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blog.fosstrading.com | ||
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quantstrattrader.com
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| | | | | This post will introduce KDA Asset Allocation. KDA -- I.E. Kipnis Defensive Adaptive Asset Allocation is a combination of Wouter Keller's and TrendXplorer's Defensive Asset Allocation, along with ReSolve Asset Management's Adaptive Asset Allocation. This is an asset allocation strategy with a profile unlike most tactical asset allocation strategies I've seen before (namely, it barely... | |
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quantstrattrader.com
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| | | | | This post will display some robustness results for KDA asset allocation. Ultimately, the two canary instruments fare much better using the original filter weights in Defensive Asset Allocation than in other variants of the weights for the filter. While this isn't as worrying (the filter most likely was created that way and paired with those... | |
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quantstrattrader.com
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| | | | | This post will detail a rather important finding I found while implementing a generalized framework for momentum asset allocation backtests. Namely, that when computing momentum (and other financial measures for use in asset allocation, such as volatility and correlations), measuring formal months, from start to end, has a large effect on strategy performance. So, first... | |
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thereformedbroker.com
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| | | The day my father had to surrender to prison, I drove him. My mother had locked herself in the bathroom crying and throwing up, becoming nothing short of a more beautiful version of Cate Blanchett inBlue Jasmine. Ironically enough, Marty, she looks like a cross between Sharon Stone and Michelle Pfeiffer. Totally your leading ingénue... | ||
