In these posts we explore simple and complex issues in mathematics and statistics from the field of systematic asset management and quantitative trading systems.
Many of these posts have been published on LinkedIn – feel free to connect!
Applying a linear trend line to the value added monthly index gives a better estimate of returns than compound annual growth rate. It differentiates between different return distributions and is less affected by noise.read more
Focusing on CAGR is a mistake unless you are aware of its limitations. We take a closer look at Compound Annual Growth Rate, to see what it leaves out, and how it can be affected by chance.read more
Learn how to take a closer look at Value Added Monthly Index with this simple hedge fund hack using a logarithmic chart axis.read more
Web-scraping within the R environment on a Mac has changed since I last discussed it. Here’s an update on RSelenium for Mac introducing Docker as a simple way to run Selenium 3 and the necessary Gekko and Chrome drivers.read more
We are going to play around with a mixture distribution. A wider distribution is “polluting” a narrower distribution. We will show that mean absolute deviation is a more efficient estimator of dispersion than standard deviation.read more
Here’s a useful little R mixture distribution function. I give you the code, show how it works, and give some examples.read more