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- Where Can I Find Good Historical Currency Data? [Quandl Blog]
There are a number of good sources for high quality historical foreign exchange and currency data on Quandl. A few central banks publish reference exchange rates across markets. The best of these is probably th…
- Naive Graham: Taming Leveraged Funds [Varan]
This post comes with a warning in addition to the usual caveat that it is not investment advice in any form: as it deals with leveraged funds, these results must be viewed with great caution and understanding o…
- Trade P&L By Day In the 31 Day RUT Iron Condor [DTR Trading]
In the last two posts, I've shown two different approaches to looking at the performance of the 31 days-to-expiration (DTE) RUT "no touch" iron condor (IC). First, we looked at how the performance of the 31 DTE…
- How Not to Develop Trading Strategies – A Cautionary Tale [Jonathan Kinlay]
In his post on Multi-Market Techniques for Robust Trading Strategies Michael Bryant of Adaptrade discusses some interesting approaches to improving model robustness. One is to use data from several correlated a…
- Stock Market Regime Shifts In Real Time: A Test [Capital Spectator]
Earlier this month I wrote about an econometric tool—Hidden Markov model (HMM)—for identifying the start of bear markets, as early as possible and with a relatively high degree of confidence. The record looks e…
- Trend Following Wizards – May 2014 [Au Tra Sy]
A mixed bag for the Wizards last month. The index was positive overall last month but still slightly in the red for the year. Full results below: Organisation / Fund Return YTD * AUM ** Abraham Trading1 -0.34%…
- $VXO weekly single digit closings [Paststat]
$VXO weekly single digit closings
- $SPY during the week after June opex week – bit bearish [Paststat]
$SPY during the week after June opex week – bit bearish
- $SPY on June Quadruple Witching [Paststat]
$SPY on June Quadruple Witching
