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Hypothesis-Driven Development Part V: Stop-Loss, Deflating Sharpes, and Out-of-Sample

This post will demonstrate a stop-loss rule inspired by Andrew Lo’s paper “when do stop-loss rules stop losses”? Furthermore, it will demonstrate how to deflate a Sharpe ratio to account for the total number of trials conducted, which is presented in a… 2,956 more words


Hypothesis Driven Development Part IV: Testing The Barroso/Santa Clara Rule

This post will deal with applying the constant-volatility procedure written about by Barroso and Santa Clara in their paper “Momentum Has Its Moments”.

The last… 1,054 more words


Hypothesis Driven Development Part III: Monte Carlo In Asset Allocation Tests

This post will show how to use Monte Carlo to test for signal intelligence.

Although I had rejected this strategy in the last post, I was asked to do a monte-carlo analysis of a thousand random portfolios to see how the various signal processes performed against said distribution. 482 more words


Introduction to Hypothesis Driven Development -- Overview of a Simple Strategy and Indicator Hypotheses

This post will begin to apply a hypothesis-driven development framework (that is, the framework written by Brian Peterson on how to do strategy construction correctly, … 1,579 more words


I'm Back, A New Harry Long Strategy, And Plans For Hypothesis-Driven Development

I’m back. Anyone that wants to know “what happened at Graham”, I felt there was very little scaffolding/on-boarding, and Graham’s expectations/requirements changed, though I have a reference from my direct boss, an accomplished quantitative director In any case, moving on. 1,210 more words


July, August and Oil

The first trading day of August was nothing to crow about. Then again it’s only one day.

First, some numbers.

Taking it from the top, Apple, closed today, (8/3/15), at $118, below its 200-day moving average. 453 more words

CORR CorEnergy Infrastructure Trust (6.49)

CorEnergy is the first publicly listed REIT that focuses on energy infrastructure. The REIT invests in midstream and downstream energy assets that perform utility like functions. 443 more words