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 one of the quantitative directors. 1,215 more words
Tags » SeekingAlpha
Momentum, Markowitz, and Solving Rank-Deficient Covariance Matrices -- The Constrained Critical Line Algorithm
This post will feature the differences in the implementation of my constrained critical line algorithm with that of Dr. Clarence Kwan’s. The constrained critical line algorithm is a form of gradient descent that incorporates elements of momentum. 2,329 more words
This may be one of the simplest strategies I’ve ever presented on this blog, but nevertheless, it works, for some definition of “works”.
Here’s the strategy: take five global market ETFs (MDY, ILF, FEZ, EEM, and EPP), along with a treasury ETF (TLT), and every month, fully invest in the security that had the best momentum. 306 more words