Comments for QuantStrat TradeR

Comment on A quick example on using next day open-to-open returns for Tactical Asset Allocation. by Ilya Kipnis

Ilya Kipnis — Thu, 28 Dec 2023 18:15:09 +0000

In reply to Amie Sun.

Ah, sorry for not getting back to this–email me at [email protected] and I’ll send you the performance of the latest model. The only issue these days is that there’s a schedule K1 attached to SVIX at tax time, which is a pain in the ass.

Comment on KDA–Robustness Results by Ilya Kipnis

Ilya Kipnis — Thu, 28 Dec 2023 18:14:33 +0000

In reply to Tommy.

As it turns out, the canary universe from Defensive Asset Allocation that formed the D aspect of this strategy absolutely failed. It makes me wonder about the efficacy of other canary indicators, and how it’s only a matter of time until they crack as well. I think the only one that didn’t fail was the TIPS indicator found in Hybrid Asset Allocation, but that strategy was only devised after the fact. Disappointing, really, as it basically means that KDA, rather than be a good ensemble of strategies, only had those defensive layers for show. Argh.

Comment on About by Ilya Kipnis

Ilya Kipnis — Thu, 28 Dec 2023 18:12:31 +0000

In reply to Wei.

Jaekle and Tomasini–Trading Systems Development

Comment on An Attempt At Replicating Flexible Asset Allocation (FAA) by Ilya Kipnis

Ilya Kipnis — Thu, 28 Dec 2023 17:51:53 +0000

In reply to Bayu.

You’d do some things with endpoints. E.G. subset <- returns[(endpoints[i]+1):endpoints[i+12]], but then you might do something like subset_four <- returns[(endpoints[i+8]+1):endpoints[i+12]], and so on. You need to use endpoints subsetting.

Comment on An Update to the Robustness Heuristic and a Variation of a Volatility Strategy by QT VIX3M:VIX6M - SimpleVIX

QT VIX3M:VIX6M - SimpleVIX — Thu, 28 Dec 2023 15:27:18 +0000

[…] strategy was published on the QuantStrat TradeR blog. Essentially, it’s another variant of contango strategies with averaging over […]

Comment on Several Key PerformanceAnalytics Functions From R Now In Python (special thanks to Vijay Vaidyanathan) by Quantocracy's Daily Wrap for 06/21/2023 - Quantocracy

Quantocracy's Daily Wrap for 06/21/2023 - Quantocracy — Thu, 22 Jun 2023 05:45:04 +0000

[…] Several Key PerformanceAnalytics Functions From R Now In Python [QuantStrat TradeR] […]

Comment on About by Wei

Wei — Tue, 20 Jun 2023 21:38:37 +0000

Hi! Thank you very much for your course on datacamp. It is a very good one. Could you recommend some books to extend my knowledge in financial trading?
Wei

Comment on This function VITAL for portfolio backtesting is now in Python, written with the help of chatGPT4 by Quantocracy's Daily Wrap for 05/04/2023 - Quantocracy

Quantocracy's Daily Wrap for 05/04/2023 - Quantocracy — Fri, 05 May 2023 05:30:03 +0000

[…] Community fav QuantStrat TradeR back posting after almost 2 year hiatus: This function VITAL for por… […]

Comment on This function VITAL for portfolio backtesting is now in Python, written with the help of chatGPT4 by lupaz

lupaz — Thu, 04 May 2023 05:55:36 +0000

Thanks Ilya, for all your blog posts and keeping them alive and coming back now and again with useful things like this.

Comment on KDA–Robustness Results by Tommy

Tommy — Wed, 12 Apr 2023 06:14:32 +0000

Hi Ilya
Any update on how this strategy has performed of late, during covid and after, during hiking cycle?
T