Recent Content by IceAntonelli

  1. Statistical Arbitrage Stat Arb - cointegration vector - out of sample backtests

    I'm not sure I'm understanding exactly what you mean. When you mention the 'allocation % in your factors', are you speaking of the entries of the...
    Post by: IceAntonelli, Apr 13, 2011 in forum: Strategy Building

  2. Statistical Arbitrage Stat Arb - cointegration vector - out of sample backtests

    I've considered using a rolling window, but it seems that one must be careful about recalibrating the cointegration vector too often or else the...
    Post by: IceAntonelli, Apr 12, 2011 in forum: Strategy Building

  3. Statistical Arbitrage Stat Arb - cointegration vector - out of sample backtests

    the latter - I have, for example, a strategy that was profitable in-sample, but fails out-of-sample. by 'fails', I mean that the amplitude of the...
    Post by: IceAntonelli, Apr 10, 2011 in forum: Strategy Building

  4. Statistical Arbitrage Stat Arb - cointegration vector - out of sample backtests

    hypothetically, the model trades 'at the close' because I'm only using daily close prices in my backtesting. in the future, my aim is focus on...
    Post by: IceAntonelli, Apr 10, 2011 in forum: Strategy Building

  5. Statistical Arbitrage Stat Arb - cointegration vector - out of sample backtests

    anyone else struggling with cointegration vectors that break down quickly in out-of-sample backtests? I'm currently backtesting a stat arb...
    Thread by: IceAntonelli, Apr 9, 2011, 12 replies, in forum: Strategy Building

  6. Statistical Arbitrage Stat Arb - cointegration vector - out of sample backtests

    anyone else struggling with cointegration vectors that break down quickly in out-of-sample backtests? I'm currently backtesting a stat arb...
    Thread by: IceAntonelli, Apr 8, 2011, 0 replies, in forum: Trading