Tag Archives: links

Performance Attribution – getting under the hood with s&p dow jones indices links

 

This is from the latest guest blog I posted yesterday. Here some highlights where you can read this entire article including s&p dow jones indices here:

Understanding where returns really come from and what they mean

Attribution analysis involves comparing a portfolio’s performance against a set benchmark and unpacking the excess return to examine the impact of various investment decisions. We list below our selection of the best reports on the subject.

In our first two papers, we focus specifically on risk-adjusted returns, recognising that Modern Portfolio Theory assumes that higher risk should be compensated by higher returns. Register today for free and immediate access to the papers below – and 20,000 others!

SPIVA® Through a Risk-Adjusted Lens (S&P Dow Jones Indices, July 2018)

Modern portfolio theory purports that greater risks should be compensated with higher returns. S&P Dow Jones Indices examines actively managed funds and evaluates their risk-adjusted performance.

How Sharp is the Sharpe-Ratio? Risk-Adjusted Return Measures (StatPro, 2016)

This StatPro paper compares the Sharpe Ratio with a number of competing and complementary rations for assessing risk-adjusted returns.

Performance Attribution through a Factor Lens (Invesco Risk & Reward, July 2018)

Turn to p42 of Invesco’s quarterly Risk & Reward magazine for a six-page discussion of how standard attribution analysis techniques can be adjusted to develop a factor attribution which reconciles realistically with the investment process.

Total Portfolio Performance Attribution Methodology (Morningstar, 2015)

Morningstar reviews methods for analysing and attributing portfolio performance, decomposing returns into decisions that stem from the plan sponsor versus those that stem from the investment manager.

Only HOT bitcoin Ethereum is profitable crypto currency today. LAToken anyone?

If not, check out this article:

https://quantlabs.net/blog/2018/08/hot-btc-eth-profitable-crypto-currency-today

I have posted a new video to showcase in a slide presentation on the benefits of this membership. You an always join here if interested. (This was posted yesterday)

https://quantlabs.net/blog/2018/08/what-top-quant-grads-make-on-wall-st-huge-20-upper-moves-on-crypto/

 

Get your analytics info here

http://quantlabs.net/academy/quant-analytics/

Thanks Bryan

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Helpful Markowitz Portfolio theory links

Helpful Markowitz Portfolio theory links

I am very interested in getting this implemented ASAP for portfolio optimization

The Efficient Frontier: Markowitz portfolio optimization in Python


https://www.quantopian.com/posts/the-efficient-frontier-markowitz-portfolio-optimization-in-python-using-cvxopt
Portfolio Optimization with Python

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Strategy Links for options & futures Meetup

Strategy Links for options &  futures Meetup

This was from my webinar last nite:

Hi Bryan, Great webinar yesterday. I’m just wondering if you can post to me all the links you posted in the comment section yesterday? Kind Regards,

these are the links I pushed:
http://www.cmegroup.com/trading/agricultural/self-study-guide-hedging-livestock-futures-options.html
http://www.cmegroup.com/trading/agricultural/self-study-guide-to-hedging-with-grain-and-oilseed-futures-and-options.html

A video has been posted for Quant Elite Members

Or join my FREE newsletter to learn more about these webinars I host 

Join my Meetup groups

http://www.meetup.com/R-Matlab-Users/

Toronto .NET Developer Meetup

Toronto, ON
638 Members

This group was created to give Toronto .NET Developers an opportunity to meet and network. It will allow developers an opportunity to meet face-to-face and share best practice…

Check out this Meetup Group →

Quant Finance

Toronto, ON
1,455 Members

Quant Finance group talking hedge fund, investment, quant analytics, and quant tech development. This includes MatLab, C++, C#/.NET, Java, Excel, VBA, Python, R, etc. I would …

Check out this Meetup Group →

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Links for Super Trader Karen on options trading

Links for Super Trader Karen on options trading
This seems high risk with :

Money Management
• Suggested usage of 50% of capital
• With adjustments on, use up to 70/80%
• Large use of capital justified by wide break-even points
• Watch net liquidation values (I’m not clear about it)

I am still going to try to implement regardless of this as It is just a way to learn I believe

Karen The Supertrader

http://tradersworld.com/News/Karen-the-Super-Trader.html
http://www.elitetrader.com/et/index.php?threads/karen-the-supertrader.254837/
https://groups.yahoo.com/neo/groups/supertraderkarenstudy/info

http://tradersworld.com/News/Karen-the-Super-Trader.html

This all orignates from my postings

https://quantlabs.net/blog/2015/04/focus-on-multimillion-trading-strategy-via-matlab-to-c-source-code/

https://quantlabs.net/blog/2015/03/focus-on-this-100-million-trading-strategy/

Other useful technical links:

http://www.theoptionsguide.com/iron-condor.aspx

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Are there workaround for weakness of Redis for cluster and sharding? Excellent NOSQL comparison PDF links as well

Are there workaround for weakness of Redis for cluster and sharding? Excellent NOSQL comparison PDF links as well

Decent comparison of leading NOSQL databases:
http://vldb.org/pvldb/vol5/p1724_tilmannrabl_vldb2012.pdf

Redis still show as a top contender but the limitation of sharding,failover, cluster, etc is a limitation. Here are some hopeful  workarounds

More Redis cluster and sharding capable info links:

http://stackoverflow.com/questions/27140459/does-spring-data-redis-support-jedis-sharding-pool

 

Join my FREE newsletter to see if Redis is still leading open source  NOSQL solution for trading

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Prepping open source Trade Manager link URLs for latest Java 8 JDK MySQL 5.6 Eclipse Luna on Ubuntu Linux

Prepping open source Trade Manager link URLs for latest Java 8 JDK MySQL 5.6 Eclipse Luna on Ubuntu Linux

UPDATE: I decided to abandon the Linux version for to attempt installing a Windows version. I kept getting an exception when it tried to build the database during the build.sh (Application bug but I don’t know) See below for Windows Update issues!

There are required for this Trade Manager

https://quantlabs.net/blog/2014/12/amazing-open-source-java-trade-manager-that-works-with-interactive-brokers-tws/

IMPORTANT NOTE: Read the entire installation directions before implementing at http://code.google.com/p/trade-manager/wiki/Installation

This works now under Windows!

https://quantlabs.net/blog/2014/12/open-source-java-trade-manager-runs-on-windows-for-potential-algoithmic-trading-system/

You could run into priveleges problems!
Latest MySQL 5.6

https://rtcamp.com/tutorials/mysql/mysql-5-6-ubuntu-12-04/

http://unix.stackexchange.com/questions/125327/how-can-i-upgrade-mysql-in-debian-using-apt-get

http://xmodulo.com/upgrade-mysql-server-debian-ubuntu.html]

To change MYSQL root password

https://help.ubuntu.com/community/MysqlPasswordReset

Latest Java JDK 8

http://tecadmin.net/install-oracle-java-8-jdk-8-ubuntu-via-ppa/

Latest Eclipse Luna

https://wiki.opendaylight.org/view/Getting_Started:Eclipse:Installing_Eclipse_on_Ubuntu

 

Strange errors:

./configure : /bin/sh^M : bad interpreter
http://stackoverflow.com/questions/2920416/configure-bin-shm-bad-interpreter

How to set JAVA_HOME in Ubuntu Linux:

http://stackoverflow.com/questions/2920416/configure-bin-shm-bad-interpreter

If you have MYSQL root access problems, try this:

http://stackoverflow.com/questions/21944936/error-1045-28000-access-denied-for-user-rootlocalhost-using-password-y

If I use: mysql -u root -p

enter password like hell1o23, it is fine but still cannot connect into mysql with no password set (?)

http://www.cyberciti.biz/faq/mysql-change-root-password/

This works when you need to verify MYSQL root password changes:

mysql -u root -p’hello123′ -e ‘show databases;’

FOR WINDOWS:

MYSQL is crap now but for Windows, you may come across this:

http://stackoverflow.com/questions/27346487/mysql-installation-unable-to-determine-the-products-that-correspond-with-tha

 

Don’t forget Interactive Broker TWS demo login info:

 

  • For Individual Demo
    • User Name: edemo
      Password: demouser
  • For Advisor Demo
    • User Name: fdemo
      Password: demouser

 

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GET THE POPCORN! LINKS OF THE TITANS AS THEY duke it out!! This is between Paul Cottrell vs London Quant

Well, the last 24 hours has been interesting, I am putting a call out to you as I want to hear your opinion! I have created 2 postings so see at the bottom to comment:
See the ‘titans’ duke it out!! This is between  Paul Cottrell vs London Quant  for machine learning

As a result  I would encourage anyone to read and contribute their insight. It is time to put this debate of the fools who chase fake gold by trying machine learning/neuro science for CONSTANT profitable trading. I want to be proven wrong. Have you got a system that is profitable? That wins all the time? Are you willing to put your money where your mouth is? I am tired of reading about the potential. For me,  let’s see it. I invite you to be part of this LIVE Meetup session! I guess it is time to put their money where their mouth is! I have over 5000+ in my community, someone should be able to prove me wrong. Pls pls pls.
I do understand, some may have a system they want to keep confidential . I get that but still reach out privately, I want to learn what is out there. As said, I want to be proven wrong!! So email if you got something I should know about.

Pow wow: Does machine learning for trading really work?

http://www.meetup.com/quant-finance/events/216144632/

Monday, November 17, 2014
7:00 PM

Paul Cottrell vs London Quant! Does machine learning and neuro scienece work for trading? I want to hear from the pros!See more

or

HERE IS THE BEST ONE SO FAR:

Paul Cottrell vs London Quant! Does machine learning and neuro scienece work for trading? Discuss here | Quant Academy Trading IdeasSee more

Enjoy Bryan

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Latest links for best ranking MFE Programs and Universities rated by QuantNet.com

Latest links for best ranking MFE Programs and Universities rated by QuantNet.com

If you cannot afford these schools or cannot be bothered, join my FREE newsletter to see how I plan to accomplish the equivalent

This just came in  from the founder of QuantNet.com

New York – QuantNet today released the third bi-annual edition of its MFE rankings which rank the top masters programs in Financial Engineering, Mathematical Finance, Quantitative Finance in North America. The 2013-14 QuantNet ranking is the most comprehensive ranking of such programs to date.

Founded in 2003, Quantnet.com, with its online C++ certificate (jointly offered with Baruch MFE program), MFE programs info/reviews, applications tracker, MFE grads salary database, accompanied by an active, knowledgable community, has grown to be the most comprehensive research tool for graduate students considering education and career opportunities in the field of quantitative finance.

Best regards,
Andy Nguyen – QuantNet

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Open source forex trading broker options with Links of bad Interactive Brokers bad reviews with options of MB Trading Lightspeed

Open source forex trading broker options with Links of bad Interactive Brokers bad reviews with options of MB Trading Lightspeed

Tradelink Broker Options:

http://code.google.com/p/tradelink/wiki/ProviderFeatureMatrix

 

Could Interactive Brokers be in a start of a death spiral?

This is not good:

http://online.wsj.com/article/BT-CO-20130416-712803.html

 

The horror story reviews with poor ratings:

http://www.yelp.ca/biz/interactive-brokers-llc-greenwich

http://www.forexpeacearmy.com/public/review/www.interactivebrokers.com

http://www.elitetrader.com/br/?action=view&R_FirmID=43

MB Trading requirements and reviews:

http://www.mbtrading.com/stocksAccountRequirements.aspx

http://www.forexpeacearmy.com/public/review/www.mbtrading.com

Lightspeed trading requirement:

https://secure.lightspeed.com/AccountOpening/step1a.php?error=missing_login

Lightspeed reviews:

Lightspeed Trading

http://www.elitetrader.com/br/?action=view&R_FirmID=211

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5 new statistic arbitrage videos, greate R C++ HFT links or roll my own platform?

Hi there
I posted a really good set of links for how the combo of R and C++ could be a nice stack for HFT (high frequency trading). That article was posted here.
I shall start my deeper and final investigation of a HFT platform to go with. I will report back next week on my progress. I may even roll my own with R and C++ so stay tuned.
As for model and strategy development,  yesterday was good day of private videos for my Premium Members with the following 5 videos on statistical arbitrage and event arbitrage.
For statistical arbitrage:
Modelling returns with CAPM and APT aka Arbitrage Pricing Theory
Yield Curve
Currency Graph of shortest currency path for major currency forex pairs
How you can beat a random walk
For event arbitrage:
Load and parsing hedge fund index data

–> Join the party now by getting immediate access <–

Got questions, let me know

Bryan

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!