Comments for Engineering Returns http://engineering-returns.com engineering financial returns using quantitative methods Wed, 16 May 2012 10:51:01 +0000 hourly 1 http://wordpress.com/ Comment on SPY: The impact of correlation by Frank Hassler http://engineering-returns.com/2012/03/01/the-impact-of-correlation/#comment-1800 Wed, 16 May 2012 10:51:01 +0000 http://engineering-returns.com/?p=2837#comment-1800 Hello Ellis,

i only tested this on SP100 and SP500, works on both.

This isn’t a system in it self. You should rather consider this as a filter when conditions are favourable.

Frank

]]> Comment on SPY: The impact of correlation by Ellis http://engineering-returns.com/2012/03/01/the-impact-of-correlation/#comment-1798 Wed, 16 May 2012 08:59:33 +0000 http://engineering-returns.com/?p=2837#comment-1798 Do you have similar result in other index ? With 0.47% average, do u think it is tradable?

]]> Comment on SPY: The impact of correlation by Frank Hassler http://engineering-returns.com/2012/03/01/the-impact-of-correlation/#comment-1796 Mon, 14 May 2012 16:04:09 +0000 http://engineering-returns.com/?p=2837#comment-1796 Hello Capone,

that’s about right. Correlation among all holdings divided by number of calculations.

Frank

]]> Comment on SPY: The impact of correlation by Capone http://engineering-returns.com/2012/03/01/the-impact-of-correlation/#comment-1792 Sun, 13 May 2012 15:22:33 +0000 http://engineering-returns.com/?p=2837#comment-1792 Hi Frank,

Sorry but I need more clarification from your side in order to understand what you do.
You wrote:
“I use correlation among all SP500 members (correlation matrix)”
How do you get a value? Do you mean you make a correlation matrix which consists of (500*499)/2 unique values, you add them up and divide by (500*499/2) and you get a value this way?
Thank you in advance.

]]> Comment on Portfolio Trader review Sept. 6th, 2011 – April 27th, 2012 by Nik http://engineering-returns.com/2012/04/28/portfolio-trader-review-sept-6th-2011-april-27th-2012/#comment-1782 Thu, 03 May 2012 19:11:29 +0000 http://engineering-returns.com/?p=3061#comment-1782 Great overview! I rarely say that at any blog, so keep up the good work!

]]> Comment on Rotational Trading: Stay with the best by Frank Hassler http://engineering-returns.com/2010/09/20/rotational/#comment-1779 Mon, 30 Apr 2012 16:58:33 +0000 http://engineering-returns.com/?p=791#comment-1779 Hello Pontric,

these files aren’t part of the source code….

Just remove it ..

Frank

]]> Comment on Rotational Trading: Stay with the best by Pontric http://engineering-returns.com/2010/09/20/rotational/#comment-1778 Mon, 30 Apr 2012 14:50:02 +0000 http://engineering-returns.com/?p=791#comment-1778 Hi Frank – Excuse my ignorance…
How to get these files listed on your amibroker code.
#include ;
#include ;
#include ;
SetCustomBacktestProc(“formulas\\include\\cbt_midlevel.afl”,True);

Pontric

]]> Comment on Portfolio Trader – Week 02 / 2012 by ETF Prophet | Portfolio Trader Sept. 6th, 2011 ~ April 27th, 2012 http://engineering-returns.com/2012/01/09/portfolio-trader-week-02-2012/#comment-1777 Sun, 29 Apr 2012 15:49:45 +0000 http://engineeringreturns.wordpress.com/?p=2305#comment-1777 [...] 2012 / 02 [...]

]]> Comment on Portfolio Trader – Week 10 / 2012 by ETF Prophet | Portfolio Trader Sept. 6th, 2011 ~ April 27th, 2012 http://engineering-returns.com/2012_week10/#comment-1776 Sun, 29 Apr 2012 15:49:24 +0000 http://engineering-returns.com/?page_id=2857#comment-1776 [...] 2012 / 10 [...]

]]> Comment on Portfolio Trader – Week 18 / 2012 by ETF Prophet | Portfolio Trader Sept. 6th, 2011 ~ April 27th, 2012 http://engineering-returns.com/portfolio-trader-week182012_/#comment-1775 Sun, 29 Apr 2012 15:49:03 +0000 http://engineering-returns.com/?page_id=3195#comment-1775 [...] 2012 / 18 [...]

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