Tag Archives: MACD
Portfolio tests of predicted returns
Exploring the quality of predictions using random portfolios and optimization. Previously “Simple tests of predicted returns” showed a few ways to look at expected returns at the asset level. Here we move to the portfolio level. The previous post focused on correlation. Win Vector Blog points out that gauging prediction quality using correlation can be … Continue reading
Posted in Quant finance, R language, Random portfolios
Tagged alpha generation, MACD, S&P 500
2 Comments
Simple tests of predicted returns
Some ways to explore how good a method of predicting returns is. Data and model The universe is 443 large cap US stocks that have data back to the beginning of 2004. The daily (adjusted) close was used. The model that is used as an example is the default signal from the MACD function of … Continue reading
Realized efficient frontiers
A look at the distortion from predicted to realized. The idea The efficient frontier is a mainstay of academic quant. I’ve made fun of it before. This post explores the efficient frontier in a slightly less snarky fashion. Data The universe is 474 stocks in the S&P 500. The predictions are made using data from … Continue reading
Posted in Quant finance, R language
Tagged efficient frontier, Ledoit-Wolf shrinkage, MACD, S&P 500
7 Comments
Alpha decay in portfolios
How does the effect of our expected returns change over time? This is not academic curiosity, we want to know in the context of our portfolio if we can. And we can — we visualize the effect of expected returns in situ. First step The idea is to look at the returns of portfolios that … Continue reading
Posted in Quant finance, R language, Random portfolios
Tagged alpha decay, expected returns, MACD, realized alpha
5 Comments
