RB RB
The Official Blog of Retail Backtest
About     Entries
Entries for date "March 2017"

Say What? You're Changing Your Hypothesis?

No rest for the wicked! Let's say that you're a doctor, a clinician, and you're reading a research article on a new treatment. How reliable is the conclusion in the article, which is that a certain treatment would work but only with female patients?

....

Let's say you've put together a dandy system for portfolio management based on a promising new principle. You try it out on stocks of many kinds. It hardly works overall. Boo! What to do? I know... let's try it on just the financials. Hurray! It works!

Continue reading »

Logarithmic and Linear Debt... Scary?

Fairly often we come across charts, on the Internet especially, that depict something "growing to the sky"— some quantity of economic or financial interest that seems to be increasing at an ever-increasing rate. Sometimes the presenter wants to frighten you; at other times it's to suggest that your fortunes can grow to the sky too if only you take the person's advice. I want to show an example of the first kind and correct it right now, with mathematics and with some help from government coders.

Continue reading »

Regime Change vs. Computerized Portfolio Management

In two of the articles on the Retail Backtest website, and especially in this one, you will find substantial discussions on the topic of how we can best go about using the recent performance history of some procedure as a guide toward better performance in the future.

This post is in particular about a two-phase procedure that is to some degree intrinsically adaptable to shifting behavior in the securities markets, something the like of which should quite possibly be a part of any good program for active portfolio management.

Continue reading »
© 2017 Michael C. O'Connor ∅ All Rights Reserved