Archive for the ‘Uncategorized’ Category

Now and then everybody needs a conceptual framework. Our conceptual framework is different from the link above. Here is the outline of a system that can help in stock market decisions. One of best way to illustrate a concept is the Flow Chart that usually tells the viewer the flow of information or sequential steps. […]

A brief addendum to the Part 1.   Can the volatility drag quantified by the simulation that was performed in the previous post? Let’s construct the toy SPY model in a way that the Expected %change is a positive constant every day, but very, very close to zero. (For example = 0.00001) A naive observer […]

A long time ago MarketSci had some strategies called Scotty and YK. These strategies are currently retired, but audited performance result can be obtained from here and here. There were ‘by and large’ daily MR strategies. To be honest, that is a crude simplification, because YK  was a learning algorithm, but because daily MR was very […]

We continue the previous post here that analysed the distribution of the Apple stock price daily %changes. We concluded that the distribution (if it is a static distribution) cannot be Gaussian. What can the probability distribution be then? There is a distribution called Levy distribution which has 2 parameters and it is not really […]

In his famous book Black Swan, Nassim Taleb introduced the concepts of Extremistan and Mediocristan (as two countries). He uses them as guides to define how predictable is the environment one’s studying. Mediocristan environments safely can use Gaussian distribution. In Extremistan environments, a Gaussian distribution is used at one’s peril. There are big fat tail […]

I continue my developer diary with a post that illustrates that sometimes even a seemingly sensible Wall Street idea doesn’t help. One important investment advice is containing the losses. One way of this is the well know stop loss (fix percent or trailing stop loss). The problem with the stop loss technique is that it […]

As we continue the previous posts, we have at least one parameter: the number of lookback days. Doing sensitivity analysis on this parameter, we hope to compare regression and classification methods.   In further detail, we are going to compare 1. Linear regression – based on the normal equation, deterministic evaluation – it is not […]