supporter
Sep
17
asked Aftcast Generation
Sep
3
comment How to define the objective function for a custom optimization problem?
@SRKX, yes i agree!
Sep
3
comment How to define the objective function for a custom optimization problem?
it depends on your objective function i think. If you've got a convex function, then you should use linear optimizers. If you've got a non-convex one, I have bumped in to a optimizer called DEoptim which deals with optimizing non-convex functions...
Sep
3
awarded  Student
Sep
2
asked How to define the objective function for a custom optimization problem?
May
11
comment Minimizing Correlation
thanks bill and chrisaycock for your comments!
May
11
comment Minimizing Correlation
If the correlation between them exceed a certain threshold, i will skip it. This is only my initial answer to my problem of reducing correlated trades. As a trend follower, I need to be exposed to as much market as possible so as to take advantage whenever any one of them explode. Any advise would be great! Thanks!
May
11
comment Minimizing Correlation
I currently trade a basket of currencies which have correlation between them to a certain extent. As I know that correlation is ever changing, I can only minimize it through gut feeling. This approach gives me unease as gut feeling is not something that should be counted upon in the long run. To test whether minimizing correlation, I have, in the past few days, come up with a idea of systematically monitor trades. I always take the first signal of trading system. If another signal is generated in X days after, I will calculate the correlation between them for the past Y days. Will need test.
May
9
asked Minimizing Correlation
May
8
comment How can I select the least correlated portfolio of assets?
Thanks so much for your answer. How do I go about estimating the variance matrix? My assets are currency pairs and cross pairs. Given a set of data series for the pairs i am using, do I calculate the standard deviation and square it? After do I calculate the correlation combination between each pair? I got the idea from this video...is this correct? youtube.com/user/bionicturtledotcom#p/u/235/35NWFr53cgA Sorry for the newbie question!
Feb
16
comment How can I select the least correlated portfolio of assets?
Yes, that's more clear!
Feb
15
asked How can I select the least correlated portfolio of assets?
Feb
13
asked System Development / Optimization