CSSA
CSSA is a research firm dedicated to developing quantitative trading strategies and proprietary stock rankings. For general inquiries please contact Scott Walker at (201) 497-0048 or by email at swalk10@gmail.com .
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new concepts in quantitative research
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Hi David. Fantastic site you have here. A qu for you – what tests/statistical filters would you recommend in order to help identify (admittedly on an ex-post basis) which securities may be more amenable than others to autocorrelation (given the std AC tests rely on unrealistic assumptions, ie. IID). I’ve tried using the Hurst exponent but am not satisfied with the results so far. Best, Brad
Hello:
I’m interested in obtaining the relative strength formula used by MSN ranking a stock 1-99, for example RS at 12 months (95), 6 months (88) and 3 months (75).
Hi David,
I’m a trader in India and have been trying to built trading strategies based on the Indian markets, your research and innovative approach has been helping me during the course. i have been measuring strategy performance based on sharpe ratio. I have been facing a dilemma in terms of bench marking my strategies. Is a 1 sharpe strategy in emerging markets as good as 0.5 sharpe in any of the developed markets? should a strategy be bench marked in a different way based on the markets in which it operates ?….please share your thoughts on this…
Think of going long your strategy and shorting the benchmark. The Sharpe is the average return divided by the standard deviation of this long/short portfolio. You can compare Sharpe ratios across markets if you believe this long/short construct is equally implementable in the different markets (that is you could really enjoy the returns of the strategy while shorting the benchmark). There is also the issue of scaling. Let’s say one strategy has an excess return of 10% and a tracking error of 10% giving a Sharpe of 1.0. Another strategy also has a 1.0 Sharpe with an excess return of 0.50% and a tracking error of 0.50%. Unless you can lever the second strategy greatly, you can’t approach the nominal return or risk of the first. Hope this helps.
The Darwin Investment Strategy: I am a little unclear on the whole situation. David Varadi co wrote a paper entitled Adaptive asset allocation a primer. I am looking for a track record for the Darwin Strategy. Can you help?
Really impressive and good looking new blog David.
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