qusma.com
Stock Return Day of the Month Seasonality, US Markets - QUSMA
http://qusma.com/2012/10/06/day-of-the-month-seasonality-part-1-sp-500-nasdaq-100-russell-2000
Day of the Month Seasonality Part 1: S&P 500, NASDAQ Composite, Russell 2000. Day of the Month Seasonality Part 1: S&P 500, NASDAQ Composite, Russell 2000. October 6, 2012. Middot; by admin. Middot; in QUSMA. My first post is inspired by the recent day of the month seasonality posts over at MarketSci ( one. In this post I will show how day of the month seasonality applies to the S&P 500 as well as two other popular indices: the NASDAQ Composite and the Russell 2000. A quick comparison of the statistics:.
qusma.com
Trading Performance Analysis - QUSMA
http://qusma.com/2013/08/19/my-performance-analysis-tools
My Performance Analysis Tools. My Performance Analysis Tools. August 19, 2013. Middot; by admin. Middot; in QUSMA. These situations, and performance evaluation in general, are a crucial part of the research/trading/performance loop:. A lack of attention to performance, and the underlying factors that drive it, will have a deleterious effect both on your long-term trading results and the things that you will discover in the research stage. Which have a very simple and easy to handle XML structure. Statist...
qusma.com
admin, Author at QUSMA
http://qusma.com/author/admin
Trend Followers Make Forecasts Just Like Everyone Else. June 30, 2014. Middot; by admin. Middot; in QUSMA. This post was prompted by Michael Covel’s interview Traders’ Magazine in which he claims that trend followers don’t try to make predictions. This idea that trend followers do not forecast returns is widely and frequently repeated. It is also complete nonsense. Every…. Visualizing the Similarity Between Multiple Time Series. June 11, 2014. Middot; by admin. Middot; in QUSMA. June 6, 2014. May 23, 2014.
qusma.com
Announcing QPAS: Open Source Performance, Risk, and Execution Analytics - QUSMA
http://qusma.com/2014/06/06/announcing-qpas-open-source-performance-risk-execution-analytics
Announcing QPAS: Open Source Performance, Risk, and Execution Analytics. Announcing QPAS: Open Source Performance, Risk, and Execution Analytics. June 6, 2014. Middot; by admin. Middot; in QUSMA. So I wrote my own (I blogged about it here. I’m very happy to announce that the first version (0.1) of the QUSMA Performance Analytics Suite (QPAS) is now available. For an overview of its main performance analysis capabilities see the. Or the comments on this post. While the IB flex statements provide enough da...
alphaism.wordpress.com
An Empirical Mean Reversion Test on VIX Futures | Alphaism
https://alphaism.wordpress.com/2015/09/09/an-empirical-mean-reversion-test-on-vix-futures
An Empirical Mean Reversion Test on VIX Futures. VIX mean reversion trade gets popular when the market experiences big ups and downs. You hear a lot of talks about how much money people make from trading VXX, XIV and their leveraged equivalents. However, is VIX truly mean reverting, or it seems more lucrative than it is just because people only like to talk about it when they make money and keep quiet when they lose? In this post I use daily returns of S&P 500 VIX Short-Term Futures Index. It’s har...
lancesnyc.blogspot.com
Lance's in New York: July 2008
http://lancesnyc.blogspot.com/2008_07_01_archive.html
Lance's in New York. Saturday, July 19, 2008. Trip to the Meatpacking District. The meatpacking district in Manhattan was originally a meatpacking district. By midcentury, there were over 135 packing plants and butchers in the small area below:. So we got around and headed out for brunch. Parking down there wasn't nearly as bad as anticipated:. But a lot of the area was renovated modern-distressed style restaurants and shops, like this one:. After a little walking around, and spotting a new Audi R8:.
qusma.com
Stock Return Day of the Month Seasonality, European Markets - QUSMA
http://qusma.com/2012/10/06/day-of-the-month-seasonality-part-2-dax-cac-40-ftse-100
Day of the Month Seasonality Part 2: DAX, CAC 40, FTSE 100. Day of the Month Seasonality Part 2: DAX, CAC 40, FTSE 100. October 6, 2012. Middot; by admin. Middot; in QUSMA. Of the series I showed the impressive predictive power of day of the month seasonality effects in US equity markets. In this post I will apply the same type of analysis to three European markets: Germany (using the DAX. Index), France (using the CAC 40. Index), and the U.K. (using the FTSE 100. Move forward by one trading day and repe...
qusma.com
A Few Notes on System Parameter Permutation - QUSMA
http://qusma.com/2014/05/01/notes-system-parameter-permutation
A Few Notes on System Parameter Permutation. A Few Notes on System Parameter Permutation. May 1, 2014. Middot; by admin. Middot; in QUSMA. Before you read this post, read the (Wagner award winning). Turning Data Mining from Bias to Benefit through System Parameter Permutation. The concept is essentially to use all the results from a brute force optimization and pick the median as the best estimate of out of sample performance. The first step is:. To illustrate, let’s use my UDIDSRI post. Let’s see ...
bobsthrealm.blogspot.com
Bob's blog - the realm of threalm: March 2014
http://bobsthrealm.blogspot.com/2014_03_01_archive.html
Bob's blog - the realm of threalm. Grist, grizzle and Gore stirred into a stew for gustatory effect. Necessary conflict in free societies. This week's freedom quote of the week on " ideas@theCentre. The Centre for Independent Studies weekly email is:. In any free society, the conflict between social conformity and individual liberty is permanent, unresolvable, and necessary. According to Wiki the latter Kathleen Norris:. Maybe I should read some more Kathleen Norris sometime. Posted by Bob Goldie. A mudd...