Is the Russell 2000 primed for a Long?

by ivannp on December 14, 2014

Today over a coffee, me and a friend did a quick analysis on the Russell 2000. The reason was that I was holding a short, and was debating whether to close it or not. Not only the outcome of this analysis made my action clear, but it also surprised me quite a bit. Here are the monthly statistics for the month of December.

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Parallelism via “parSapply”

by ivannp on December 13, 2014

In an earlier post, I used mclapply to kick off parallel R processes and to demonstrate inter-process synchronization via the flock package. Although I have been using this approach to parallelism for a few years now, I admit, it has certain important disadvantages. It works only on a single machine, and also, it doesn’t work on Windows.

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Went Long on the S&P 500

by ivannp on December 4, 2014

It has been a while since my system had a position in the S&P 500, but it’s back. Went long at the close today.

Max-Sharpe Allocations for December

by ivannp on December 1, 2014

December is going to be interesting, mostly from a performance point of view. Based on seasonality, emotions and gut feeling, I’d go mostly into stocks, mostly US. My Max-Sharpe approach tells me otherwise, and I will stick with the boss’s allocations. Here they are:

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Storing Forecasts in a Database

by ivannp on November 29, 2014

In my last post I mentioned that I started using RSQLite to store computed results. No rocket science here, but my feeling is that this might be useful to others, hence, this post. This can be done using any database, but I will use (R)SQLite as an illustration.

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Synchronization for R with the flock Package

by ivannp on November 20, 2014

Have you tried synchronizing R processes? I did and it wasn’t straightforward. In fact, I ended up creating a new package – flock.

One of the improvements I did not too long ago to my R back-testing infrastructure was to start using a database to store the results. This way I can compute all interesting models (see the “ARMA Models for Trading” series for an example) once and store the relevant information (mean forecast, variance forecast, AIC, etc) into the database. Then, I can test whatever I want without further heavy lifting.

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Grouping of Commodity Futures

by ivannp on November 13, 2014

The volatility seems to be leaking quickly out of the stock market, and it seems to be back to its pre-dominantly bull-mode, which has been going on for a while now. So time to go long and wait for the next opportunity for more trading?

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Max-Sharpe Allocations for November

by ivannp on November 3, 2014

At the beginning of October, this strategy went heavily into treasuries (TLT), to the tune of 70%. The rest was SPY. With all the turbulence in October, this proved to be a good setup – yielding about 2.3% for the month.

For November, the strategy allocations deviate a little bit from the original strategy (which implementation was posted originally on the Systematic Investor Blog).

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Exited the Short on the S&P 500

by ivannp on October 30, 2014

Time to stay out of the market for a bit, at least according to my system. With all the developments of late – I don’t blame it.:)

Went Short on the S&P 500

by ivannp on October 23, 2014

The last long position was quite painful, basically I held it throughout the correction, and I flipped it today (systematically) still at a loss (although a minor one), despite the massive recovery of late. Now let’s see how the short fares.:)