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Jan
25
revised Are Papers and Funds reporting Monthly drawdowns using daily granularity?
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Jan
25
awarded  Student
Jan
25
revised Are Papers and Funds reporting Monthly drawdowns using daily granularity?
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Jan
25
revised Are Papers and Funds reporting Monthly drawdowns using daily granularity?
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Jan
25
revised Are Papers and Funds reporting Monthly drawdowns using daily granularity?
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Jan
25
asked Are Papers and Funds reporting Monthly drawdowns using daily granularity?
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.
Dec
30
comment Fastest algorithm for calculating retrospective maximum drawdown
A vectorized approach (since inception) is very fast.
Dec
28
revised How to see if a set of asset returns corresponds to a known correlation matrix?
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Dec
28
revised How to see if a set of asset returns corresponds to a known correlation matrix?
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Dec
28
answered How to see if a set of asset returns corresponds to a known correlation matrix?
Dec
25
awarded  Commentator
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."
Dec
16
revised Probability of trade's exit orders being triggered in random-walk market
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Dec
16
revised Probability of trade's exit orders being triggered in random-walk market
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Dec
16
revised Probability of trade's exit orders being triggered in random-walk market
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Dec
16
revised Probability of trade's exit orders being triggered in random-walk market
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Dec
16
answered Probability of trade's exit orders being triggered in random-walk market
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?
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.