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A Return.Portfolio Wrapper to Automate Harry Long Seeking Alpha Backtests

This post will cover a function to simplify creating Harry Long type rebalancing strategies from SeekingAlpha for interested readers. As Harry Long has stated, most, if not all of his strategies are more for demonstrative purposes rather than actual recommended investments. 755 more words


Why Universities May Have A Social Obligation To Not Divest.

Originally posted on my Instablog on SeekingAlpha.com.

The Scripps Institution of Oceanography has been investigating CO2 concentrations at the Mauna Loa Observatory; they have found that concentration levels have risen from 310ppm to 400ppm through 1960 to 2013. 1,032 more words


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… 3,090 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