[Blotter-commits] r1670 - pkg/quantstrat/sandbox/backtest_musings
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Jan 16 15:37:55 CET 2015
Author: braverock
Date: 2015-01-16 15:37:55 +0100 (Fri, 16 Jan 2015)
New Revision: 1670
Modified:
pkg/quantstrat/sandbox/backtest_musings/stat_process.bib
pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.pdf
Log:
- minor updates to backtest paper
Modified: pkg/quantstrat/sandbox/backtest_musings/stat_process.bib
===================================================================
--- pkg/quantstrat/sandbox/backtest_musings/stat_process.bib 2015-01-13 23:03:12 UTC (rev 1669)
+++ pkg/quantstrat/sandbox/backtest_musings/stat_process.bib 2015-01-16 14:37:55 UTC (rev 1670)
@@ -61,6 +61,20 @@
Url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=371051}
}
+ at Article{Barnes2010,
+ Title = {Publish your computer code: it is good enough},
+ Author = {Barnes, Nick},
+ Journal = {Nature},
+ Year = {2010},
+ Number = {7317},
+ Pages = {753--753},
+ Volume = {467},
+ Owner = {brian},
+ Publisher = {Nature Publishing Group},
+ Timestamp = {2015.01.14},
+ Url = {http://www.nature.com/news/2010/101013/full/467753a.html}
+}
+
@Book{Box1987,
Title = {Empirical model-building and response surfaces.},
Author = {Box, George E.P. and Draper, Norman R.},
@@ -96,6 +110,19 @@
Url = {http://www.ai-cio.com/Forty_Under_Forty_2014.aspx?page=9}
}
+ at Article{Dudler2014,
+ Title = {Risk Adjusted Time Series Momentum},
+ Author = {Dudler, Martin and Gmuer, Bruno and Malamud, Semyon},
+ Journal = {Available at SSRN 2457647},
+ Year = {2014},
+
+ __markedentry = {[brian:6]},
+ Abstract = {We introduce a new class of momentum strategies that are based on the long-term averages of risk-adjusted returns and test these strategies on a universe of 64 liquid futures contracts. We show that this risk adjusted momentum strategy outperforms the time series momentum strategy of Ooi, Moskowitz and Pedersen (2012) for almost all combinations of holding- and look-back periods. We construct measures of momentum-specific volatility (risk), (both within and across asset classes) and show that these volatility measures can be used both for risk management and it momentum timing. We find that momentum risk management significantly increases Sharpe ratios, but at the same time leads to more pronounced negative skewness and tail risk; by contrast, combining risk management with momentum timing practically eliminates the negative skewness of momentum returns and significantly reduces tail risk. In addition, momentum risk management leads to a much lower exposure to market, value, and momentum factors. As a result, risk-managed momentum returns offer much higher diversification benefits than the standard momentum returns.},
+ Owner = {brian},
+ Timestamp = {2015.01.15},
+ Url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2457647}
+}
+
@Book{Feynman1965,
Title = {The Feynman Lectures on Physics},
Author = {Feynman, Richard P and Leighton, Robert B and Sands, Matthew and Hafner, EM},
@@ -117,8 +144,6 @@
Author = {Fox, John and Weisberg, Sanford},
Year = {2011},
-
- __markedentry = {[brian:]},
Owner = {brian},
Publisher = {An Appendix to An R Companion to Applied Regression, Sage, Thousand Oaks, CA,},
Timestamp = {2015.01.13}
@@ -188,6 +213,20 @@
Year = {2011}
}
+ at Article{Ince2012,
+ Title = {The case for open computer programs},
+ Author = {Ince, Darrel C and Hatton, Leslie and Graham-Cumming, John},
+ Journal = {Nature},
+ Year = {2012},
+ Number = {7386},
+ Pages = {485--488},
+ Volume = {482},
+ Owner = {brian},
+ Publisher = {Nature Publishing Group},
+ Timestamp = {2015.01.14},
+ Url = {http://www.nature.com/nature/journal/v482/n7386/pdf/nature10836.pdf}
+}
+
@Book{Kestner2003,
Title = {Quantitative trading strategies: {H}arnessing the power of quantitative techniques to create a winning trading program},
Author = {Kestner, Lars},
@@ -212,8 +251,6 @@
Number = {1},
Pages = {181--212},
Volume = {9},
-
- __markedentry = {[brian:6]},
Owner = {brian},
Publisher = {Informing Science Institute},
Timestamp = {2015.01.13},
@@ -230,6 +267,20 @@
Author_sort = {Pardo, Robert}
}
+ at Article{Peng2011,
+ Title = {Reproducible research in computational science},
+ Author = {Peng, Roger D},
+ Journal = {Science (New York, Ny)},
+ Year = {2011},
+ Number = {6060},
+ Pages = {1226},
+ Volume = {334},
+ Owner = {brian},
+ Publisher = {NIH Public Access},
+ Timestamp = {2015.01.14},
+ Url = {http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3383002/}
+}
+
@Article{Peterson2015,
Title = {Developing \& Backtesting Systematic Trading Strategies },
Author = {Peterson, Brian G},
@@ -348,6 +399,17 @@
Subtitle = {Reconciling portfolio management strategies and economic theory}
}
+ at Article{Vlaeminck2013,
+ Title = {Research Data Management in Economic Journals},
+ Author = {Sven Vlaeminck},
+ Journal = {American Economic Review, Open Economics},
+ Year = {2013},
+
+ Owner = {brian},
+ Timestamp = {2015.01.14},
+ Url = {http://openeconomics.net/resources/data-policies-of-economic-journals/}
+}
+
@Misc{White2000,
Title = {System and method for testing prediction models and/or entities},
@@ -365,9 +427,22 @@
Title = {R Markdown — Dynamic Documents for R},
Author = {Yihui Xie},
+ Year = {2014},
Owner = {brian},
Timestamp = {2015.01.13},
Url = {http://rmarkdown.rstudio.com/}
}
+ at Article{Economist2013,
+ Title = {Unreliable Research: Trouble at the lab},
+ Journal = {Economist},
+ Year = {2013},
+
+ Month = {Oct 19},
+
+ Owner = {brian},
+ Timestamp = {2015.01.14},
+ Url = {http://www.economist.com/news/briefing/21588057-scientists-think-science-self-correcting-alarming-degree-it-not-trouble}
+}
+
Modified: pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.pdf
===================================================================
(Binary files differ)
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