There are limitations to the accuracy of simulations based on filling according to Level II bid/ask data, but it is at least pessimistic. If...
It is hard to find Tick/Trade data for free since these are large files and bandwidth is not cheap at that scale. For daily summary data,...
The statistics that we normally use, standard deviation, skew, and kurtosis, are all highly sensitive to outliers. There sensitivity comes from...
I would go one step further that money management empowers an edge. Portfolios Sharpe Ratios can double or triple the Sharpe Ratio of its best...
How about the pair SCCO: Southern Copper , BHP: BHP Billiton ADS? Two of the largest copper producers in the world (SCCO 1st, BHP 3rd.) Long...
How about the pair BTI: British Amer Tobacco ADR , MO: Altria Group ? Two tobacco companies. Both have had new all-time highs (25 year) in...
Equity Market Neutral Hedge Funds continue to make money....
Any opinions about the pair DHI: Horton DR Inc vs PHM: Pultegroup Inc ? They have been 80-90% correlated until last year. They are both home...
Thank you LimitDown for the list of "accomplishments". I just rather agree, but I can't hardly stomach all of the earmarking, illogical...
My 2-cents. 1. Rogue trades. If the pair is converging and the trade profit/loss is is losing money, then your position sizing sounds to be...
I don't know that I understand "the naive weighting scheme." I have seen a variety: margin weighting, volatility weighting, stop-loss % of...
I can't speak to illiquid trading. I select Futures markets which have a consistent core volume and open interest. CFTC tracked markets with a...
Sorry, typing equations is a bad habit. With Pearson correlation, we can directly relate the portfolio volatility to the allocations, market...
I'm a big fan of Spearman Rank Correlation for finding correlated pairs, but for do portfolio analytics, it really helps to be able to say that V...
I appreciate the word of caution. To clarify, I said that an Introducing Broker could be conned into letting one trade on a worthless check....
Because it is too easy to make a cogent argument which is baseless and because it is so frequent that insufficient contextual information is...
:D +1
I look at Z-Score : Z(x) = (x-average(x))/stddev(x) Price 1 -> Z1, Price 2 -> Z2 Positively correlated pairs Dislocation Metric = Z(Z1-Z2)...
Most traders lose money. Without a famous track record, I won't trust a firm willing to let me trade more risk than my deposit. I would not...
RAID/Backups/journaling file systems/live database backups/versioning - this is a big area KevinQC has "critical data which keeps on changing...
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