network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 7 months |
| seen | Mar 11 at 14:47 | |
| stats | profile views | 52 |
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Jan 25 |
revised |
Are Papers and Funds reporting Monthly drawdowns using daily granularity? added 2 characters in body |
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Jan 25 |
revised |
Are Papers and Funds reporting Monthly drawdowns using daily granularity? added 17 characters in body |
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Jan 25 |
asked | Are Papers and Funds reporting Monthly drawdowns using daily granularity? |
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Dec 30 |
comment |
Fastest algorithm for calculating retrospective maximum drawdown There is only 1 path from inception (and only 1 iteration required with vectorized dd result of that path). What you are describing above is a rolling dd (*Note I specified since inception). If you have a time series and can show an example of your algorithm and time, I will reproduce using a vectorized approach and compare times. |
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Dec 30 |
comment |
Fastest algorithm for calculating retrospective maximum drawdown A vectorized approach (since inception) is very fast. |
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Dec 28 |
revised |
How to see if a set of asset returns corresponds to a known correlation matrix? deleted 8 characters in body |
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Dec 28 |
revised |
How to see if a set of asset returns corresponds to a known correlation matrix? added 15 characters in body |
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Dec 28 |
answered | How to see if a set of asset returns corresponds to a known correlation matrix? |
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Dec 25 |
awarded | Commentator |
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Dec 25 |
comment |
Are there any tools or useful algos for identifying corner portfolios? *Also, see zivot links below. "The the set of efficient portfolios of risky assets can be computed as a convex combination of any two efficient portfolios." |
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Dec 16 |
revised |
Probability of trade's exit orders being triggered in random-walk market added 7 characters in body |
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Dec 16 |
revised |
Probability of trade's exit orders being triggered in random-walk market added 4 characters in body |
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Dec 16 |
revised |
Probability of trade's exit orders being triggered in random-walk market deleted 3 characters in body |
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Dec 16 |
revised |
Probability of trade's exit orders being triggered in random-walk market added 49 characters in body |
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Dec 16 |
answered | Probability of trade's exit orders being triggered in random-walk market |
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Dec 5 |
comment |
Why are regressors squared and not ^1.5 or ^2.2 or ^2.5? Because a negative number raised to a non-integer exponent is complex. Of what use would regressing physical economic values have here? |
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Nov 29 |
comment |
Bootstrapping first, then data mine? I have heard good things about meboot, and started to run it, but I'm not so sure it captures both auto and cross correlations well. It doesn't really make any sense to do cross validation after the data set has been mined. The ideal method would be to train/validate/test over each slice fold set... so that every slice is not biased in any way by the slice that is left out. If you have a strategy, however, you could run the CV over parameters of the same strategy to evaluate robustness. |
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Nov 29 |
answered | Bootstrapping first, then data mine? |
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Nov 20 |
comment |
When gains are made: Overnight or during trading hours? What is the connection to volatility? Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open -- papers.ssrn.com/sol3/papers.cfm?abstract_id=1625495 |
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Nov 16 |
revised |
Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky added 182 characters in body |
