systematicinvestor.github.io

Systematic Investor's Blog · Systematic Investor's Blog

Welcome to the Systematic Investor's Blog. June 6, 2015. Raquo; Visualizing Earnings. June 6, 2015. Raquo; Visualizing Price Scenarios. June 4, 2015. Raquo; Review of Momentum and Markowitz A Golden Combination paper. May 29, 2015. Raquo; RFinance 2015. April 22, 2015. Raquo; Optimizing Run Time for Large Universe. April 22, 2015. Raquo; Nginx RApi. April 21, 2015. Raquo; Page Rank. April 16, 2015. Raquo; Leadership Details. April 15, 2015. Raquo; Run Leadership in Rcpp. April 13, 2015. April 11, 2015.

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Systematic Investor's Blog · Systematic Investor's Blog | systematicinvestor.github.io Reviews

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Welcome to the Systematic Investor's Blog. June 6, 2015. Raquo; Visualizing Earnings. June 6, 2015. Raquo; Visualizing Price Scenarios. June 4, 2015. Raquo; Review of Momentum and Markowitz A Golden Combination paper. May 29, 2015. Raquo; RFinance 2015. April 22, 2015. Raquo; Optimizing Run Time for Large Universe. April 22, 2015. Raquo; Nginx RApi. April 21, 2015. Raquo; Page Rank. April 16, 2015. Raquo; Leadership Details. April 15, 2015. Raquo; Run Leadership in Rcpp. April 13, 2015. April 11, 2015.

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Systematic Investor's Blog · Systematic Investor's Blog | systematicinvestor.github.io Reviews

https://systematicinvestor.github.io

Welcome to the Systematic Investor's Blog. June 6, 2015. Raquo; Visualizing Earnings. June 6, 2015. Raquo; Visualizing Price Scenarios. June 4, 2015. Raquo; Review of Momentum and Markowitz A Golden Combination paper. May 29, 2015. Raquo; RFinance 2015. April 22, 2015. Raquo; Optimizing Run Time for Large Universe. April 22, 2015. Raquo; Nginx RApi. April 21, 2015. Raquo; Page Rank. April 16, 2015. Raquo; Leadership Details. April 15, 2015. Raquo; Run Leadership in Rcpp. April 13, 2015. April 11, 2015.

INTERNAL PAGES

systematicinvestor.github.io

1

Sortino vs Omega ratios · Systematic Investor's Blog

http://systematicinvestor.github.io/Sortino-Omega

Sortino vs Omega ratios. To install Systematic Investor Toolbox (SIT). Following is quick visual comparison of Omega ratio. Helper functions #* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *. Sum(pmax(R - MAR, 0) / sum(pmax(MAR - R, 0). Check: Omega has a value of 1 at the mean of the distribution #* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *. Sortino [1] 0 $Omega [1] 1. Based on random data'. Based on last year of SPY'. Re-run Maximizing Omega Ratio. 0 = xi = 0.8.

2

Review of Momentum and Markowitz A Golden Combination paper · Systematic Investor's Blog

http://systematicinvestor.github.io/Review-Momentum-Markowitz

Review of Momentum and Markowitz A Golden Combination paper. To install Systematic Investor Toolbox (SIT). The Momentum and Markowitz: A Golden Combination (2015) by Keller, Butler, Kipnis. Paper is a review of practitioner’s tools to make mean variance optimization. Portfolio a viable solution. In particular, authors suggest and test:. Adding maximum weight limits and. Adding target volatility constraint. To control solution of mean variance optimization. First, let’s load historical data for all assets.

3

Nginx RApi · Systematic Investor's Blog

http://systematicinvestor.github.io/Nginx-RAPI

I put Lua Rclient Library for Nginx and complete setup at GitHub repository for your convenience. I want to share a very simple and light way to setup custom api to R functions using Nginx server. There are of course more complete solutions available, for example using:. OpenCPU by Jeroen Ooms. You will need Nginx for Windows. From http:/ nginx-win.ecsds.eu/. This is a compiled version of Nginx server. That includes support for Lua. I used the Nginx image processing server with OpenResty and Lua. If (eve...

4

Filtering Stocks · Systematic Investor's Blog

http://systematicinvestor.github.io/Filtering-Stocks

To install Systematic Investor Toolbox (SIT). I found following discussions interesting and easy to test:. NASDAQ 100 Couples by Ripples. The similarity measure is based on distance function from TSdist package. Stocks with upside potential by Eran Raviv. Below I will try to adapt a code from the posts:. Load historical end of day data #* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *. Remove ones with little history. Btprep.remove.symbols.min.history. Show the ones removed.

5

RFinance 2015 · Systematic Investor's Blog

http://systematicinvestor.github.io/RFinance2015

To install Systematic Investor Toolbox (SIT). Following is code and plots used in RFinance 2015 presentation. We will use a C function to compute Lagged Correlations from the Run Leadership Rcpp. First, let’s load historical prices for S&P 500. Please note that we are using current companies in the S&P 500 index and assume the index composition does not change. Please note we moved lagged correlation logic to RcppParallel. For Each Pair in SP500 = 500 * 499 / 2 = 124,750. 10 year = 10 * 252 = 2,520.

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dtr-trading.blogspot.com

DTR Trading: July 2015

http://dtr-trading.blogspot.com/2015_07_01_archive.html

A blog about options trading strategies (Iron Condors, Strangles, Calendars, Butterflies), equities rotation strategies, and Java related technologies to backtest and automate trading. High Loss Threshold IC. Dynamic Exit Iron Condor. No Touch Iron Condor. SPX High Loss Strangles. RUT High Loss Strangles. Thursday, July 30, 2015. SPX Strangle - High Loss Threshold - 80 DTE. This post looks at selling one-lot options strangles on the S&P 500 Index. Also note, that all of the blog posts for the SPX strangl...

fantasyfootballanalytics.net

How Fantasy Football is Like Stock Picking (Including a Shiny App) - Fantasy Football Analytics

http://fantasyfootballanalytics.net/2015/03/fantasy-football-is-like-stock-picking.html

Win Your Auction Draft. Win Your Snake Draft. Calculate Projections for Your League. Examine Accuracy of Projections. Fantasy Football is Like Stock Picking. Use Projections, Not Rankings. Who has the Best Projections? Draft the Best Starting Lineup. Projections are More Accurate than Rankings. Points by Position Rank. Players’ Risk Levels. Are Subscription Sources More Accurate? How To Learn R. R is Better than Excel. Do Stats Help in Fantasy Football? Rankings/Projections for Your League. Not even so-c...

systematicportfolio.com

Loading Historical Stock Data - Systematic Portfolio

http://www.systematicportfolio.com/load_stock_data

Seasonality Tool case study. Seasonality Tool user's reference. Proportional Minimum Variance Algorithm. Loading Historical Stock Data. Loading Historical Stock Data. Loading Historical Stock Data. Historical Stock Data is critical for testing your investment strategies. There are many ways to load Historical Stock Data in to your R session. Below I show 4 different approaches to load historical stock data:. Download Historical Stock quotes from Yahoo Fiance with getSymbols function from quantmod package.

systematicportfolio.com

Minimum Correlation Algorithm - Systematic Portfolio

http://www.systematicportfolio.com/mincorr

Seasonality Tool case study. Seasonality Tool user's reference. Proportional Minimum Variance Algorithm. Loading Historical Stock Data. This is a support page for the "Minimum Correlation Algorithm" paper. The paper presents a new heuristic portfolio allocation algorithm developed by David Varadi. The Minimum Correlation Algorithm is fast, robust, and easy to implement. Here are the support documents:. Minimum Correlation Algorithm Paper. Weekly Back Test reports. Monthly Back Test reports. Spl( 'SPY,QQQ...

systematicinvestor.wordpress.com

systematicinvestor | Systematic Investor

https://systematicinvestor.wordpress.com/author/systematicinvestor

New Home of Systematic Investor Blog. February 18, 2015. Please visit the New Home of Systematic Investor Blog. At SystematicInvestor.GitHub.io. August 1, 2014. David Varadi has published two excellent posts / ideas about cooking with momentum:. I just could not resist the urge to share these ideas with you. Following is implementation using the Systematic Investor Toolbox. Please enjoy and share your ideas with David and myself. To view the complete source code for this example, please have a look at the.

systematicportfolio.com

Seasonality Tool user's reference - Systematic Portfolio

http://www.systematicportfolio.com/tools/seasonality-tool-user-reference

Seasonality Tool case study. Seasonality Tool user's reference. Proportional Minimum Variance Algorithm. Loading Historical Stock Data. Seasonality Tool user's reference. Seasonality Tool user's reference:. Seasonality Analysis Report contains summary performance statistics for each month, and can be used to determine the historically most profitable months. Detail Seasonality Analysis Report:.

systematicportfolio.com

Proportional Minimum Variance Algorithm - Systematic Portfolio

http://www.systematicportfolio.com/minvar

Seasonality Tool case study. Seasonality Tool user's reference. Proportional Minimum Variance Algorithm. Loading Historical Stock Data. Proportional Minimum Variance Algorithm. Proportional Minimum Variance Algorithm:. This is a support page for the upcoming "Proportional Minimum Variance Algorithm" paper. The paper presents a new heuristic portfolio allocation algorithm developed by David Varadi. The Proportional Minimum Variance Algorithm is fast, robust, and easy to implement. Monthly Back Test reports.

systematicportfolio.com

RFinance2012 - Systematic Portfolio

http://www.systematicportfolio.com/RFinance2012

Seasonality Tool case study. Seasonality Tool user's reference. Proportional Minimum Variance Algorithm. Loading Historical Stock Data. This is a support page for the lighting talk I'm giving at the R/Finance 2012 conference. I will be speaking about "Seasonality Analysis and Pattern Matching" using R. Here are the support documents:. To reproduce the charts for my presentation, please execute following R code:. Load Systematic Investor Toolbox (SIT). Load supporting R code for R/Finance 2012. Matches = ...

systematicportfolio.com

Adaptive Shrinkage - Systematic Portfolio

http://www.systematicportfolio.com/adaptive-shrinkage

Seasonality Tool case study. Seasonality Tool user's reference. Proportional Minimum Variance Algorithm. Loading Historical Stock Data. This is a support page for the Adaptive Shrinkage method developed by David Varadi. The Adaptive Shrinkage method employs the proportional allocation methodology first introduced in the Minimum Correlation Algorithm. Here are the support documents:. Average Correlation Shrinkage (ACS). Monthly Back Test reports. Please stay in touch for updates.

systematicportfolio.com

Seasonality Tool case study - Systematic Portfolio

http://www.systematicportfolio.com/tools/seasonality-tool-case-study

Seasonality Tool case study. Seasonality Tool user's reference. Proportional Minimum Variance Algorithm. Loading Historical Stock Data. Seasonality Tool case study. Seasonality Tool case study. What company in DOW 30. Is likely to do well in January? THIS IS NOT INVESTMENT ADVICE. The information is provided for informational purposes only. Stock Market Seasonality is easy to understand, but hard to justify if you subscribe to Efficient-market hypothesis. To demonstrate the Seasonality Tool. Prices = dat...

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SystematicInventiveThinking.org | Examples of SIT ideas

Systemic Inventive Thinking Methods. This site will take random objects and apply one SIT method once a week. See what we come up with! Examples of SIT ideas. Phone – Division Method. Camera – Subtraction Method. Proudly powered by WordPress.

systematicinvest.com

Postfix Admin - www.systematicinvest.com

Mail admins login here to administer your domain. 1041;ългарски - Bulgarian. Català - Catalan. 20013;文 - Chinese simplified (gb2312). 20013;文 - Chinese traditional. 268;esky - Czech. Español - Spanish. Français - French. 26085;本語 - Japanese. Lietuvių - Lithuanian. Norsk (bokmål) - Norwegian (bokmål). Norsk (nynorsk) - Norwegian (nynorsk). Português - Brazilian portuguese. 1056;усский - Russian. Slovenčina - Slovak. Slovenščina - Slovenian. Türkçe - Turkish. Users click here to login to the user section.

systematicinvestmentplan.com

Systematic Investment Plan (SIP)

A Systematic Investment Plan (SIP) is a vehicle offered by mutual funds to help investors save regularly. It is just like a recurring deposit with the post office or bank where you put in a small amount every month, except the amount is invested in a mutual fund. The minimum amount to be invested can be as small as INR100 (100 Indian Rupees) and the frequency of investment is usually monthly or quarterly. How a SIP works. Approx number of units you will get at. Within six months, this is a value of 589&#...

systematicinvestments.com

Price Request - BuyDomains

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systematicinvestor.github.io

Systematic Investor's Blog · Systematic Investor's Blog

Welcome to the Systematic Investor's Blog. June 6, 2015. Raquo; Visualizing Earnings. June 6, 2015. Raquo; Visualizing Price Scenarios. June 4, 2015. Raquo; Review of Momentum and Markowitz A Golden Combination paper. May 29, 2015. Raquo; RFinance 2015. April 22, 2015. Raquo; Optimizing Run Time for Large Universe. April 22, 2015. Raquo; Nginx RApi. April 21, 2015. Raquo; Page Rank. April 16, 2015. Raquo; Leadership Details. April 15, 2015. Raquo; Run Leadership in Rcpp. April 13, 2015. April 11, 2015.

systematicinvestor.wordpress.com

Systematic Investor | Systematic Investor Blog

New Home of Systematic Investor Blog. February 18, 2015. Please visit the New Home of Systematic Investor Blog. At SystematicInvestor.GitHub.io. August 1, 2014. David Varadi has published two excellent posts / ideas about cooking with momentum:. I just could not resist the urge to share these ideas with you. Following is implementation using the Systematic Investor Toolbox. Please enjoy and share your ideas with David and myself. To view the complete source code for this example, please have a look at the.

systematicinvestors.com

systematicinvestors.net

systematicinvestportfolio.com

Home - sip12

Telefoon: 32 (0)475 44 80 17. Financieel advies via spiegelportefeuille. Gemakkelijk in- en uitstappen. Systematic Invest Portfolio focust op gemengde beleggingen ondergebracht in één grote portefeuille waarvan ook U deel kan uitmaken. Een minimuminvestering van 1 participatie in SIP bedraagt 10.000 euro. Het dagelijks beheer van de portefeuille wordt volledig voor U uitgevoerd. Er is slechts één gemengde portefeuille en alle genomen beslissingen worden toegepast op de volledige SIP portfolio.

systematicit.nl

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