Timeline for Didier Sornette's Strategy to Exploit Return Correlations
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Oct 20, 2017 at 5:59 | vote | accept | joshwa | ||
| Oct 17, 2017 at 5:12 | comment | added | joshwa | Here is a backtest of the strategy just for fun. Note: transaction costs and slippage modeling are both turned off. | |
| Oct 17, 2017 at 4:47 | vote | accept | joshwa | ||
| Oct 20, 2017 at 5:59 | |||||
| Oct 17, 2017 at 3:28 | comment | added | Klaus | It looks correct. | |
| Oct 17, 2017 at 2:11 | comment | added | joshwa | Does this look correct? $$ \begin{align} m_t &\equiv\frac{1}{B(t, t)}\sum_{i<t} B(i, t)r_i,\\ &\equiv\frac{1}{B(t, t)} \biggl( \color{red}{\mathbf I[1][0]} \bigl(\color{blue}{\mathbf{M}[0][1]}\bigr)+ \color{red}{\mathbf I[2][0]} \bigl(\color{blue}{\mathbf{M}[0][2]}\bigr)+ \color{red}{\mathbf I[3][0]} \bigl(\color{blue}{\mathbf{M}[0][3]}\bigr)+ \color{red}{\mathbf I[4][0]} \bigl(\color{blue}{\mathbf{M}[0][4]}\bigr) \biggr)\\ &\equiv\frac{1}{678.1834365}\biggl(-415.4229687\biggr)\\ &\equiv\frac{-415.4229687}{678.1834365}\\ &\equiv\bbox[yellow]{-0.6125525136}\\ \end{align} $$ | |
| Oct 16, 2017 at 5:32 | history | answered | Klaus | CC BY-SA 3.0 |